CRS Options History — May 2010

In May 2010, CRS traded between $34.46 and $41.35. ATM implied volatility averaged 57.5%, placing in the 61.8% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 3.9% (HV 20d: 53.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-05-07: Highest Volume — 1,170 contracts
  • 2010-05-20: Largest IV spike — 16.8% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.41$34.46$41.35$39.76$38.91
Max Pain$32.00$30.00$40.00$40.00$30.00
ATM IV57.5%49.1%70.2%49.1%50.0%
Expected Move16.3%14.1%20.1%14.1%14.3%
HV 20d53.5%46.7%58.4%46.7%58.0%
HV 60d44.3%41.5%48.2%42.7%48.2%
IV Rank61.8%35.4%100.0%35.4%39.2%
IV Percentile76.6%43.7%100.0%43.7%48.0%
Term Structure-1.9%-7.2%3.9%-2.5%1.7%
VWIV57.2%47.7%70.4%49.1%55.0%
Skew 25d8.2%-3.5%20.4%3.4%9.4%
Skew 10d13.7%-19.1%36.8%4.9%21.9%
Call IV 25d52.6%43.7%63.0%45.7%47.3%
Put IV 25d60.9%49.1%74.5%49.1%56.6%
Bid-Ask Spread %26.9914.7646.8519.0218.96
Gamma HHI0.370.210.480.400.33
Net GEX146.1K4.3K253.9K151.3K150.7K
Net DEX-6.2M-10.5M-1.0M-8.1M-6.3M
Net VEX-34.0K-37.4K-31.5K-33.8K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.084.060.211.97
Total Volume333.4931,170570110
Total OI9,117.057,9669,7788,6798,482

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$39.76$40.0049.1%14.1%46.7%35.4%49.1%3.4%-2.5%151.3K-8.1M-33.8K0.2119.02N/AN/A472984,5544,125
2010-05-04$38.60$40.0051.7%14.8%47.8%42.8%51.8%0.4%-2.0%179.9K-7.2M-35.0K1.1414.96N/AN/A1101254,8613,993
2010-05-05$38.11$40.0054.8%15.7%48.0%51.8%54.8%12.1%-3.0%163.4K-6.5M-35.0K1.1231.62N/AN/A1972204,8114,015
2010-05-06$37.35$40.0059.0%16.9%48.5%64.1%61.8%-3.5%3.9%129.4K-5.3M-35.2K0.6141.27N/AN/A3972444,6634,046
2010-05-07$38.45$30.0061.4%16.4%49.7%71.1%61.3%7.2%-2.7%154.9K-6.7M-37.4K4.0621.50N/AN/A2319394,8794,126
2010-05-10$40.72$30.0056.7%15.3%53.6%57.3%53.3%5.9%-1.8%194.6K-9.3M-36.5K0.9514.76N/AN/A1691604,8124,662
2010-05-11$39.69$30.0059.2%15.7%54.3%64.5%50.3%7.6%-1.4%188.1K-8.1M-36.9K0.0817.14N/AN/A304254,8634,687
2010-05-12$41.35$30.0054.3%14.8%54.9%50.6%49.7%8.1%-1.5%250.7K-10.5M-34.9K1.1619.14N/AN/A43505,0274,645
2010-05-13$41.17$30.0051.4%14.7%54.7%42.0%47.7%6.4%-0.1%253.9K-10.5M-35.0K0.7920.29N/AN/A95755,0384,628
2010-05-14$39.14$30.0055.7%16.0%56.9%60.5%57.5%6.8%-3.1%184.4K-7.0M-36.1K0.2816.65N/AN/A205575,0614,675
2010-05-17$37.56$30.0053.3%15.3%56.4%52.8%53.9%8.0%0.4%141.3K-4.6M-33.3K0.5638.38N/AN/A2771555,0484,689
2010-05-18$37.29$30.0060.5%17.4%55.6%76.1%55.5%9.3%-3.6%127.0K-4.4M-33.3K2.0036.85N/AN/A37745,0414,681
2010-05-19$37.06$30.0060.1%17.2%49.4%74.6%62.5%7.9%-3.6%95.2K-3.8M-33.0K0.6222.72N/AN/A151935,0334,745
2010-05-20$34.46$30.0070.2%20.1%53.8%100.0%69.0%10.7%-7.2%4.3K-1.0M-32.9K0.7926.59N/AN/A57455,0184,736
2010-05-21$36.33$30.0065.4%18.8%57.1%85.7%60.1%11.0%-5.2%51.2K-3.0M-31.9K0.3646.85N/AN/A201734,9984,739
2010-05-24$37.12$30.0068.2%19.6%58.1%94.2%61.9%10.2%-5.5%100.7K-4.3M-31.5K0.6239.77N/AN/A3131953,9444,022
2010-05-25$37.75$30.0058.5%16.8%54.4%65.0%70.4%20.4%1.8%119.4K-4.8M-32.7K1.6332.95N/AN/A1362214,1544,119
2010-05-26$37.53$30.0057.4%16.4%54.3%61.5%65.4%13.4%-4.9%122.7K-5.1M-32.0K3.6038.86N/AN/A471694,1704,107
2010-05-27$39.82$30.0052.5%15.1%58.4%47.0%53.2%10.0%1.9%159.7K-7.1M-31.7K0.2121.45N/AN/A81174,2104,234
2010-05-28$38.91$30.0050.0%14.3%58.0%39.2%55.0%9.4%1.7%150.7K-6.3M-31.6K1.9718.96N/AN/A37734,2414,241