CRS Options History — September 2010

In September 2010, CRS traded between $32.61 and $34.98. ATM implied volatility averaged 40.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 3.2% (HV 20d: 37.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-09-21: Highest Volume — 425 contracts
  • 2010-09-08: Largest IV spike — 18.8% change
  • 2010-09-15: Highest IV Rank — 30.3%
  • 2010-09-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.66$32.61$34.98$32.66$33.71
Max Pain$30.71$30.00$35.00$35.00$30.00
ATM IV40.6%32.4%46.1%46.1%40.7%
Expected Move11.9%11.0%13.2%13.2%11.7%
HV 20d37.4%30.7%46.9%46.9%30.7%
HV 60d46.4%43.2%49.6%49.6%43.2%
IV Rank20.2%0.0%30.3%27.5%22.0%
IV Percentile9.1%0.0%33.3%33.3%10.7%
Term Structure4.4%3.3%6.2%4.6%4.8%
VWIV41.9%31.3%47.3%47.3%42.1%
Skew 25d9.3%3.0%13.3%6.9%10.6%
Skew 10d17.5%-1.2%30.0%25.5%17.8%
Call IV 25d38.3%30.5%42.5%40.3%36.1%
Put IV 25d47.6%42.1%51.2%47.2%46.7%
Bid-Ask Spread %18.378.9531.4612.0414.92
Gamma HHI0.470.200.860.410.39
Net GEX154.3K22.5K588.3K76.4K73.2K
Net DEX-765.1K-2.9M746.7K382.0K-990.1K
Net VEX-15.9K-18.7K-12.5K-18.4K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.150.241.31
Total Volume185.76212425327143
Total OI6,005.6193,1267,8667,5574,137

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$32.66$35.0046.1%13.2%46.9%27.5%47.3%6.9%4.6%76.4K382.0K-18.4K0.2412.04N/AN/A263644,1903,367
2010-09-02$32.61$35.0040.2%11.5%46.6%9.7%0.0%6.3%4.7%81.2K376.7K-18.5K0.0512.00N/AN/A5834,2703,374
2010-09-03$33.10$30.0037.3%12.2%45.9%1.3%46.8%9.3%3.9%125.8K-145.8K-18.7K2.1518.35N/AN/A471014,3203,376
2010-09-07$32.91$30.0032.4%12.7%45.9%0.0%44.1%8.7%3.3%140.2K-214.5K-17.2K1.4319.79N/AN/A21304,3203,354
2010-09-08$33.49$30.0038.5%12.6%46.0%16.2%43.0%8.7%3.3%170.2K-782.3K-17.5K0.5118.52N/AN/A49254,3253,335
2010-09-09$33.17$30.0043.7%12.5%38.7%29.9%41.2%8.0%4.2%179.5K-310.3K-16.5K0.2620.91N/AN/A193504,3543,357
2010-09-10$33.78$30.0042.5%12.2%36.7%26.8%42.5%8.8%4.7%208.2K-1.0M-17.2K0.0020.36N/AN/A1204,4443,407
2010-09-13$34.77$30.0043.9%12.6%36.8%30.3%38.7%8.9%3.3%358.3K-2.9M-16.8K0.5622.50N/AN/A39224,4383,407
2010-09-14$34.27$30.0043.7%12.5%37.4%29.9%44.1%7.8%3.6%347.3K-1.7M-15.9K0.6322.77N/AN/A97614,4343,407
2010-09-15$34.05$30.0043.9%12.6%35.5%30.3%0.0%7.9%3.7%390.5K-1.1M-15.2K0.0725.98N/AN/A5744,4493,390
2010-09-16$34.40$30.0042.4%12.2%35.0%26.5%43.4%8.1%3.7%588.3K-1.1M-14.6K0.8619.50N/AN/A1371184,4763,390
2010-09-17$33.18$30.0043.1%12.4%36.6%28.4%44.7%7.0%3.4%22.5K746.7K-12.5K0.6222.51N/AN/A2101304,4203,411
2010-09-20$33.03$30.0039.6%11.3%36.2%18.9%41.3%11.8%3.9%28.1K-206.9K-12.9K0.1520.11N/AN/A311481,8661,260
2010-09-21$33.37$30.0038.6%11.1%31.8%16.3%41.2%12.4%5.4%36.5K-348.1K-13.1K0.2020.36N/AN/A353721,9191,292
2010-09-22$33.43$30.0038.3%11.0%31.1%15.6%39.7%12.3%5.7%53.8K-732.8K-14.3K0.138.95N/AN/A103132,1571,330
2010-09-23$33.02$30.0039.7%11.4%31.3%19.3%40.7%9.7%5.0%52.5K-587.6K-14.2K0.099.43N/AN/A4442,2061,342
2010-09-24$34.45$30.0039.9%11.4%34.1%19.9%41.2%13.2%3.9%73.9K-1.3M-14.8K0.9615.19N/AN/A1921852,2311,346
2010-09-27$34.98$30.0039.2%11.2%34.1%18.0%31.3%3.0%5.2%83.1K-1.7M-16.0K1.0331.46N/AN/A1081112,3781,509
2010-09-28$34.00$35.0039.7%11.4%34.4%19.4%42.0%12.5%5.6%70.0K-1.0M-16.4K0.8113.33N/AN/A2021642,4271,593
2010-09-29$34.40$30.0039.3%11.3%34.3%18.3%40.8%13.3%6.2%81.6K-1.4M-16.8K0.3016.86N/AN/A44132,5061,604
2010-09-30$33.71$30.0040.7%11.7%30.7%22.0%42.1%10.6%4.8%73.2K-990.1K-16.3K1.3114.92N/AN/A62812,5321,605