CRS Options History — November 2010

In November 2010, CRS traded between $34.88 and $38.19. ATM implied volatility averaged 44.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 6.7% (HV 20d: 37.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2010-11-01: Highest Volume — 510 contracts
  • 2010-11-09: Largest IV spike — 17.8% change
  • 2010-11-30: Highest IV Rank — 46.6%
  • 2010-11-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.55$34.88$38.19$36.56$36.47
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV44.1%36.7%48.9%45.7%48.9%
Expected Move12.8%10.8%14.0%13.1%14.0%
HV 20d37.4%34.9%40.4%35.0%37.8%
HV 60d35.2%33.7%37.6%37.6%34.2%
IV Rank34.7%16.0%46.6%38.6%46.6%
IV Percentile37.5%0.8%72.6%42.9%72.6%
Term Structure0.9%-2.5%3.2%0.6%-2.5%
VWIV44.2%38.8%49.2%47.5%49.2%
Skew 25d6.7%-0.9%11.1%6.4%7.5%
Skew 10d17.4%-4.6%27.7%21.1%18.6%
Call IV 25d40.4%35.5%43.6%43.0%43.6%
Put IV 25d47.1%39.6%51.1%49.3%51.1%
Bid-Ask Spread %22.9216.9161.6522.1122.53
Gamma HHI0.340.280.440.310.32
Net GEX108.4K74.5K181.0K109.3K92.7K
Net DEX-2.7M-5.1M-279.8K-2.7M-2.1M
Net VEX-20.3K-23.9K-16.2K-23.4K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.003.140.851.05
Total Volume226.7149510510203
Total OI6,224.9525,2877,2316,1175,397

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$36.56$35.0045.7%13.1%35.0%38.6%47.5%6.4%0.6%109.3K-2.7M-23.4K0.8522.11N/AN/A2762343,6072,510
2010-11-02$36.97$35.0044.6%12.8%35.1%35.8%43.8%4.0%1.3%110.1K-3.2M-23.4K0.2021.61N/AN/A127253,5952,526
2010-11-03$36.21$35.0043.1%12.4%36.0%32.1%42.8%-0.9%1.9%103.3K-2.4M-23.5K0.8426.63N/AN/A1201013,7032,545
2010-11-04$37.86$35.0037.5%10.8%39.1%18.1%38.8%3.2%2.2%142.5K-4.6M-23.6K0.5316.91N/AN/A2851503,7492,541
2010-11-05$38.19$35.0037.5%11.3%37.1%18.1%39.0%5.9%2.5%163.1K-5.1M-23.9K0.5219.13N/AN/A2431263,8732,529
2010-11-08$38.10$35.0036.7%11.5%36.8%16.0%40.7%6.3%3.2%181.0K-5.0M-23.1K0.2923.35N/AN/A66193,9522,567
2010-11-09$36.47$35.0043.3%12.7%40.4%32.5%45.9%7.7%-0.6%135.4K-2.8M-21.8K1.4123.88N/AN/A811143,9682,584
2010-11-10$37.14$35.0043.1%12.9%39.0%32.0%42.6%11.1%2.0%154.3K-3.7M-21.5K3.0117.89N/AN/A1143433,9652,503
2010-11-11$36.80$35.0045.6%13.1%38.7%38.2%45.5%10.4%0.5%116.8K-3.0M-21.5K0.9418.70N/AN/A52493,9652,700
2010-11-12$35.85$35.0045.9%13.1%39.0%39.0%47.1%7.2%0.0%89.8K-1.7M-20.7K1.4717.93N/AN/A731073,9842,714
2010-11-15$36.15$35.0045.6%13.1%39.0%38.3%43.9%6.0%0.4%96.2K-2.3M-19.7K1.3118.56N/AN/A1161524,0312,798
2010-11-16$35.16$35.0045.8%13.1%36.1%38.9%45.3%7.3%1.7%74.6K-644.1K-18.9K0.2718.18N/AN/A236634,0412,803
2010-11-17$34.88$35.0045.8%13.1%34.9%38.9%47.1%7.0%1.0%74.5K-279.8K-18.7K0.5818.67N/AN/A24144,0812,843
2010-11-18$36.32$35.0044.8%12.9%38.1%36.4%41.6%7.8%1.2%83.5K-3.2M-18.1K0.3318.71N/AN/A3331094,0752,852
2010-11-19$36.28$35.0043.6%12.5%37.2%33.4%41.0%6.4%2.8%91.0K-3.4M-19.6K0.1118.60N/AN/A111124,2852,946
2010-11-22$36.70$35.0045.4%13.0%36.1%37.7%44.5%7.3%-0.1%95.1K-2.3M-19.0K0.0761.65N/AN/A408293,1562,139
2010-11-23$35.80$35.0045.4%13.0%36.6%37.9%48.0%6.9%0.5%81.3K-1.5M-18.0K0.8123.79N/AN/A26213,1702,152
2010-11-24$36.68$35.0044.8%12.8%37.4%36.3%39.8%7.7%0.0%94.9K-2.2M-17.6K0.0025.05N/AN/A903,1252,162
2010-11-26$36.02$35.0045.4%13.0%37.3%37.8%46.1%7.9%-0.1%84.8K-1.6M-16.9K3.1423.50N/AN/A7223,1252,162
2010-11-29$37.01$35.0048.2%13.8%38.4%44.8%48.5%6.8%-0.7%102.0K-2.5M-16.7K1.0123.86N/AN/A80813,1272,174
2010-11-30$36.47$35.0048.9%14.0%37.8%46.6%49.2%7.5%-2.5%92.7K-2.1M-16.2K1.0522.53N/AN/A991043,1442,253