CRS Options History — December 2009

In December 2009, CRS traded between $23.39 and $27.90. ATM implied volatility averaged 44.8%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 9.1% (HV 20d: 35.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-12-11: Highest Volume — 1,044 contracts
  • 2009-12-28: Largest IV spike — 17.7% change
  • 2009-12-28: Highest IV Rank — 15.6%
  • 2009-12-04: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.78$23.39$27.90$23.55$26.95
Max Pain$24.20$22.50$25.00$22.50$25.00
ATM IV44.8%39.3%47.9%47.9%43.0%
Expected Move13.0%11.3%14.0%13.7%12.3%
HV 20d35.7%29.5%41.9%41.9%32.6%
HV 60d50.4%48.3%53.9%53.9%48.8%
IV Rank7.7%0.0%15.6%11.0%7.2%
IV Percentile2.9%0.0%8.3%3.2%2.4%
Term Structure4.1%1.2%7.0%1.2%7.0%
VWIV44.7%40.3%49.0%45.9%43.1%
Skew 25d4.2%-0.4%8.4%6.2%-0.4%
Skew 10d10.1%-4.8%21.1%16.7%-4.8%
Call IV 25d43.3%39.6%47.3%43.0%42.1%
Put IV 25d47.6%41.7%51.3%49.2%41.7%
Bid-Ask Spread %16.228.7221.5714.0415.90
Gamma HHI0.400.320.460.450.34
Net GEX166.1K87.9K280.1K144.4K87.9K
Net DEX-10.1M-15.6M-6.6M-7.0M-7.4M
Net VEX-37.9K-41.9K-35.0K-41.9K-38.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.033.690.481.81
Total Volume392.409611,044204436
Total OI13,103.8189,13015,77314,09910,817

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$23.55$22.5047.9%13.7%41.9%11.0%45.9%6.2%1.2%144.4K-7.0M-41.9K0.4814.04N/AN/A138668,2705,829
2009-12-02$23.80$22.5044.2%12.7%41.3%4.9%49.0%8.4%2.1%151.3K-7.7M-41.7K1.1813.68N/AN/A28338,3285,827
2009-12-03$23.39$22.5047.5%13.6%41.7%10.9%46.4%5.6%1.6%149.6K-6.6M-41.2K0.4715.04N/AN/A159758,3125,834
2009-12-04$23.62$22.5047.9%14.0%38.5%11.7%43.8%6.7%3.8%154.7K-7.2M-41.2K0.3619.99N/AN/A257938,3775,893
2009-12-07$24.49$22.5044.4%13.4%40.2%5.6%46.6%5.2%4.9%176.0K-9.7M-39.4K0.3421.57N/AN/A3491188,4815,943
2009-12-08$24.41$22.5044.5%13.5%39.1%6.2%47.0%4.6%3.3%198.7K-9.7M-40.1K0.1514.23N/AN/A243378,7755,941
2009-12-09$25.26$22.5041.5%13.2%39.9%0.0%45.1%4.7%5.4%213.6K-12.4M-38.8K0.5315.50N/AN/A2431288,9185,970
2009-12-10$25.42$25.0045.8%13.1%39.8%8.8%42.8%5.2%5.2%215.5K-12.5M-38.0K0.0917.65N/AN/A442418,9216,059
2009-12-11$26.07$25.0046.7%13.4%36.6%10.6%43.8%3.9%4.1%173.9K-14.1M-36.8K0.0318.81N/AN/A1,014308,8176,042
2009-12-14$26.55$25.0047.4%13.6%36.8%12.0%45.7%3.7%4.6%177.1K-15.6M-36.3K0.7917.57N/AN/A2652099,3966,045
2009-12-15$25.98$25.0047.3%13.6%31.6%11.8%47.1%4.1%4.7%204.1K-14.3M-36.9K0.5620.93N/AN/A152859,4416,086
2009-12-16$25.43$25.0047.0%13.5%32.9%11.2%47.1%4.0%4.2%232.1K-12.9M-36.4K1.5418.04N/AN/A961489,4296,053
2009-12-17$25.34$25.0045.8%13.1%32.6%8.8%45.9%4.5%5.1%280.1K-12.9M-36.1K1.0521.18N/AN/A3183339,4496,079
2009-12-18$25.44$25.0046.7%13.4%32.1%10.6%46.7%1.7%4.1%264.0K-13.9M-36.2K0.5920.46N/AN/A3271929,5746,199
2009-12-21$26.10$25.0045.3%13.0%33.0%7.7%45.2%2.1%4.2%104.9K-6.6M-36.0K3.6915.02N/AN/A802955,8623,268
2009-12-22$26.84$25.0044.2%12.7%33.9%5.6%41.6%4.7%5.1%105.2K-7.5M-35.9K0.6317.42N/AN/A2121345,9063,517
2009-12-23$27.78$25.0039.3%11.3%35.5%0.0%41.2%4.7%4.6%126.9K-9.0M-35.9K0.988.72N/AN/A1211186,0033,626
2009-12-24$27.90$25.0040.2%11.5%35.4%1.7%41.2%3.1%3.8%133.4K-9.2M-35.0K0.7711.95N/AN/A2812166,0673,622
2009-12-28$27.45$25.0047.3%13.6%31.1%15.6%44.5%5.0%3.3%123.9K-8.5M-36.0K3.4211.87N/AN/A1796126,1793,775
2009-12-29$27.63$25.0040.2%11.5%29.6%1.7%40.3%2.1%4.5%115.3K-8.4M-38.5K0.4013.91N/AN/A138556,3254,269
2009-12-30$27.79$25.0042.6%12.2%29.5%6.3%42.6%2.8%2.7%122.1K-8.7M-38.1K1.4513.33N/AN/A56816,4214,339
2009-12-31$26.95$25.0043.0%12.3%32.6%7.2%43.1%-0.4%7.0%87.9K-7.4M-38.2K1.8115.90N/AN/A1552816,4324,385