CRS Options History — January 2010

In January 2010, CRS traded between $26.80 and $31.77. ATM implied volatility averaged 46.2%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 6.6% (HV 20d: 39.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2010-01-07: Highest Volume — 2,283 contracts
  • 2010-01-11: Largest IV spike — 16.7% change
  • 2010-01-28: Highest IV Rank — 20.2%
  • 2010-01-28: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.83$26.80$31.77$28.16$26.80
Max Pain$29.47$25.00$30.00$25.00$30.00
ATM IV46.2%41.6%49.7%44.4%49.1%
Expected Move13.5%12.2%14.3%13.5%14.1%
HV 20d39.6%33.9%45.7%33.9%45.7%
HV 60d47.1%39.3%50.3%49.5%39.6%
IV Rank13.3%4.3%20.2%9.8%19.0%
IV Percentile10.6%2.0%23.0%4.4%21.0%
Term Structure-1.0%-1.9%0.9%-1.0%-1.0%
VWIV46.4%43.6%50.0%48.8%44.5%
Skew 25d5.6%2.3%10.7%5.0%4.3%
Skew 10d10.4%4.6%24.0%9.9%15.1%
Call IV 25d44.7%38.9%48.7%46.4%44.9%
Put IV 25d50.3%47.0%53.7%51.4%49.2%
Bid-Ask Spread %17.148.3426.4220.1416.23
Gamma HHI0.380.290.690.410.43
Net GEX115.6K-42.0K704.0K134.5K-42.0K
Net DEX-10.5M-15.0M-2.0M-9.6M-2.0M
Net VEX-38.5K-41.2K-32.4K-37.0K-40.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.093.710.560.62
Total Volume8161562,283490265
Total OI12,759.84211,04413,87411,04413,153

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$28.16$25.0044.4%13.5%33.9%9.8%48.8%5.0%-1.0%134.5K-9.6M-37.0K0.5620.14N/AN/A3141766,5064,538
2010-01-05$29.45$30.0044.8%13.3%36.2%10.7%47.7%4.0%-0.5%196.2K-11.9M-35.4K0.6412.76N/AN/A3892486,6464,593
2010-01-06$30.60$30.0043.8%13.2%36.4%8.7%45.8%4.9%-0.9%200.2K-13.9M-32.6K0.1816.63N/AN/A1,5372846,5874,787
2010-01-07$30.83$25.0043.4%13.2%36.0%7.9%43.6%5.1%-0.6%125.1K-13.4M-32.4K0.7317.20N/AN/A1,3229616,2834,925
2010-01-08$31.67$30.0041.6%13.3%35.5%4.3%46.2%5.6%-0.3%129.5K-15.0M-36.7K1.828.34N/AN/A2614757,0655,620
2010-01-11$31.77$30.0048.5%13.9%35.6%17.9%46.1%6.5%-1.4%113.4K-14.7M-38.5K0.4816.50N/AN/A4302087,1346,017
2010-01-12$30.41$30.0046.5%13.6%40.1%14.0%44.9%8.0%-1.2%133.4K-12.3M-40.7K0.7014.01N/AN/A3172227,3536,164
2010-01-13$30.60$30.0045.6%13.7%39.9%12.2%44.5%6.3%-1.6%151.8K-12.8M-41.1K0.0917.17N/AN/A410387,4256,175
2010-01-14$30.67$30.0047.5%13.6%38.5%15.8%47.1%6.5%-0.9%189.2K-13.2M-39.8K1.0817.42N/AN/A2122307,5446,176
2010-01-15$30.01$30.0047.2%13.5%38.5%15.2%45.1%6.3%-0.9%704.0K-11.4M-40.8K0.6320.51N/AN/A3562257,5646,310
2010-01-19$31.23$30.0047.4%13.6%39.8%15.7%44.7%6.6%-1.9%66.4K-12.0M-37.1K0.6511.00N/AN/A5173386,6725,692
2010-01-20$31.00$30.0046.6%13.4%40.3%14.2%46.5%6.6%-1.6%65.2K-11.6M-38.7K3.7119.51N/AN/A582156,8285,920
2010-01-21$30.43$30.0047.7%13.7%41.0%16.3%47.5%3.5%-1.9%47.7K-10.7M-39.7K3.1312.37N/AN/A1093416,8255,992
2010-01-22$29.25$30.0048.9%14.0%43.5%18.6%48.8%4.5%-1.4%21.9K-8.4M-40.7K0.1921.90N/AN/A495946,7845,988
2010-01-25$29.09$30.0048.8%14.0%42.2%18.4%50.0%4.9%-1.6%12.2K-8.0M-39.7K2.3019.82N/AN/A5991,3786,8206,027
2010-01-26$28.77$30.0042.7%12.2%42.4%6.5%44.0%2.3%0.9%1.5K-7.6M-38.1K1.4226.42N/AN/A7971,1286,9486,125
2010-01-27$28.68$30.0043.6%12.5%41.9%8.3%46.1%10.7%0.4%-23.6K-6.7M-40.4K1.0219.32N/AN/A1982017,0746,529
2010-01-28$27.42$30.0049.7%14.3%45.1%20.2%49.7%4.4%-1.6%-30.9K-4.2M-41.2K2.3218.41N/AN/A471097,0736,575
2010-01-29$26.80$30.0049.1%14.1%45.7%19.0%44.5%4.3%-1.0%-42.0K-2.0M-40.3K0.6216.23N/AN/A1641016,5406,613