CRS Options History — January 2011

In January 2011, CRS traded between $40.78 and $44.94. ATM implied volatility averaged 38.8%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 5.6% (HV 20d: 33.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.52.

Notable Days

  • 2011-01-25: Highest Volume — 2,031 contracts
  • 2011-01-05: Largest IV spike — 25.6% change
  • 2011-01-20: Highest IV Rank — 37.5%
  • 2011-01-20: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.16$40.78$44.94$41.77$41.15
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV38.8%29.0%44.5%36.2%39.1%
Expected Move11.4%8.3%12.7%10.4%11.2%
HV 20d33.2%27.2%39.5%27.7%39.0%
HV 60d34.1%31.5%35.3%34.7%35.0%
IV Rank23.6%0.0%37.5%15.6%24.6%
IV Percentile17.6%0.0%44.8%4.4%17.1%
Term Structure1.6%-1.4%19.1%6.2%1.5%
VWIV39.4%33.9%44.3%35.3%41.2%
Skew 25d5.8%-0.0%8.0%4.3%6.6%
Skew 10d14.1%0.3%23.0%14.7%12.8%
Call IV 25d36.5%32.5%41.2%33.9%34.6%
Put IV 25d42.3%33.8%46.5%38.2%41.2%
Bid-Ask Spread %26.6016.4937.7237.7227.66
Gamma HHI0.460.330.540.500.49
Net GEX97.6K45.9K207.0K71.2K121.4K
Net DEX-3.3M-5.7M-1.9M-3.1M-2.2M
Net VEX-21.2K-26.9K-18.1K-18.1K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0313.720.780.03
Total Volume403.05772,031112124
Total OI4,548.53,4475,6813,4475,681

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$41.77$40.0036.2%10.4%27.7%15.6%35.3%4.3%6.2%71.2K-3.1M-18.1K0.7837.72N/AN/A63492,0061,441
2011-01-04$42.31$40.0029.0%8.3%27.6%0.0%33.9%-0.0%19.1%71.9K-3.4M-18.3K1.2727.34N/AN/A2202802,0111,490
2011-01-05$42.48$40.0036.4%10.4%27.2%18.0%34.4%3.2%5.1%80.7K-3.5M-19.2K0.6021.61N/AN/A119722,1241,599
2011-01-06$41.84$40.0038.5%11.0%28.0%23.2%37.0%4.4%5.5%67.8K-3.0M-19.5K0.7834.74N/AN/A2181712,1951,654
2011-01-07$41.75$40.0036.9%12.3%28.0%19.2%42.7%7.9%-1.3%75.1K-3.1M-20.1K3.5325.12N/AN/A17602,3601,712
2011-01-10$41.19$40.0038.3%12.4%28.7%22.5%43.1%7.1%-0.8%53.5K-2.6M-19.5K1.9530.36N/AN/A38742,3431,764
2011-01-11$41.96$40.0037.3%12.2%29.1%20.1%42.7%7.2%-0.5%75.5K-3.3M-19.6K1.4129.82N/AN/A39552,3561,826
2011-01-12$41.96$40.0037.0%12.4%28.9%19.6%38.6%8.0%-0.9%68.4K-3.2M-19.8K1.6724.61N/AN/A54902,3691,866
2011-01-13$41.62$40.0042.2%12.1%28.3%32.0%40.0%7.7%-1.0%54.0K-3.0M-19.6K13.7232.31N/AN/A182472,4231,882
2011-01-14$41.87$40.0041.9%12.0%27.8%31.2%38.1%7.0%-1.4%45.9K-3.1M-20.5K0.0829.63N/AN/A121102,4252,088
2011-01-18$44.94$40.0042.0%12.0%36.3%31.5%43.0%7.0%-1.3%136.3K-5.7M-19.4K0.2824.85N/AN/A7542082,4392,098
2011-01-19$43.40$40.0041.1%11.8%38.7%29.3%41.2%5.3%-0.7%207.0K-4.8M-21.7K0.2016.49N/AN/A5831172,9142,249
2011-01-20$41.93$40.0044.5%12.7%38.8%37.5%42.3%4.2%-1.4%64.5K-3.6M-21.0K0.3525.18N/AN/A202713,0272,281
2011-01-21$42.12$40.0044.0%12.6%38.6%36.3%40.9%5.1%-0.5%88.6K-3.9M-21.2K0.4322.29N/AN/A141613,1242,264
2011-01-24$42.85$40.0039.8%11.4%38.6%26.2%44.3%6.7%0.1%115.4K-3.4M-21.0K0.7122.38N/AN/A3802712,4901,758
2011-01-25$42.49$40.0039.5%11.3%37.6%25.4%38.8%6.8%0.3%135.0K-3.2M-21.1K0.7619.51N/AN/A1,1548772,6751,763
2011-01-26$42.59$40.0033.0%9.4%37.6%9.6%35.3%4.2%2.2%162.5K-3.5M-25.8K0.7123.08N/AN/A1501073,0522,260
2011-01-27$42.13$40.0038.2%11.0%37.7%22.4%36.5%5.5%1.4%141.3K-3.0M-26.0K0.2223.53N/AN/A410903,0972,318
2011-01-28$40.78$40.0040.6%11.6%39.5%28.1%41.2%7.9%-0.2%116.4K-1.9M-26.2K0.8733.72N/AN/A1851613,1902,356
2011-01-31$41.15$40.0039.1%11.2%39.0%24.6%0.0%6.6%1.5%121.4K-2.2M-26.9K0.0327.66N/AN/A12043,2292,452