CRS Options History — May 2011

In May 2011, CRS traded between $49.35 and $52.62. ATM implied volatility averaged 35.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 4.7% (HV 20d: 40.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-05-06: Highest Volume — 1,145 contracts
  • 2011-05-11: Largest IV spike — 20.8% change
  • 2011-05-11: Highest IV Rank — 27.2%
  • 2011-05-16: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.06$49.35$52.62$50.66$52.57
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV35.7%29.7%39.8%33.8%29.7%
Expected Move10.3%8.5%11.0%9.7%8.5%
HV 20d40.5%30.4%45.7%41.0%30.4%
HV 60d34.5%32.5%35.9%34.8%32.5%
IV Rank17.5%3.0%27.2%12.6%3.0%
IV Percentile15.8%0.8%40.1%5.6%0.8%
Term Structure1.5%-0.3%3.3%1.9%3.3%
VWIV35.4%30.8%40.8%31.0%31.8%
Skew 25d5.2%3.0%6.4%5.3%3.8%
Skew 10d8.2%0.6%11.7%9.5%10.8%
Call IV 25d33.2%29.4%37.0%30.8%29.8%
Put IV 25d38.4%33.6%40.8%36.1%33.6%
Bid-Ask Spread %28.1513.4971.2837.6541.10
Gamma HHI0.330.260.440.280.44
Net GEX281.2K222.0K349.6K238.0K343.7K
Net DEX-12.0M-15.9M-8.2M-10.2M-13.1M
Net VEX-46.4K-53.0K-32.9K-33.4K-45.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.0010.901.801.03
Total Volume286.667191,145227195
Total OI8,170.196,8379,4446,8377,601

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$50.66$45.0033.8%9.7%41.0%12.6%31.0%5.3%1.9%238.0K-10.2M-33.4K1.8037.65N/AN/A811463,6403,197
2011-05-03$50.79$45.0035.1%10.1%40.6%15.8%34.4%4.0%1.3%253.2K-10.4M-32.9K0.5331.99N/AN/A2341243,7053,140
2011-05-04$49.58$45.0036.8%10.6%42.3%20.0%36.9%3.1%0.1%240.1K-8.9M-34.6K1.8332.91N/AN/A1232253,7523,174
2011-05-05$49.35$45.0037.0%10.6%42.4%20.5%37.4%3.0%1.4%222.0K-8.2M-35.4K0.4534.29N/AN/A3151423,8073,302
2011-05-06$50.00$45.0035.8%10.7%42.2%17.6%37.3%6.4%1.5%250.8K-9.6M-37.4K0.4813.49N/AN/A7753704,0383,370
2011-05-09$52.02$45.0037.6%11.0%43.0%21.9%38.5%5.9%-0.1%296.3K-14.6M-49.1K0.6614.37N/AN/A3522314,7613,730
2011-05-10$52.62$45.0033.0%9.6%41.0%10.7%36.2%5.0%2.5%333.7K-15.9M-50.3K0.6814.86N/AN/A1801234,9623,902
2011-05-11$50.56$45.0039.8%10.8%44.6%27.2%40.8%6.4%0.5%276.4K-12.0M-52.1K10.9015.67N/AN/A212294,8894,000
2011-05-12$52.02$45.0037.6%10.8%44.9%21.8%34.6%5.3%1.1%287.3K-14.5M-50.7K1.1620.08N/AN/A57664,8774,116
2011-05-13$51.40$45.0038.1%10.9%45.7%23.0%36.3%5.6%0.6%262.7K-13.4M-50.7K0.6258.22N/AN/A2421494,8544,182
2011-05-16$51.30$45.0038.5%11.0%45.4%23.8%35.5%6.0%0.0%289.2K-13.5M-52.1K0.0020.01N/AN/A12305,0634,230
2011-05-17$50.84$45.0037.8%10.8%44.8%22.2%36.5%5.5%0.7%286.7K-12.9M-53.0K0.0916.47N/AN/A119115,1624,230
2011-05-18$52.21$45.0036.2%10.4%43.8%18.5%33.7%4.8%2.9%311.3K-15.9M-50.8K0.0226.95N/AN/A20655,2144,230
2011-05-19$51.22$45.0036.4%10.4%44.7%19.0%35.8%6.3%1.7%312.3K-13.7M-52.2K0.0820.56N/AN/A8375,1914,219
2011-05-20$50.59$45.0035.5%10.2%45.0%17.5%37.8%6.0%2.4%349.6K-13.1M-51.2K0.1913.72N/AN/A415775,2094,224
2011-05-23$50.00$45.0037.1%10.6%45.5%21.6%38.7%5.5%-0.3%225.8K-8.7M-50.3K0.1436.54N/AN/A249354,2693,160
2011-05-24$50.30$45.0035.9%10.3%30.8%18.6%35.0%5.9%2.0%235.6K-9.3M-48.7K0.0217.88N/AN/A19544,2363,194
2011-05-25$50.99$45.0033.7%9.7%30.5%12.9%33.7%5.2%2.8%278.7K-10.5M-49.1K0.2271.28N/AN/A3274,3733,198
2011-05-26$51.34$45.0032.6%9.3%30.6%10.1%31.4%6.0%1.9%295.4K-11.1M-47.7K0.0618.99N/AN/A1814,3793,205
2011-05-27$51.97$45.0032.6%9.3%30.5%10.2%30.8%4.4%2.8%316.6K-12.1M-46.9K0.2334.17N/AN/A43104,3843,205
2011-05-31$52.57$45.0029.7%8.5%30.4%3.0%31.8%3.8%3.3%343.7K-13.1M-45.3K1.0341.10N/AN/A96994,4063,195