CRS Options History — June 2010

In June 2010, CRS traded between $32.83 and $39.67. ATM implied volatility averaged 54.6%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 10.0% (HV 20d: 64.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2010-06-08: Highest Volume — 466 contracts
  • 2010-06-04: Largest IV spike — 41.4% change
  • 2010-06-04: Highest IV Rank — 94.3%
  • 2010-06-01: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.67$32.83$39.67$36.25$32.83
Max Pain$34.32$30.00$35.00$30.00$35.00
ATM IV54.6%45.8%68.3%66.8%54.4%
Expected Move15.5%13.1%19.1%19.1%15.6%
HV 20d64.6%53.7%71.3%62.8%53.7%
HV 60d54.0%50.4%55.8%50.4%55.8%
IV Rank53.3%26.7%94.3%89.7%52.6%
IV Percentile65.0%25.0%99.6%98.0%71.8%
Term Structure0.8%-5.1%3.9%-3.6%2.9%
VWIV55.5%45.3%68.2%62.8%54.9%
Skew 25d12.2%8.8%20.0%17.9%16.8%
Skew 10d23.7%-2.6%40.2%40.2%14.2%
Call IV 25d48.6%42.2%57.3%54.1%48.6%
Put IV 25d60.8%53.0%72.0%72.0%65.4%
Bid-Ask Spread %20.1910.1235.2018.6510.12
Gamma HHI0.300.180.600.310.23
Net GEX68.2K-55.6K255.2K101.3K-55.6K
Net DEX-2.4M-6.9M2.3M-3.7M2.3M
Net VEX-25.9K-30.1K-21.6K-30.1K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.038.102.180.03
Total Volume183.818334663566
Total OI7,648.0914,9709,6328,5215,604

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$36.25$30.0066.8%19.1%62.8%89.7%62.8%17.9%-3.6%101.3K-3.7M-30.1K2.1818.65N/AN/A11244,2474,274
2010-06-02$38.51$30.0053.4%15.3%66.1%49.6%62.9%20.0%-1.6%143.7K-5.6M-29.7K0.6835.20N/AN/A38264,2374,275
2010-06-03$37.82$30.0048.3%13.8%66.3%34.2%55.5%16.0%2.8%132.9K-4.9M-28.7K0.8822.66N/AN/A1251104,2484,293
2010-06-04$35.32$35.0068.3%18.0%70.3%94.3%61.5%13.4%-5.1%78.3K-2.4M-28.8K0.0026.14N/AN/A02254,3234,355
2010-06-07$34.12$35.0066.1%17.9%70.1%87.6%66.1%13.3%-2.1%33.3K-858.0K-27.1K1.3617.43N/AN/A14194,3234,510
2010-06-08$34.47$35.0061.0%17.4%66.3%72.5%68.2%11.1%-1.5%32.3K-1.1M-26.2K0.1022.64N/AN/A422444,3134,511
2010-06-09$34.96$35.0061.1%17.1%66.5%72.7%63.8%14.4%-0.4%35.7K-1.4M-25.6K7.7323.49N/AN/A11854,2444,517
2010-06-10$36.73$35.0057.4%16.5%67.3%61.7%0.0%12.4%0.3%65.4K-3.2M-25.2K1.6422.35N/AN/A28464,2354,583
2010-06-11$38.99$35.0050.3%14.4%71.3%40.2%50.2%11.2%3.3%169.2K-5.9M-26.5K0.5829.49N/AN/A118694,2444,609
2010-06-14$39.37$35.0053.1%15.2%69.1%48.8%52.4%9.3%0.2%206.9K-6.6M-26.0K1.2120.10N/AN/A1261524,3184,645
2010-06-15$39.67$35.0050.7%14.5%67.3%41.4%45.3%10.7%0.9%255.2K-6.9M-26.0K0.1021.31N/AN/A405414,3574,729
2010-06-16$38.33$35.0051.5%14.8%68.5%43.8%55.7%12.4%0.3%225.1K-5.3M-25.8K8.1018.10N/AN/A10814,6944,747
2010-06-17$38.09$35.0047.4%13.6%68.5%31.6%53.6%9.2%2.6%94.1K-4.4M-24.2K2.9020.64N/AN/A611774,6764,801
2010-06-18$38.05$35.0045.8%13.1%62.7%26.7%49.7%9.2%3.9%17.5K-4.3M-24.5K0.1620.80N/AN/A269424,7114,921
2010-06-21$38.32$35.0046.5%13.3%60.2%29.0%46.8%9.8%2.8%30.2K-1.2M-25.1K0.2923.83N/AN/A190562,3502,620
2010-06-22$36.63$35.0055.0%15.8%62.0%54.5%53.4%11.7%-0.9%17.9K-357.6K-25.1K3.4912.79N/AN/A451572,5272,664
2010-06-23$37.03$35.0052.1%14.9%61.8%45.7%49.2%10.9%3.1%11.8K-396.7K-25.5K0.8118.71N/AN/A1401142,5472,809
2010-06-24$35.66$35.0052.5%15.1%63.2%46.9%52.7%9.3%3.3%-7.4K464.6K-25.0K3.0012.69N/AN/A361082,5972,868
2010-06-25$36.28$35.0052.1%14.9%59.4%45.5%51.7%9.7%2.9%-12.1K317.4K-25.2K0.7613.72N/AN/A45342,5802,972
2010-06-28$35.88$35.0052.8%15.1%59.0%47.7%52.7%10.9%2.3%-24.9K604.6K-24.7K2.5015.34N/AN/A32802,5853,002
2010-06-29$33.50$35.0055.3%15.8%58.7%55.2%57.0%8.8%1.1%-49.6K2.0M-22.4K0.2617.92N/AN/A129332,5793,014
2010-06-30$32.83$35.0054.4%15.6%53.7%52.6%54.9%16.8%2.9%-55.6K2.3M-21.6K0.0310.12N/AN/A6422,5693,035