CRS Options History — April 2011

In April 2011, CRS traded between $40.69 and $51.26. ATM implied volatility averaged 35.4%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 11.1% (HV 20d: 24.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2011-04-28: Highest Volume — 5,002 contracts
  • 2011-04-07: Largest IV spike — 31.3% change
  • 2011-04-11: Highest IV Rank — 29.3%
  • 2011-04-11: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.04$40.69$51.26$42.78$51.26
Max Pain$40.25$40.00$45.00$40.00$45.00
ATM IV35.4%28.5%40.7%30.0%32.4%
Expected Move10.8%8.6%12.5%8.6%9.3%
HV 20d24.2%15.9%40.8%24.1%40.4%
HV 60d32.4%29.1%35.6%33.6%34.6%
IV Rank16.3%0.0%29.3%2.4%9.3%
IV Percentile13.4%0.0%37.3%0.8%3.6%
Term Structure0.0%-2.0%3.4%3.4%2.6%
VWIV37.6%31.4%43.2%31.4%32.1%
Skew 25d5.6%-1.4%11.1%-1.4%4.0%
Skew 10d11.3%-1.3%25.0%19.9%11.0%
Call IV 25d34.8%28.6%39.9%33.5%30.1%
Put IV 25d40.4%32.1%45.6%32.1%34.2%
Bid-Ask Spread %35.4628.0348.5133.6530.45
Gamma HHI0.380.290.490.490.29
Net GEX143.6K54.6K253.9K155.5K233.7K
Net DEX-4.8M-12.9M-1.3M-3.8M-10.8M
Net VEX-31.2K-37.2K-27.4K-28.1K-32.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.003.623.620.59
Total Volume590.95355,002411430
Total OI5,878.554,9437,1264,9436,618

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$42.78$40.0030.0%8.6%24.1%2.4%31.4%-1.4%3.4%155.5K-3.8M-28.1K3.6233.65N/AN/A893222,9681,975
2011-04-04$42.43$40.0037.5%12.0%20.9%20.7%41.9%6.9%-0.9%110.8K-2.5M-34.0K1.2332.57N/AN/A811002,9382,586
2011-04-05$42.63$40.0032.3%11.3%20.9%8.1%39.4%5.8%-1.7%99.9K-2.4M-37.2K1.0532.78N/AN/A39413,0052,916
2011-04-06$42.64$40.0028.5%11.0%18.2%0.0%0.0%5.8%-0.4%131.5K-3.4M-31.0K0.0028.03N/AN/A3503,0232,417
2011-04-07$42.44$40.0037.5%12.0%16.3%21.4%41.9%6.7%-1.7%125.3K-3.1M-30.6K0.2634.66N/AN/A102273,0382,417
2011-04-08$41.97$40.0035.6%11.9%15.9%17.0%41.6%4.9%-0.8%117.2K-2.8M-30.5K0.5643.62N/AN/A84473,1262,436
2011-04-11$40.98$40.0040.7%12.5%18.5%29.3%43.2%5.7%-0.9%92.5K-1.7M-29.7K1.3839.46N/AN/A61843,1782,482
2011-04-12$40.69$40.0038.9%11.8%18.7%24.9%41.2%6.3%-0.7%76.5K-1.3M-29.1K1.4742.63N/AN/A64943,2292,531
2011-04-13$40.78$40.0034.6%11.6%18.4%14.5%40.5%5.4%-0.5%73.0K-1.6M-29.1K1.9148.51N/AN/A1472813,2392,584
2011-04-14$41.05$40.0039.7%11.4%17.2%26.8%39.6%5.2%-0.7%54.6K-2.1M-29.7K0.1830.96N/AN/A332603,2612,842
2011-04-15$42.24$40.0039.8%11.4%19.6%27.1%36.7%8.6%-1.4%103.4K-3.7M-31.0K0.1031.70N/AN/A308303,4272,842
2011-04-18$41.48$40.0040.1%11.5%18.1%27.7%39.0%5.8%-1.0%101.0K-1.3M-30.4K0.2832.47N/AN/A235652,9752,434
2011-04-19$43.20$40.0035.2%10.1%23.0%15.9%35.7%11.1%0.9%135.3K-3.2M-31.3K0.2436.11N/AN/A298723,0222,498
2011-04-20$44.05$40.0034.6%9.9%23.8%14.6%35.8%5.7%0.2%181.4K-4.6M-32.6K0.8535.88N/AN/A2592193,1992,519
2011-04-21$44.90$40.0035.1%10.1%24.4%15.9%35.8%7.3%-0.1%192.2K-5.6M-33.0K0.9735.60N/AN/A1031003,2852,596
2011-04-25$44.96$40.0038.8%11.1%24.4%24.6%42.0%6.4%-2.0%182.9K-5.6M-32.5K2.0534.27N/AN/A871783,3222,655
2011-04-26$49.44$40.0031.2%8.9%40.7%6.4%32.0%3.1%2.9%205.9K-11.1M-27.4K0.4642.43N/AN/A1,2925913,3462,582
2011-04-27$50.32$40.0032.6%9.4%40.8%9.9%33.4%5.3%2.1%253.9K-12.6M-32.4K0.8530.41N/AN/A2482124,0152,919
2011-04-28$50.61$40.0032.4%9.3%40.5%9.4%31.9%3.8%1.5%245.1K-12.9M-32.5K0.0333.03N/AN/A4,8651374,0713,055
2011-04-29$51.26$45.0032.4%9.3%40.4%9.3%32.1%4.0%2.6%233.7K-10.8M-32.1K0.5930.45N/AN/A2711593,5123,106