CRS Options History — July 2010

In July 2010, CRS traded between $32.00 and $38.11. ATM implied volatility averaged 50.6%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 0.7% (HV 20d: 51.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-07-06: Highest Volume — 724 contracts
  • 2010-07-07: Largest IV drop — 23.3% change
  • 2010-07-06: Highest IV Rank — 81.9%
  • 2010-07-06: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.58$32.00$38.11$32.59$34.95
Max Pain$31.90$30.00$35.00$35.00$35.00
ATM IV50.6%44.1%64.1%52.2%44.1%
Expected Move14.9%12.7%18.0%15.0%12.7%
HV 20d51.3%47.3%55.3%53.6%51.9%
HV 60d56.8%55.5%58.1%55.8%57.1%
IV Rank41.2%21.7%81.9%45.9%21.7%
IV Percentile50.7%16.3%95.2%60.7%16.3%
Term Structure-1.1%-3.5%4.2%4.2%1.2%
VWIV52.3%43.4%60.8%57.1%43.4%
Skew 25d10.2%8.3%13.4%12.0%10.0%
Skew 10d18.5%8.6%32.5%14.7%16.0%
Call IV 25d46.8%39.3%54.0%50.1%39.5%
Put IV 25d57.0%49.4%62.8%62.1%49.5%
Bid-Ask Spread %15.377.7630.4730.4723.47
Gamma HHI0.200.160.240.230.19
Net GEX-9.5K-57.9K49.6K-57.0K184
Net DEX583.3K-2.4M3.0M2.6M130.7K
Net VEX-21.6K-24.1K-19.0K-20.7K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.042.811.601.70
Total Volume236.38155724208108
Total OI6,095.2865,2156,9715,6456,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$32.59$35.0052.2%15.0%53.6%45.9%57.1%12.0%4.2%-57.0K2.6M-20.7K1.6030.47N/AN/A801282,6103,035
2010-07-02$32.25$35.0060.2%17.2%48.6%69.9%0.0%8.9%2.7%-57.9K2.7M-20.9K0.8010.64N/AN/A76612,6633,077
2010-07-06$32.00$30.0064.1%18.0%47.3%81.9%60.8%8.8%-3.2%-55.6K2.8M-19.9K0.899.58N/AN/A3833412,7273,077
2010-07-07$34.14$30.0049.2%15.5%53.0%37.0%59.8%10.6%-1.3%-43.9K1.4M-21.9K0.0419.29N/AN/A290112,9653,369
2010-07-08$34.43$30.0046.5%15.1%52.8%28.7%56.5%11.2%-0.6%-30.3K1.1M-21.9K2.8116.27N/AN/A27763,0613,369
2010-07-09$35.54$30.0045.0%15.0%50.9%24.4%52.9%10.7%-0.3%-13.5K8.7K-22.1K0.9419.97N/AN/A1091023,0763,435
2010-07-12$33.86$30.0049.9%15.4%48.0%39.1%58.7%10.6%-1.5%-36.5K1.6M-21.2K1.7718.66N/AN/A30533,1593,426
2010-07-13$34.35$30.0048.4%15.1%48.3%34.6%48.8%12.4%-1.4%-25.5K1.1M-21.1K0.687.99N/AN/A1931323,1773,435
2010-07-14$34.60$30.0045.0%14.9%48.2%24.2%59.9%10.2%-0.7%-2.6K772.6K-21.4K0.667.76N/AN/A114753,3393,463
2010-07-15$33.87$30.0051.3%14.7%47.5%43.3%51.3%11.0%-0.9%-10.1K1.8M-20.9K0.7410.75N/AN/A120893,4163,518
2010-07-16$32.49$30.0057.8%16.6%49.1%62.8%52.6%8.3%-0.9%-26.7K3.0M-19.2K0.3012.62N/AN/A221663,3933,578
2010-07-19$32.45$30.0058.2%16.7%49.1%64.0%49.2%9.3%-3.3%-26.0K1.4M-19.0K0.1912.40N/AN/A189352,4172,798
2010-07-20$34.36$30.0049.9%14.3%54.1%39.1%50.2%9.3%-2.4%-5.6K382.0K-20.1K0.3314.06N/AN/A221742,4922,808
2010-07-21$34.17$30.0050.6%14.5%52.0%41.2%50.4%11.0%-2.3%-617272.6K-20.9K0.1414.14N/AN/A90132,5902,859
2010-07-22$35.80$30.0049.7%14.3%54.8%38.5%50.1%10.7%-2.4%17.9K-749.2K-21.6K0.449.72N/AN/A4161852,6552,859
2010-07-23$37.17$35.0050.4%14.4%54.8%40.5%49.3%13.4%-1.2%39.4K-1.9M-23.9K1.0313.10N/AN/A95982,8802,970
2010-07-26$38.11$35.0044.9%12.9%55.1%24.1%49.8%9.7%-2.0%49.6K-2.4M-23.8K0.3922.35N/AN/A109422,8623,002
2010-07-27$37.56$35.0045.8%13.1%55.3%26.7%47.1%8.6%-2.9%46.4K-2.2M-24.1K0.0421.61N/AN/A5322,9433,022
2010-07-28$35.85$35.0053.4%15.3%52.0%49.4%53.2%8.7%-3.5%22.7K-890.4K-23.5K0.9710.99N/AN/A1551502,9733,022
2010-07-29$35.68$35.0046.0%13.2%51.3%27.4%45.6%9.3%-0.0%15.5K-564.4K-23.6K0.3316.99N/AN/A114383,1063,133
2010-07-30$34.95$35.0044.1%12.7%51.9%21.7%43.4%10.0%1.2%184130.7K-22.3K1.7023.47N/AN/A40683,1103,132