CRS Options History — February 2010

In February 2010, CRS traded between $26.54 and $31.08. ATM implied volatility averaged 49.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 6.6% (HV 20d: 55.6%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-02-05: Highest Volume — 1,201 contracts
  • 2010-02-04: Largest IV spike — 21.9% change
  • 2010-02-08: Highest IV Rank — 35.6%
  • 2010-02-04: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.98$26.54$31.08$28.82$29.87
Max Pain$24.34$22.50$30.00$30.00$25.00
ATM IV49.0%43.4%57.7%43.4%45.8%
Expected Move13.8%12.4%15.5%12.4%13.1%
HV 20d55.6%47.7%61.7%51.4%57.2%
HV 60d44.4%41.2%46.3%41.8%45.0%
IV Rank18.8%7.8%35.6%7.8%12.6%
IV Percentile23.9%4.0%60.7%4.0%11.5%
Term Structure-0.5%-2.2%1.0%1.0%-0.9%
VWIV48.2%44.1%53.7%44.1%45.8%
Skew 25d6.2%3.1%17.2%11.9%4.2%
Skew 10d13.3%4.1%28.0%21.7%6.7%
Call IV 25d45.2%34.1%51.7%38.4%44.4%
Put IV 25d51.4%47.3%55.8%50.3%48.6%
Bid-Ask Spread %15.999.0922.9618.4515.19
Gamma HHI0.340.260.430.350.26
Net GEX-6.4K-42.8K41.2K-30.4K14.2K
Net DEX-7.2M-13.4M-1.6M-5.6M-9.7M
Net VEX-38.1K-43.2K-32.8K-39.0K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.093.490.510.09
Total Volume487.6321141,201431688
Total OI14,077.94712,48415,19513,19713,639

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$28.82$30.0043.4%12.4%51.4%7.8%44.1%11.9%1.0%-30.4K-5.6M-39.0K0.5118.45N/AN/A2851466,5456,652
2010-02-02$29.32$30.0044.4%12.7%49.5%9.8%44.3%11.1%-0.2%-20.7K-6.9M-38.1K0.5613.88N/AN/A3011696,6526,752
2010-02-03$28.56$30.0044.3%12.7%47.7%9.7%44.8%6.6%0.7%-41.1K-5.2M-39.0K0.6213.24N/AN/A2481536,7236,869
2010-02-04$26.64$30.0054.0%15.5%51.0%28.5%49.7%3.6%-2.1%-42.8K-1.6M-40.1K0.2719.27N/AN/A6301726,7926,794
2010-02-05$26.98$22.5057.0%15.4%51.2%34.4%51.8%6.4%0.1%-33.8K-2.1M-41.4K1.7819.13N/AN/A4327697,0036,869
2010-02-08$26.54$22.5057.7%15.3%49.8%35.6%53.1%4.1%-2.1%-36.8K-1.6M-42.5K0.5517.78N/AN/A2181197,3707,193
2010-02-09$28.04$22.5051.7%14.1%54.6%24.1%51.8%6.0%-0.8%-27.2K-4.4M-43.2K0.3717.33N/AN/A3461297,3347,208
2010-02-10$27.22$22.5057.4%15.4%53.5%35.2%53.7%5.1%-2.2%-29.5K-3.1M-41.9K3.4922.96N/AN/A431507,5587,227
2010-02-11$28.23$22.5047.4%13.6%55.4%15.7%48.0%3.8%0.0%-19.3K-5.6M-41.1K2.2417.90N/AN/A1252807,6007,259
2010-02-12$28.17$22.5047.4%13.6%55.4%15.7%46.7%5.9%1.0%-29.6K-4.8M-40.7K1.1119.85N/AN/A54607,5917,386
2010-02-16$30.37$22.5050.0%14.3%61.7%20.8%50.3%4.4%-1.1%-7.1K-10.3M-36.4K0.5218.26N/AN/A3832007,5937,405
2010-02-17$30.22$22.5048.1%13.8%59.9%17.1%49.6%4.3%-0.4%7.2K-10.1M-37.0K1.2811.93N/AN/A791017,6117,417
2010-02-18$30.86$22.5048.0%13.8%60.4%16.8%46.9%4.4%-0.4%18.7K-12.2M-35.0K0.2211.66N/AN/A183417,6957,394
2010-02-19$31.08$22.5047.2%13.5%60.1%15.3%46.9%4.8%-0.6%28.4K-13.4M-33.8K0.7512.13N/AN/A2011507,7917,404
2010-02-22$30.81$22.5046.5%13.3%58.3%13.9%46.1%5.4%0.9%26.0K-11.3M-32.8K0.3813.84N/AN/A5542136,2466,238
2010-02-23$29.88$22.5047.9%13.7%59.4%16.7%48.1%5.1%-1.8%35.4K-9.9M-35.6K1.2814.43N/AN/A3624626,6526,271
2010-02-24$29.31$22.5046.4%13.3%59.7%13.7%47.3%3.1%-0.5%41.2K-9.0M-36.1K1.4217.43N/AN/A1371946,8786,332
2010-02-25$29.67$25.0046.1%13.2%59.8%13.1%46.5%17.2%0.1%25.5K-9.2M-35.4K0.989.09N/AN/A2462426,9516,587
2010-02-26$29.87$25.0045.8%13.1%57.2%12.6%45.8%4.2%-0.9%14.2K-9.7M-35.1K0.0915.19N/AN/A630586,9826,657