CRS Options History — October 2010

In October 2010, CRS traded between $34.30 and $38.69. ATM implied volatility averaged 42.7%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 10.1% (HV 20d: 32.6%). 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 11 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2010-10-15: Highest Volume — 773 contracts
  • 2010-10-14: Largest IV spike — 42.2% change
  • 2010-10-25: Highest IV Rank — 50.9%
  • 2010-10-25: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.32$34.30$38.69$34.30$35.66
Max Pain$34.76$30.00$35.00$30.00$35.00
ATM IV42.7%30.3%50.6%38.3%43.7%
Expected Move13.0%11.0%14.5%11.0%12.5%
HV 20d32.6%28.6%35.9%31.2%34.1%
HV 60d40.1%37.6%43.3%43.3%37.6%
IV Rank29.5%0.0%50.9%15.5%33.6%
IV Percentile26.7%0.0%73.8%1.2%27.4%
Term Structure0.2%-1.7%6.8%6.8%1.3%
VWIV45.4%40.9%53.2%53.2%43.7%
Skew 25d7.8%4.9%12.0%12.0%4.9%
Skew 10d16.2%7.5%26.5%20.0%12.4%
Call IV 25d41.8%32.8%45.2%32.8%41.9%
Put IV 25d49.6%44.8%52.8%44.8%46.8%
Bid-Ask Spread %23.1011.8430.3612.8620.09
Gamma HHI0.360.280.510.410.29
Net GEX123.9K84.6K173.1K84.6K94.9K
Net DEX-3.4M-6.5M-1.2M-1.2M-1.8M
Net VEX-22.9K-26.4K-16.6K-16.6K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.005.530.003.15
Total Volume308.1431577331554
Total OI5,342.5244,1826,1164,1826,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$34.30$30.0038.3%11.0%31.2%15.5%0.0%12.0%6.8%84.6K-1.2M-16.6K0.0012.86N/AN/A31502,5311,651
2010-10-04$34.62$35.0041.2%13.2%30.9%23.2%53.2%8.9%-0.3%105.5K-2.0M-19.0K0.0012.52N/AN/A6602,8301,651
2010-10-05$34.98$35.0040.7%13.0%30.9%22.0%40.9%8.7%0.4%116.0K-2.4M-19.0K0.0016.88N/AN/A22802,8481,651
2010-10-06$34.90$35.0039.9%13.2%30.5%19.8%45.7%8.5%0.5%131.4K-2.6M-19.9K0.0324.91N/AN/A571173,0501,651
2010-10-07$34.97$35.0037.6%13.0%30.2%13.7%46.7%9.2%0.9%143.0K-2.7M-20.3K0.3525.36N/AN/A183643,1241,660
2010-10-08$36.30$35.0036.7%13.1%32.2%11.4%48.9%7.2%0.3%159.0K-4.1M-21.3K0.4628.93N/AN/A196913,2191,697
2010-10-11$35.92$35.0042.1%13.1%31.1%25.7%41.4%8.2%0.1%173.1K-3.9M-21.3K0.6427.67N/AN/A94603,3571,779
2010-10-12$35.90$35.0042.6%13.4%30.5%27.0%42.2%8.0%-0.5%171.4K-3.9M-21.5K5.5311.84N/AN/A382103,4051,816
2010-10-13$37.17$35.0030.3%13.4%32.4%0.0%41.8%7.8%-0.2%117.9K-5.2M-22.1K0.1424.18N/AN/A265373,4341,913
2010-10-14$37.70$35.0043.1%12.4%32.5%32.1%45.7%7.6%-0.7%130.2K-5.9M-23.5K0.5130.36N/AN/A2031043,6171,923
2010-10-15$38.35$35.0043.4%12.4%29.0%32.9%48.1%9.9%-0.6%150.7K-6.5M-24.4K1.1323.59N/AN/A3634103,7701,998
2010-10-18$38.69$35.0042.6%12.2%28.6%30.8%43.3%8.2%0.2%137.6K-5.3M-25.4K0.6825.15N/AN/A3462343,3841,868
2010-10-19$36.79$35.0050.1%14.4%35.3%49.7%45.5%7.1%-1.2%127.7K-3.7M-26.2K0.4429.29N/AN/A3541553,5881,973
2010-10-20$37.64$35.0044.0%12.6%35.8%34.2%45.4%7.7%-1.3%120.5K-4.1M-26.1K1.0526.55N/AN/A1701783,4442,068
2010-10-21$37.15$35.0048.8%14.0%35.9%46.3%47.6%6.3%-1.0%114.2K-3.4M-26.4K0.4428.10N/AN/A219963,5272,192
2010-10-22$36.31$35.0048.1%13.8%34.5%44.7%46.5%6.1%-1.7%101.8K-2.7M-25.9K2.7526.72N/AN/A4113,5272,256
2010-10-25$37.29$35.0050.6%14.5%35.3%50.9%51.1%8.1%-1.4%116.6K-3.7M-25.4K1.7825.06N/AN/A911623,5292,253
2010-10-26$36.61$35.0043.8%12.6%34.3%33.9%42.9%5.9%0.9%113.5K-2.9M-24.3K0.6624.52N/AN/A2311523,5442,319
2010-10-27$36.12$35.0045.0%12.9%34.7%36.7%45.3%5.9%1.4%101.8K-2.3M-24.4K0.4720.07N/AN/A3101463,5512,400
2010-10-28$35.44$35.0044.0%12.6%34.6%34.4%43.0%7.2%0.9%90.2K-1.5M-23.7K0.8720.38N/AN/A23203,5952,484
2010-10-29$35.66$35.0043.7%12.5%34.1%33.6%43.7%4.9%1.3%94.9K-1.8M-23.6K3.1520.09N/AN/A13413,6162,500