CRS Options History — November 2009

In November 2009, CRS traded between $20.83 and $24.69. ATM implied volatility averaged 51.3%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 12.2% (HV 20d: 63.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-11-05: Highest Volume — 2,997 contracts
  • 2009-11-27: Largest IV spike — 20.0% change
  • 2009-11-02: Highest IV Rank — 21.6%
  • 2009-11-02: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.03$20.83$24.69$20.83$23.18
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV51.3%41.5%60.0%60.0%49.9%
Expected Move14.7%11.9%17.2%17.2%14.3%
HV 20d63.5%42.1%70.4%65.5%42.1%
HV 60d55.5%53.0%56.7%56.3%53.9%
IV Rank10.5%0.0%21.6%21.6%14.5%
IV Percentile14.8%0.0%43.7%43.7%8.7%
Term Structure1.3%-2.5%4.7%-2.5%-0.6%
VWIV51.1%43.2%57.6%57.6%49.2%
Skew 25d7.7%3.7%13.9%8.5%5.9%
Skew 10d15.8%1.3%30.8%10.9%16.5%
Call IV 25d47.3%33.7%56.6%55.2%45.7%
Put IV 25d55.1%46.9%63.6%63.6%51.6%
Bid-Ask Spread %13.946.8325.1320.3111.79
Gamma HHI0.410.170.590.170.50
Net GEX121.0K3.9K227.3K3.9K141.7K
Net DEX-5.2M-9.6M1.6M1.6M-6.0M
Net VEX-42.0K-47.6K-30.3K-30.3K-42.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.004.634.631.27
Total Volume582.65352,9972,518423
Total OI14,129.211,40615,50311,40613,956

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$20.83$22.5060.0%17.2%65.5%21.6%57.6%8.5%-2.5%3.9K1.6M-30.3K4.6320.31N/AN/A4472,0715,7965,610
2009-11-03$21.36$22.5056.6%16.2%66.3%16.9%57.4%6.2%-0.3%21.8K592.0K-32.1K0.8917.66N/AN/A3072726,0495,668
2009-11-04$21.12$22.5059.3%17.0%66.2%20.7%57.1%3.7%-0.6%16.8K1.1M-32.2K0.1825.13N/AN/A192356,2365,873
2009-11-05$22.17$22.5054.4%15.6%68.0%13.8%54.0%7.1%-0.3%44.0K-818.8K-34.1K0.0614.73N/AN/A2,8231746,3505,899
2009-11-06$22.29$22.5053.5%15.5%67.8%12.6%54.7%6.8%-0.2%112.5K-4.0M-47.6K0.8118.55N/AN/A1741418,8196,000
2009-11-09$22.99$22.5055.8%15.6%68.7%15.7%49.3%6.6%-0.1%141.3K-5.8M-47.5K2.5714.22N/AN/A14368,9476,041
2009-11-10$22.62$22.5055.1%15.6%68.9%14.7%54.3%7.3%0.1%125.6K-4.6M-46.3K0.4218.92N/AN/A45198,8245,971
2009-11-11$22.91$22.5054.1%15.1%66.5%13.4%52.7%6.9%1.2%137.0K-5.4M-45.6K0.916.83N/AN/A4714298,8245,978
2009-11-12$22.02$22.5052.6%15.1%67.7%11.3%52.5%6.7%1.7%104.6K-2.8M-45.8K2.217.23N/AN/A39868,8646,375
2009-11-13$22.27$22.5051.6%14.8%66.8%10.0%48.5%6.6%1.9%114.0K-3.3M-45.8K0.618.44N/AN/A84518,8646,377
2009-11-16$23.78$22.5049.2%14.1%70.4%6.6%50.0%5.7%2.8%183.0K-7.5M-45.6K1.0518.13N/AN/A1601688,9186,407
2009-11-17$23.93$22.5048.4%13.9%69.3%5.4%51.0%4.9%3.2%197.5K-8.0M-45.0K0.0017.27N/AN/A3508,9596,421
2009-11-18$24.32$22.5049.6%14.2%68.6%7.2%50.1%4.9%2.2%227.3K-9.3M-43.5K0.2214.04N/AN/A5691268,9596,421
2009-11-19$24.01$22.5048.3%13.8%68.8%5.3%48.2%5.8%3.4%192.4K-8.3M-44.3K0.577.61N/AN/A2251289,0136,443
2009-11-20$23.91$22.5047.2%13.5%64.6%3.7%48.9%13.9%4.7%111.5K-7.9M-43.1K0.6413.66N/AN/A2961899,0006,503
2009-11-23$24.19$22.5045.7%13.1%64.5%1.7%45.9%12.9%2.4%114.5K-8.0M-41.2K0.2010.13N/AN/A6801387,5785,463
2009-11-24$24.41$22.5043.2%12.4%56.6%0.0%43.2%12.4%2.7%140.0K-8.8M-41.7K0.2912.96N/AN/A153457,9195,537
2009-11-25$24.69$22.5041.5%11.9%45.1%0.0%46.2%13.2%3.9%150.8K-9.6M-43.2K2.3912.08N/AN/A831988,2095,582
2009-11-27$23.60$22.5049.8%14.3%46.8%14.3%50.5%9.0%0.5%139.8K-7.2M-43.3K1.359.15N/AN/A54738,2325,699
2009-11-30$23.18$22.5049.9%14.3%42.1%14.5%49.2%5.9%-0.6%141.7K-6.0M-42.3K1.2711.79N/AN/A1862378,2485,708