CRS Options History — August 2010

In August 2010, CRS traded between $30.58 and $36.45. ATM implied volatility averaged 46.7%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 3.0% (HV 20d: 49.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2010-08-23: Highest Volume — 1,160 contracts
  • 2010-08-13: Largest IV drop — 15.8% change
  • 2010-08-12: Highest IV Rank — 48.4%
  • 2010-08-12: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$30.58$36.45$36.45$31.01
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV46.7%42.7%53.0%45.3%48.0%
Expected Move13.5%12.6%15.2%13.0%13.8%
HV 20d49.8%43.3%55.1%53.4%43.3%
HV 60d54.5%48.5%57.7%57.7%48.5%
IV Rank29.5%17.4%48.4%25.1%33.5%
IV Percentile35.9%11.1%69.8%24.2%47.6%
Term Structure2.4%-0.1%4.9%-0.1%3.3%
VWIV47.3%42.4%55.0%44.7%48.2%
Skew 25d8.4%5.1%10.7%7.8%8.6%
Skew 10d17.9%10.4%30.3%17.2%16.5%
Call IV 25d43.2%38.8%47.2%39.7%43.9%
Put IV 25d51.6%47.5%56.0%47.5%52.5%
Bid-Ask Spread %18.277.7326.8119.9923.63
Gamma HHI0.260.190.350.220.33
Net GEX382-43.1K60.6K25.6K-5.6K
Net DEX943.5K-1.2M3.0M-1.1M2.0M
Net VEX-19.8K-23.0K-16.3K-22.3K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.002.640.800.73
Total Volume252.045471,16041883
Total OI6,992.3646,2467,7286,2467,554

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$36.45$35.0045.3%13.0%53.4%25.1%44.7%7.8%-0.1%25.6K-1.1M-22.3K0.8019.99N/AN/A2321863,0943,152
2010-08-03$35.37$35.0044.6%12.8%54.7%23.2%44.9%7.8%0.9%-10.9K-97.4K-22.3K0.4618.32N/AN/A134613,1123,266
2010-08-04$36.24$35.0045.4%13.0%50.6%25.5%42.4%9.6%-0.0%9.7K-949.5K-23.0K0.1823.67N/AN/A137243,2003,271
2010-08-05$35.51$35.0044.0%12.6%51.2%21.2%0.0%7.4%1.3%-4.0K-393.3K-22.7K0.0026.81N/AN/A4703,2403,271
2010-08-06$36.38$35.0042.7%12.9%50.7%17.4%45.0%10.0%2.8%12.7K-1.2M-22.8K0.9314.50N/AN/A30283,2873,287
2010-08-09$36.00$35.0044.6%13.0%47.4%23.2%45.3%9.2%2.5%4.9K-953.0K-21.8K2.057.73N/AN/A20413,3123,298
2010-08-10$35.19$35.0044.6%13.1%48.1%23.1%45.6%9.1%2.8%-16.9K-104.8K-21.3K0.1616.02N/AN/A145233,3273,313
2010-08-11$32.82$35.0047.1%13.6%54.2%30.6%53.2%8.3%2.6%-35.0K2.0M-19.1K0.7715.14N/AN/A73563,3373,309
2010-08-12$31.67$35.0053.0%15.2%55.1%48.4%55.0%10.7%0.7%-39.1K3.0M-17.2K1.5515.29N/AN/A691073,3303,322
2010-08-13$32.53$35.0044.6%12.8%54.1%23.2%46.3%9.5%2.9%-43.1K2.5M-18.3K0.3324.15N/AN/A116383,3483,407
2010-08-16$32.70$35.0046.2%13.2%54.1%28.0%49.0%8.9%2.7%-38.3K2.4M-18.1K0.6122.63N/AN/A122753,4403,438
2010-08-17$33.85$35.0044.5%12.7%51.5%22.7%44.5%8.7%4.9%-38.9K1.3M-19.3K0.0019.42N/AN/A32803,4933,463
2010-08-18$34.51$35.0044.7%12.8%52.0%23.3%44.9%8.0%3.7%-34.7K195.2K-20.5K0.0318.43N/AN/A342103,7173,463
2010-08-19$33.83$35.0046.2%13.2%49.5%27.9%46.2%7.8%3.0%-3.6K681.1K-21.0K0.1818.93N/AN/A463843,9233,453
2010-08-20$33.26$35.0046.3%13.3%47.3%28.1%46.8%7.0%3.0%60.6K1.1M-20.8K0.2120.18N/AN/A393824,2773,451
2010-08-23$31.73$35.0051.2%14.7%48.0%43.1%48.3%8.2%1.6%56.9K973.3K-19.1K0.4517.84N/AN/A7993614,0962,964
2010-08-24$31.25$35.0050.3%14.4%48.0%40.2%49.6%6.4%2.1%40.6K1.6M-18.7K1.0814.71N/AN/A59644,3583,161
2010-08-25$30.95$35.0049.6%14.2%46.0%38.1%47.1%9.4%2.9%27.9K1.9M-18.3K0.1115.57N/AN/A201224,3723,206
2010-08-26$30.88$35.0049.3%14.1%46.0%37.3%49.8%5.1%2.9%23.5K1.9M-17.7K2.6415.13N/AN/A28744,4183,207
2010-08-27$31.38$35.0047.7%13.7%46.4%32.4%45.4%7.7%3.5%29.6K1.8M-17.7K1.0318.83N/AN/A1151194,1963,266
2010-08-30$30.58$35.0048.2%13.8%43.4%33.8%50.3%9.1%3.5%-13.5K2.3M-16.3K2.5815.11N/AN/A431114,1553,278
2010-08-31$31.01$35.0048.0%13.8%43.3%33.5%48.2%8.6%3.3%-5.6K2.0M-16.5K0.7323.63N/AN/A48354,1873,367