CRS Options History — October 2009

In October 2009, CRS traded between $21.03 and $24.68. ATM implied volatility averaged 53.3%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 5.3% (HV 20d: 48.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 4.19.

Notable Days

  • 2009-10-30: Highest Volume — 4,171 contracts
  • 2009-10-12: Largest IV spike — 34.7% change
  • 2009-10-30: Highest IV Rank — 18.6%
  • 2009-10-05: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.14$21.03$24.68$22.63$21.03
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV53.3%44.5%60.0%54.9%57.9%
Expected Move15.7%14.4%16.9%15.7%16.6%
HV 20d48.0%40.3%69.0%48.7%69.0%
HV 60d49.4%46.9%56.5%48.0%56.5%
IV Rank10.0%0.0%18.6%9.4%18.6%
IV Percentile17.4%0.0%37.7%20.6%35.7%
Term Structure-1.5%-3.3%4.3%2.1%-2.4%
VWIV54.6%48.9%58.7%56.1%55.8%
Skew 25d7.2%3.4%14.3%3.4%4.7%
Skew 10d16.1%3.0%29.8%8.2%6.9%
Call IV 25d50.7%43.4%55.4%52.4%53.6%
Put IV 25d58.0%51.5%61.2%55.8%58.4%
Bid-Ask Spread %15.7211.4323.1812.4218.74
Gamma HHI0.390.230.750.360.32
Net GEX62.4K-91.9K199.6K81.1K-89.5K
Net DEX-2.8M-6.7M3.0M-2.5M3.0M
Net VEX-37.1K-41.5K-32.4K-41.5K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.190.1054.610.3454.61
Total Volume629.591404,1712344,171
Total OI11,846.63610,19913,17512,12713,175

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$22.63$22.5054.9%15.7%48.7%9.4%56.1%3.4%2.1%81.1K-2.5M-41.5K0.3412.42N/AN/A174606,5845,543
2009-10-02$22.27$22.5053.6%15.4%49.1%8.1%53.4%6.2%4.3%79.4K-1.8M-40.8K0.1113.87N/AN/A464516,6475,541
2009-10-05$23.53$22.5056.6%16.9%52.1%10.9%58.7%7.6%-2.6%109.6K-4.3M-41.5K0.1512.14N/AN/A182276,7485,538
2009-10-06$23.74$22.5055.9%16.6%45.2%10.3%56.7%7.1%-1.6%114.6K-4.8M-40.8K1.8613.45N/AN/A651216,7525,546
2009-10-07$23.83$22.5049.5%15.7%44.8%4.3%58.4%8.1%-1.9%122.3K-5.0M-40.5K0.6813.70N/AN/A38266,7775,504
2009-10-08$24.50$22.5047.8%15.7%41.0%2.6%55.4%8.3%-2.1%135.4K-6.4M-39.8K0.4714.28N/AN/A2251066,7985,498
2009-10-09$23.94$22.5044.5%15.6%41.9%0.0%54.3%8.1%-1.7%128.8K-5.0M-39.1K0.3612.60N/AN/A92336,7185,359
2009-10-12$23.59$22.5060.0%16.8%40.7%14.6%55.1%9.5%-2.6%118.0K-4.1M-37.4K0.1817.71N/AN/A3466,7145,373
2009-10-13$23.49$22.5058.6%16.5%40.3%14.0%57.0%9.1%-2.3%113.7K-3.9M-36.7K2.0818.11N/AN/A751566,7385,378
2009-10-14$24.68$22.5048.5%15.4%41.7%4.0%54.7%6.4%-1.6%180.9K-6.7M-36.7K0.7720.57N/AN/A2581996,7755,402
2009-10-15$24.62$22.5053.2%15.2%41.5%8.6%55.1%7.0%-1.8%199.6K-6.4M-36.7K0.5417.46N/AN/A167916,8435,535
2009-10-16$23.70$22.5054.4%15.6%43.4%12.8%52.9%6.4%-0.8%49.1K-4.3M-36.1K0.1019.80N/AN/A162166,7645,582
2009-10-19$24.37$22.5051.8%14.9%43.7%9.6%52.4%8.4%-2.2%48.2K-4.2M-34.8K0.4523.18N/AN/A2251015,3234,876
2009-10-20$23.56$22.5054.8%15.7%43.1%13.4%54.6%14.3%-2.9%42.7K-2.9M-35.0K3.6016.31N/AN/A531915,3334,915
2009-10-21$22.88$22.5054.5%15.6%44.0%13.1%51.6%8.2%-2.8%38.7K-2.0M-34.6K0.4017.88N/AN/A5742275,3664,961
2009-10-22$22.90$22.5054.0%15.5%43.1%12.4%56.2%7.7%-2.5%42.0K-2.5M-34.2K1.8513.94N/AN/A681265,7385,013
2009-10-23$21.53$22.5053.4%15.3%47.4%11.5%55.1%5.9%-2.6%23.2K63.6K-32.6K18.6711.43N/AN/A1232,2975,3505,098
2009-10-26$21.37$22.5055.4%15.9%46.8%14.2%56.3%5.7%-3.3%15.2K452.0K-32.4K0.2313.23N/AN/A7441725,4165,274
2009-10-27$23.36$22.5050.4%14.4%57.6%7.6%48.9%7.2%0.1%-17.8K-2.0M-36.5K0.5512.38N/AN/A9525255,5546,327
2009-10-28$21.36$22.5051.5%14.8%65.2%9.7%50.3%5.0%0.1%-91.9K2.6M-36.4K3.5414.28N/AN/A672375,7537,415
2009-10-29$22.26$22.5052.2%15.0%66.2%10.8%51.8%5.0%-2.2%-70.4K663.7K-37.2K0.6018.24N/AN/A106645,7377,345
2009-10-30$21.03$22.5057.9%16.6%69.0%18.6%55.8%4.7%-2.4%-89.5K3.0M-34.9K54.6118.74N/AN/A754,0965,8177,358