CRS Options History — March 2010

In March 2010, CRS traded between $31.04 and $36.60. ATM implied volatility averaged 41.9%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 1.7% (HV 20d: 40.2%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-03-19: Highest Volume — 2,753 contracts
  • 2010-03-05: Largest IV drop — 19.5% change
  • 2010-03-04: Highest IV Rank — 19.0%
  • 2010-03-04: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.14$31.04$36.60$31.04$36.60
Max Pain$29.13$25.00$30.00$25.00$30.00
ATM IV41.9%39.1%48.5%46.0%44.8%
Expected Move12.1%11.2%13.9%13.2%12.8%
HV 20d40.2%31.3%57.5%57.5%39.6%
HV 60d45.8%44.5%47.9%45.5%46.7%
IV Rank6.8%0.0%19.0%12.9%17.7%
IV Percentile6.4%0.0%25.4%11.9%15.9%
Term Structure2.1%-1.2%3.9%-0.9%1.9%
VWIV42.7%39.0%47.7%45.5%43.5%
Skew 25d3.6%-3.0%8.0%-1.8%-1.4%
Skew 10d6.7%-7.1%22.6%-7.1%-2.2%
Call IV 25d40.9%38.6%44.3%42.8%43.5%
Put IV 25d44.4%38.7%48.6%41.0%42.1%
Bid-Ask Spread %14.287.6423.429.837.64
Gamma HHI0.410.310.690.320.45
Net GEX162.3K81.4K535.0K81.4K143.6K
Net DEX-14.7M-23.5M-5.0M-13.1M-8.7M
Net VEX-32.3K-35.4K-28.9K-34.9K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.003.340.420.29
Total Volume487672,7533711,297
Total OI12,915.3488,68815,74014,1189,482

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$31.04$25.0046.0%13.2%57.5%12.9%45.5%-1.8%-0.9%81.4K-13.1M-34.9K0.429.83N/AN/A2611107,4466,672
2010-03-02$31.65$25.0045.8%13.1%52.3%12.5%45.4%0.6%0.7%110.6K-15.0M-34.6K2.2110.63N/AN/A1172587,5756,646
2010-03-03$32.03$25.0045.1%12.9%52.2%11.9%45.2%2.6%-0.0%104.9K-15.6M-34.7K3.349.69N/AN/A1424747,5976,871
2010-03-04$31.96$25.0048.5%13.9%51.0%19.0%47.7%7.1%-1.2%89.4K-15.2M-35.4K1.1810.08N/AN/A2122517,6947,044
2010-03-05$32.70$30.0039.1%11.7%42.8%0.0%41.1%5.1%2.1%125.3K-17.1M-33.2K2.4315.55N/AN/A37907,7206,894
2010-03-08$32.99$30.0039.4%11.9%42.8%0.8%43.1%4.7%1.4%127.8K-17.7M-31.7K0.0016.29N/AN/A50817,7246,921
2010-03-09$32.97$30.0039.5%11.7%41.9%0.8%40.4%3.7%1.9%146.8K-18.2M-31.8K0.5020.69N/AN/A2781387,9176,921
2010-03-10$32.93$30.0040.3%11.2%38.7%3.2%39.0%5.8%3.2%150.8K-17.7M-32.5K0.6023.42N/AN/A93568,0276,946
2010-03-11$33.40$30.0040.3%11.6%36.0%3.2%0.0%4.4%2.4%164.9K-19.0M-32.1K0.2921.40N/AN/A52158,0936,942
2010-03-12$34.74$30.0040.2%11.5%36.3%2.9%40.1%4.4%2.9%195.1K-21.6M-28.9K0.4910.79N/AN/A2361168,0936,957
2010-03-15$33.76$30.0040.7%11.7%38.7%4.2%41.8%4.0%1.4%178.8K-19.9M-29.0K0.2214.58N/AN/A5961328,0966,966
2010-03-16$34.98$30.0040.2%11.5%31.6%3.0%39.9%4.3%2.2%249.1K-22.5M-30.5K0.4414.12N/AN/A112498,5486,990
2010-03-17$35.20$30.0041.2%11.8%31.3%5.4%41.2%2.0%3.3%286.6K-23.2M-30.4K0.6913.47N/AN/A4232918,6176,994
2010-03-18$34.08$30.0039.4%11.3%33.9%0.9%39.2%1.8%3.4%245.6K-20.9M-30.9K0.8215.14N/AN/A71588,6876,977
2010-03-19$35.21$30.0041.2%11.8%35.3%5.4%40.5%3.5%2.3%535.0K-23.5M-30.6K1.6915.34N/AN/A1,0221,7318,7117,029
2010-03-22$35.09$30.0040.8%11.7%35.0%4.5%41.9%4.5%3.5%109.9K-6.4M-33.2K0.5611.05N/AN/A2071164,6064,082
2010-03-23$36.46$30.0041.6%11.9%33.9%6.4%41.8%7.4%2.6%132.5K-8.2M-33.0K0.5113.10N/AN/A5122594,6824,075
2010-03-24$35.34$30.0042.2%12.1%35.5%8.0%46.0%8.0%2.3%107.7K-6.5M-34.3K1.5812.44N/AN/A651034,8044,267
2010-03-25$34.14$30.0041.0%11.7%38.7%5.1%46.8%4.1%3.5%86.8K-5.0M-33.9K0.9921.28N/AN/A92914,8304,344
2010-03-26$35.29$30.0040.9%11.7%39.8%5.7%44.0%4.9%3.9%104.5K-6.4M-33.0K1.9813.18N/AN/A581154,8064,312
2010-03-29$36.53$30.0043.2%12.4%39.4%12.9%43.0%5.4%2.4%128.7K-8.3M-31.5K0.2319.17N/AN/A87204,8284,356
2010-03-30$36.19$30.0042.5%12.2%39.6%10.5%42.4%-3.0%3.8%126.2K-7.9M-31.7K0.699.65N/AN/A1471024,8974,367
2010-03-31$36.60$30.0044.8%12.8%39.6%17.7%43.5%-1.4%1.9%143.6K-8.7M-31.8K0.297.64N/AN/A1,0042935,0144,468