CRS Options History — December 2010

In December 2010, CRS traded between $38.23 and $41.90. ATM implied volatility averaged 36.8%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 4.6% (HV 20d: 32.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2010-12-21: Highest Volume — 477 contracts
  • 2010-12-09: Largest IV drop — 23.4% change
  • 2010-12-13: Highest IV Rank — 24.1%
  • 2010-12-06: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.70$38.23$41.90$38.23$40.24
Max Pain$39.32$35.00$40.00$35.00$40.00
ATM IV36.8%29.9%39.8%39.8%34.6%
Expected Move10.8%9.9%11.7%11.4%9.9%
HV 20d32.2%24.1%41.3%41.3%24.9%
HV 60d34.2%33.3%35.4%35.4%33.9%
IV Rank16.9%0.0%24.1%23.8%11.7%
IV Percentile4.1%0.0%11.5%9.5%1.6%
Term Structure4.2%1.7%6.8%1.7%6.8%
VWIV38.2%34.6%44.9%41.7%34.6%
Skew 25d6.5%3.2%14.4%9.0%3.2%
Skew 10d12.6%5.6%23.6%12.8%5.6%
Call IV 25d35.5%30.8%39.2%36.4%34.3%
Put IV 25d42.0%37.4%47.1%45.3%37.5%
Bid-Ask Spread %25.7915.0470.7317.1927.68
Gamma HHI0.520.390.900.400.43
Net GEX194.9K40.8K1.4M133.1K46.2K
Net DEX-3.8M-8.7M-2.0M-3.8M-2.0M
Net VEX-16.3K-19.3K-13.3K-17.0K-18.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0610.853.270.25
Total Volume173.9091647723995
Total OI4,707.0912,6086,2245,5093,401

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$38.23$35.0039.8%11.4%41.3%23.8%41.7%9.0%1.7%133.1K-3.8M-17.0K3.2717.19N/AN/A561833,2132,296
2010-12-02$38.82$35.0038.7%11.1%40.6%20.9%40.9%11.4%2.2%150.7K-4.5M-16.9K0.7418.59N/AN/A89663,2622,289
2010-12-03$39.31$35.0037.3%10.7%37.8%17.4%35.4%14.4%3.5%171.8K-5.2M-16.8K0.1219.60N/AN/A4253,3022,289
2010-12-06$39.02$40.0039.0%11.7%37.9%21.7%40.8%7.7%2.5%174.2K-4.8M-15.9K0.7015.04N/AN/A115813,3182,294
2010-12-07$38.68$40.0039.2%11.6%38.0%22.3%40.3%7.9%2.9%175.2K-4.6M-15.7K0.6317.31N/AN/A78493,3762,266
2010-12-08$38.56$40.0039.1%11.5%34.3%21.9%38.6%6.3%3.3%174.0K-4.3M-15.8K0.0617.32N/AN/A9363,4122,290
2010-12-09$38.42$40.0029.9%11.6%33.9%0.0%44.9%7.4%2.5%183.2K-4.2M-14.9K0.7520.43N/AN/A32243,4062,277
2010-12-10$38.48$40.0034.4%11.2%33.6%11.1%40.4%5.7%3.1%192.4K-4.2M-14.8K0.7617.88N/AN/A105803,4232,290
2010-12-13$38.86$40.0039.6%11.6%32.0%24.1%39.9%6.2%2.9%227.8K-4.8M-14.5K0.2726.49N/AN/A300813,5052,326
2010-12-14$39.33$40.0037.3%11.4%32.1%18.4%0.0%5.8%2.7%289.3K-5.2M-14.4K0.3329.54N/AN/A165543,4982,376
2010-12-15$38.66$40.0039.2%11.2%30.9%23.0%39.5%4.9%3.6%146.5K-3.5M-13.3K0.4431.92N/AN/A36163,5342,430
2010-12-16$39.34$40.0038.6%11.1%30.8%21.6%38.7%6.8%3.5%388.0K-4.0M-13.6K0.1732.78N/AN/A308523,5582,431
2010-12-17$40.20$40.0037.0%10.6%28.6%17.7%36.9%5.2%4.5%1.4M-8.7M-14.9K0.3126.24N/AN/A3301013,8142,410
2010-12-20$39.79$40.0035.5%10.2%29.1%13.8%36.4%5.9%4.8%70.4K-2.2M-15.1K0.6620.90N/AN/A142941,670938
2010-12-21$41.37$40.0034.8%10.0%31.5%12.2%34.6%5.6%6.4%90.3K-3.0M-16.3K1.5923.24N/AN/A1842931,7821,020
2010-12-22$41.90$40.0036.0%10.3%29.3%15.2%35.7%5.0%5.7%69.6K-3.1M-18.8K10.8522.82N/AN/A131411,8661,313
2010-12-23$41.32$40.0035.9%10.3%29.6%14.8%38.0%4.4%5.7%51.8K-2.6M-19.3K0.4025.75N/AN/A40161,8761,426
2010-12-27$40.33$40.0035.2%10.1%30.4%13.2%0.0%5.2%6.4%40.8K-2.0M-18.6K0.0070.73N/AN/A0161,9141,438
2010-12-28$40.48$40.0036.7%10.5%29.3%16.9%36.7%5.0%5.2%43.1K-2.1M-18.4K0.0031.48N/AN/A0661,9141,438
2010-12-29$41.02$40.0036.5%10.5%28.5%16.4%35.2%5.5%5.5%54.5K-2.4M-18.4K1.2523.70N/AN/A44551,9141,413
2010-12-30$41.02$40.0035.2%10.1%24.1%13.1%35.2%3.9%6.1%58.5K-2.5M-18.1K0.4530.86N/AN/A55251,9511,397
2010-12-31$40.24$40.0034.6%9.9%24.9%11.7%34.6%3.2%6.8%46.2K-2.0M-18.0K0.2527.68N/AN/A76191,9791,422