CRS Options History — February 2011

In February 2011, CRS traded between $39.99 and $44.79. ATM implied volatility averaged 38.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.0% (HV 20d: 37.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-02-14: Highest Volume — 961 contracts
  • 2011-02-22: Largest IV spike — 18.3% change
  • 2011-02-23: Highest IV Rank — 34.0%
  • 2011-02-23: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.97$39.99$44.79$39.99$41.58
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV38.2%34.9%43.0%38.5%40.7%
Expected Move11.1%10.1%12.3%11.0%11.7%
HV 20d37.2%30.3%42.8%37.9%37.3%
HV 60d33.9%32.4%35.4%34.4%33.8%
IV Rank22.3%14.3%34.0%23.0%28.4%
IV Percentile16.4%3.2%42.1%13.5%32.5%
Term Structure2.4%-0.8%3.9%1.9%3.6%
VWIV38.8%35.5%53.0%35.7%42.5%
Skew 25d5.6%3.6%7.2%3.6%6.0%
Skew 10d11.6%-1.2%19.6%5.8%19.4%
Call IV 25d36.0%34.0%39.8%36.5%37.9%
Put IV 25d41.6%39.1%46.5%40.1%43.9%
Bid-Ask Spread %25.1014.0567.5436.8323.61
Gamma HHI0.540.410.760.410.48
Net GEX223.8K78.7K751.0K78.7K165.5K
Net DEX-3.6M-8.9M-983.3K-983.3K-2.6M
Net VEX-28.6K-33.7K-25.4K-25.4K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.052.420.172.42
Total Volume332.211103961304113
Total OI6,408.5265,7677,5305,7756,542

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$39.99$40.0038.5%11.0%37.9%23.0%35.7%3.6%1.9%78.7K-983.3K-25.4K0.1736.83N/AN/A260443,3192,456
2011-02-02$41.11$40.0037.7%10.8%39.0%21.1%37.7%6.4%2.4%118.2K-2.0M-26.0K1.0827.38N/AN/A83903,3182,449
2011-02-03$41.28$40.0037.9%10.9%39.0%21.7%37.9%7.0%1.7%115.8K-2.1M-26.3K0.6933.05N/AN/A121843,2632,526
2011-02-04$41.58$40.0037.3%11.4%38.8%20.1%53.0%6.7%2.3%135.8K-2.7M-26.9K1.7125.47N/AN/A38653,3842,572
2011-02-07$41.95$40.0037.5%11.4%38.9%20.6%35.9%6.0%2.0%154.7K-3.2M-26.0K1.2622.09N/AN/A1181493,3962,515
2011-02-08$41.83$40.0038.4%11.4%38.6%22.7%38.0%5.7%2.5%155.2K-3.2M-26.4K0.9620.62N/AN/A82793,4612,550
2011-02-09$41.23$40.0034.9%11.2%38.4%14.3%36.2%5.7%2.6%124.2K-2.5M-25.7K0.9719.52N/AN/A1161133,5022,588
2011-02-10$41.28$40.0038.7%11.1%38.4%23.5%36.5%6.0%2.9%120.3K-2.5M-26.1K1.2624.65N/AN/A1101393,5482,625
2011-02-11$41.13$40.0037.9%10.9%38.3%21.5%36.1%6.2%3.7%104.9K-2.1M-26.6K0.2114.05N/AN/A138293,6082,736
2011-02-14$43.39$40.0036.5%10.5%42.8%18.2%36.8%4.0%1.4%268.6K-5.2M-27.6K0.1119.67N/AN/A869923,7222,731
2011-02-15$43.20$40.0036.6%10.5%34.2%18.4%36.6%4.4%2.4%301.2K-5.7M-31.8K0.0518.44N/AN/A716374,2322,758
2011-02-16$44.09$40.0035.8%10.2%32.7%16.4%38.4%3.9%3.6%509.2K-7.4M-31.6K0.1217.80N/AN/A306374,4912,782
2011-02-17$44.79$40.0035.9%10.3%30.3%16.9%36.3%4.7%3.4%751.0K-8.9M-33.7K0.7022.83N/AN/A2641854,6322,779
2011-02-18$44.21$40.0035.4%10.1%30.9%15.4%35.5%3.6%3.9%472.4K-7.0M-33.7K0.0967.54N/AN/A452424,6672,863
2011-02-22$42.12$40.0041.8%12.0%35.2%31.2%38.6%5.1%-0.8%214.0K-4.0M-31.5K0.9024.81N/AN/A1281153,8812,359
2011-02-23$40.31$40.0043.0%12.3%38.3%34.0%42.9%6.8%1.3%148.6K-2.0M-29.3K0.9617.74N/AN/A3052933,9682,403
2011-02-24$40.77$40.0041.0%11.8%38.6%29.2%41.5%7.2%3.2%136.1K-1.9M-30.1K0.3420.32N/AN/A100343,9132,637
2011-02-25$41.52$40.0040.3%11.6%39.1%27.4%40.4%6.9%1.6%176.8K-2.9M-30.2K0.2520.49N/AN/A292743,9562,630
2011-02-28$41.58$40.0040.7%11.7%37.3%28.4%42.5%6.0%3.6%165.5K-2.6M-28.9K2.4223.61N/AN/A33803,8722,670