CRS Options History — March 2011

In March 2011, CRS traded between $38.78 and $42.85. ATM implied volatility averaged 40.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.7% (HV 20d: 34.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-03-11: Highest Volume — 495 contracts
  • 2011-03-29: Largest IV drop — 18.9% change
  • 2011-03-15: Highest IV Rank — 44.6%
  • 2011-03-15: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.13$38.78$42.85$40.61$42.71
Max Pain$39.13$35.00$40.00$40.00$40.00
ATM IV40.1%30.0%47.4%40.7%34.7%
Expected Move11.6%8.6%13.6%11.7%9.9%
HV 20d34.4%24.8%41.0%38.1%24.8%
HV 60d34.9%33.6%36.0%34.1%33.6%
IV Rank27.0%2.5%44.6%28.5%13.8%
IV Percentile32.0%0.8%72.2%33.3%3.6%
Term Structure2.2%-1.6%7.4%0.6%2.9%
VWIV40.1%34.0%52.4%40.7%34.2%
Skew 25d5.9%-0.5%15.9%5.1%1.8%
Skew 10d18.6%5.4%31.1%9.9%5.4%
Call IV 25d37.6%33.8%45.1%38.9%35.2%
Put IV 25d43.5%34.8%52.0%44.1%37.0%
Bid-Ask Spread %27.3011.8043.5021.8611.80
Gamma HHI0.360.240.530.400.47
Net GEX103.0K24.8K209.5K109.9K159.3K
Net DEX-2.2M-3.9M360.4K-1.5M-3.9M
Net VEX-26.9K-28.4K-25.1K-27.2K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.002.000.232.00
Total Volume199.4782049549234
Total OI6,137.0874,3118,0296,6054,743

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$40.61$40.0040.7%11.7%38.1%28.5%40.7%5.1%0.6%109.9K-1.5M-27.2K0.2321.86N/AN/A4093,8862,719
2011-03-02$41.17$40.0040.1%11.5%37.0%27.0%35.0%7.0%1.2%139.4K-2.0M-27.4K0.2825.47N/AN/A97273,8832,719
2011-03-03$42.29$40.0039.1%11.2%36.9%24.5%35.8%5.1%2.6%209.5K-3.4M-28.4K0.3713.76N/AN/A202753,9132,746
2011-03-04$41.68$35.0039.1%11.5%37.3%24.6%40.2%5.8%2.2%175.8K-2.8M-28.4K1.5726.29N/AN/A651024,0742,733
2011-03-07$40.35$35.0041.9%12.1%39.0%31.3%41.5%7.2%1.2%77.7K-1.1M-25.8K0.2125.98N/AN/A222464,0922,740
2011-03-08$40.57$35.0040.1%12.1%38.9%26.9%36.5%7.0%0.7%91.6K-1.6M-26.0K0.4631.19N/AN/A133614,1342,742
2011-03-09$39.56$35.0041.3%12.2%39.7%29.8%42.6%4.6%1.0%48.0K-446.4K-25.2K0.3424.84N/AN/A2991024,1812,737
2011-03-10$38.78$40.0041.5%11.9%40.0%30.3%43.9%7.4%1.8%24.8K360.4K-25.1K1.2025.53N/AN/A54654,2892,820
2011-03-11$39.64$40.0042.4%12.2%41.0%32.6%42.4%6.6%1.9%44.4K-626.2K-26.2K0.5231.90N/AN/A3261694,4202,841
2011-03-14$39.80$40.0044.0%12.6%41.0%36.5%44.1%7.4%0.3%43.7K-1.0M-26.6K0.0028.37N/AN/A3304,6562,947
2011-03-15$39.94$40.0047.4%13.6%35.6%44.6%44.9%15.9%-1.6%42.3K-1.1M-26.5K1.6637.53N/AN/A1452404,6542,943
2011-03-16$39.62$40.0046.9%13.4%35.6%43.4%45.9%6.9%0.2%36.8K-781.9K-27.1K0.2031.59N/AN/A368744,7213,023
2011-03-17$40.41$40.0045.2%13.0%35.6%39.3%52.4%7.0%-0.1%89.9K-2.4M-27.9K1.2043.50N/AN/A71854,9573,065
2011-03-18$40.83$40.0042.5%12.2%35.2%32.7%44.9%7.2%1.6%104.1K-3.6M-27.7K0.3728.72N/AN/A207774,9673,062
2011-03-21$42.01$40.0040.8%11.7%36.9%28.7%37.4%6.4%4.2%101.6K-2.7M-27.5K0.2927.19N/AN/A158462,5421,769
2011-03-22$41.66$40.0039.8%11.4%32.8%26.2%40.7%5.6%3.4%100.3K-2.5M-27.1K0.8026.66N/AN/A41332,5701,788
2011-03-23$41.94$40.0039.8%11.4%28.6%26.2%0.0%7.8%3.2%106.1K-2.7M-27.1K0.0025.63N/AN/A2002,5951,798
2011-03-24$42.34$40.0039.4%11.3%28.5%25.3%34.8%5.1%2.9%116.6K-3.0M-27.1K0.5327.54N/AN/A76402,6151,798
2011-03-25$42.38$40.0037.3%10.7%27.9%20.2%34.0%4.0%6.1%128.0K-3.3M-27.3K0.0027.85N/AN/A3702,6791,808
2011-03-28$42.30$40.0037.0%10.6%27.9%19.5%0.0%3.6%7.4%125.8K-3.3M-26.5K0.0827.00N/AN/A154132,6761,808
2011-03-29$42.85$40.0030.0%8.6%26.6%2.5%35.8%0.8%4.8%149.4K-3.7M-26.9K1.0328.67N/AN/A29302,8131,817
2011-03-30$42.60$40.0031.8%9.1%26.5%6.7%35.3%-0.5%2.8%144.3K-3.7M-26.5K0.5029.02N/AN/A189942,8231,847
2011-03-31$42.71$40.0034.7%9.9%24.8%13.8%34.2%1.8%2.9%159.3K-3.9M-27.0K2.0011.80N/AN/A781562,9131,830