CRS Options History — April 2010

In April 2010, CRS traded between $36.94 and $42.52. ATM implied volatility averaged 44.4%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 4.0% (HV 20d: 40.3%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2010-04-08: Highest Volume — 1,541 contracts
  • 2010-04-12: Largest IV spike — 24.9% change
  • 2010-04-26: Highest IV Rank — 40.1%
  • 2010-04-26: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.34$36.94$42.52$37.28$39.27
Max Pain$36.19$30.00$40.00$30.00$40.00
ATM IV44.4%36.9%50.7%43.9%44.1%
Expected Move13.1%12.6%14.5%12.6%12.6%
HV 20d40.3%35.9%46.9%39.7%46.9%
HV 60d45.4%44.1%47.4%46.0%45.4%
IV Rank20.3%0.0%40.1%14.9%20.9%
IV Percentile18.7%0.0%48.4%12.7%15.9%
Term Structure-1.2%-3.5%4.6%4.6%0.1%
VWIV47.1%43.0%54.0%44.1%46.4%
Skew 25d4.4%2.0%6.4%2.2%2.0%
Skew 10d8.1%-2.5%12.0%4.4%-2.5%
Call IV 25d44.5%41.5%48.0%41.5%43.9%
Put IV 25d48.9%43.6%53.2%43.6%45.9%
Bid-Ask Spread %17.3910.3924.7210.3918.77
Gamma HHI0.540.390.790.540.41
Net GEX194.0K105.8K389.6K173.8K157.2K
Net DEX-10.7M-14.6M-6.0M-10.0M-7.7M
Net VEX-33.3K-35.9K-31.1K-34.6K-34.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.119.410.829.41
Total Volume326.762401,54140177
Total OI9,427.6197,87210,76410,0508,513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$37.28$30.0043.9%12.6%39.7%14.9%44.1%2.2%4.6%173.8K-10.0M-34.6K0.8210.39N/AN/A22185,4624,588
2010-04-05$37.96$40.0043.0%12.9%39.5%12.1%45.6%5.5%-0.9%190.4K-11.1M-33.8K0.2717.61N/AN/A97265,4774,606
2010-04-06$38.45$40.0043.5%12.7%39.5%13.8%0.0%5.1%-0.7%199.9K-11.9M-32.9K0.8017.24N/AN/A64515,4664,585
2010-04-07$38.32$40.0042.8%13.1%39.6%11.4%46.0%4.7%-1.8%197.9K-11.6M-32.8K0.4317.09N/AN/A92405,5024,603
2010-04-08$38.50$40.0040.6%13.0%39.5%4.7%52.8%6.4%-1.1%206.7K-11.9M-32.3K0.1118.32N/AN/A1,3941475,5024,603
2010-04-09$38.63$35.0036.9%13.0%39.5%0.0%48.6%5.6%-2.0%235.7K-11.5M-34.9K0.2419.83N/AN/A318755,6304,736
2010-04-12$38.31$35.0046.1%13.1%37.9%26.7%48.9%5.1%-2.2%217.8K-11.0M-33.2K0.6217.61N/AN/A2781715,5624,779
2010-04-13$38.86$35.0041.0%13.0%35.9%12.0%47.3%4.3%-2.4%249.0K-11.8M-33.2K0.5217.53N/AN/A178925,6064,950
2010-04-14$40.25$35.0039.0%12.8%35.9%6.2%45.9%4.5%-2.1%336.2K-14.6M-32.3K0.8216.55N/AN/A2932405,6934,983
2010-04-15$39.75$35.0045.6%13.1%36.5%25.1%46.3%3.6%-2.1%389.6K-13.3M-32.6K0.5618.74N/AN/A34195,6715,091
2010-04-16$38.68$35.0044.7%12.8%35.9%22.6%47.4%3.8%-0.4%175.6K-10.9M-32.4K0.5722.01N/AN/A111635,6865,078
2010-04-19$36.94$35.0049.1%14.1%38.9%35.4%49.4%3.4%-3.5%105.8K-6.0M-32.5K0.2917.20N/AN/A215634,1803,692
2010-04-20$37.94$35.0045.7%13.1%39.8%25.5%46.2%4.8%-2.1%123.0K-7.4M-33.1K0.7013.79N/AN/A46324,3353,737
2010-04-21$40.58$35.0046.9%13.4%44.2%28.9%46.3%4.4%-2.6%141.6K-10.4M-31.1K0.4921.80N/AN/A2891424,3153,744
2010-04-22$41.56$35.0045.0%12.9%42.5%23.4%45.0%2.9%-1.2%156.8K-11.5M-31.7K0.5424.72N/AN/A123664,5073,854
2010-04-23$42.52$35.0045.8%13.1%39.6%25.9%45.6%4.2%-2.2%157.9K-12.5M-32.4K0.8014.49N/AN/A95764,5253,912
2010-04-26$42.31$35.0050.7%14.5%39.1%40.1%54.0%5.5%-2.7%157.5K-12.2M-33.2K1.3016.62N/AN/A4786214,5783,962
2010-04-27$39.68$35.0046.2%13.2%45.7%26.9%46.1%5.1%0.1%164.5K-9.4M-35.9K0.7715.70N/AN/A1761364,9063,978
2010-04-28$39.88$35.0045.2%12.9%45.4%23.9%46.3%5.2%0.3%167.1K-9.3M-35.6K1.1315.04N/AN/A1151304,8984,010
2010-04-29$40.48$40.0045.7%13.1%45.5%25.5%43.0%3.9%-0.9%170.2K-9.1M-34.2K0.4714.23N/AN/A40194,5293,946
2010-04-30$39.27$40.0044.1%12.6%46.9%20.9%46.4%2.0%0.1%157.2K-7.7M-34.0K9.4118.77N/AN/A171604,5483,965