CRS Options History — June 2011

In June 2011, CRS traded between $47.88 and $57.68. ATM implied volatility averaged 36.4%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 4.3% (HV 20d: 40.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2011-06-20: Highest Volume — 1,488 contracts
  • 2011-06-30: Largest IV drop — 29.9% change
  • 2011-06-20: Highest IV Rank — 34.9%
  • 2011-06-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.53$47.88$57.68$51.04$57.68
Max Pain$48.18$45.00$50.00$45.00$50.00
ATM IV36.4%24.3%40.9%35.6%24.3%
Expected Move10.5%7.0%11.8%10.2%7.0%
HV 20d40.8%32.4%49.5%32.4%45.4%
HV 60d37.0%32.3%40.7%32.3%40.7%
IV Rank22.4%0.0%34.9%17.7%0.0%
IV Percentile24.3%0.0%56.3%13.9%0.0%
Term Structure2.6%-2.6%8.3%-1.5%8.3%
VWIV36.6%31.8%42.3%32.0%31.8%
Skew 25d4.5%0.7%9.0%4.1%4.7%
Skew 10d10.4%-4.1%20.4%6.3%15.9%
Call IV 25d35.1%29.3%38.8%32.6%29.3%
Put IV 25d39.6%34.0%42.7%36.7%34.0%
Bid-Ask Spread %35.7620.1577.6642.9337.23
Gamma HHI0.380.270.480.360.41
Net GEX292.0K141.2K469.2K305.9K469.2K
Net DEX-9.9M-16.7M-6.1M-10.9M-16.7M
Net VEX-45.7K-53.1K-38.9K-45.1K-52.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.870.090.17
Total Volume382.227131,488152497
Total OI7,489.5914,9168,5687,5807,635

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$51.04$45.0035.6%10.2%32.4%17.7%32.0%4.1%-1.5%305.9K-10.9M-45.1K0.0942.93N/AN/A140124,4003,180
2011-06-02$53.66$45.0034.4%9.9%35.5%14.9%34.6%1.1%-0.1%363.6K-14.8M-43.6K0.1329.81N/AN/A618814,4503,183
2011-06-03$50.86$50.0036.5%11.8%40.9%20.1%33.4%9.0%-2.6%357.5K-11.4M-46.0K0.1571.26N/AN/A157244,8003,223
2011-06-06$50.54$50.0039.0%10.7%40.8%27.8%35.0%7.0%2.8%339.9K-10.7M-45.0K0.8123.35N/AN/A31254,8383,224
2011-06-07$49.81$50.0037.1%10.7%38.3%24.2%0.0%6.2%1.8%298.5K-9.4M-43.7K0.0028.48N/AN/A1304,8493,257
2011-06-08$48.88$50.0036.7%10.8%38.4%23.0%36.7%5.6%1.8%260.5K-7.8M-43.0K0.2224.58N/AN/A3684,8503,257
2011-06-09$49.88$50.0036.0%10.3%36.8%21.1%35.2%5.8%2.2%298.7K-9.3M-42.8K1.0035.84N/AN/A54544,8713,259
2011-06-10$49.23$50.0036.9%10.6%35.4%23.5%36.8%5.9%1.9%269.2K-8.2M-43.1K0.0123.46N/AN/A16924,8643,310
2011-06-13$48.29$50.0037.3%10.7%35.7%24.6%39.5%5.0%1.5%258.8K-7.0M-41.0K0.5725.88N/AN/A125714,9843,310
2011-06-14$49.37$50.0036.0%10.3%36.8%20.9%38.3%5.3%2.9%298.9K-8.6M-41.5K1.4130.07N/AN/A41585,0183,333
2011-06-15$48.57$50.0037.1%10.6%37.1%24.0%35.8%5.0%1.8%261.7K-7.0M-41.2K0.4425.59N/AN/A50225,0203,377
2011-06-16$48.13$50.0037.8%10.8%35.5%26.0%39.9%4.7%2.1%180.8K-6.1M-38.9K0.1629.44N/AN/A368594,9753,361
2011-06-17$47.88$45.0037.6%10.8%35.1%25.6%42.3%4.6%2.2%141.2K-6.2M-40.2K0.2126.14N/AN/A5471155,1703,398
2011-06-20$51.92$45.0040.9%11.7%45.9%34.9%39.5%3.9%2.7%199.0K-7.8M-43.0K0.5544.51N/AN/A9575313,1361,780
2011-06-21$52.35$45.0039.5%11.3%45.7%30.8%39.0%3.5%3.0%251.4K-8.5M-48.7K1.3448.93N/AN/A2212963,7582,179
2011-06-22$53.32$45.0037.8%10.8%46.0%26.0%36.5%0.7%3.8%242.4K-9.3M-48.5K0.1777.66N/AN/A6341053,7412,398
2011-06-23$53.14$45.0036.4%10.4%45.9%22.1%36.5%1.0%4.9%293.6K-9.6M-51.9K0.8425.72N/AN/A1981664,1842,449
2011-06-24$53.26$50.0037.0%10.6%45.9%23.9%37.9%2.8%5.2%288.8K-9.8M-53.1K2.8728.99N/AN/A471354,1912,530
2011-06-27$53.13$50.0036.3%10.4%45.7%21.8%38.7%3.9%3.7%288.8K-9.4M-52.3K0.3464.69N/AN/A88304,2142,630
2011-06-28$56.15$50.0036.4%10.4%49.5%22.2%36.7%4.3%4.8%351.2K-13.3M-50.2K0.3420.15N/AN/A5301824,2002,647
2011-06-29$56.54$45.0034.6%9.9%48.0%17.1%33.3%4.6%4.6%405.2K-15.4M-51.3K0.4221.93N/AN/A6412714,6012,737
2011-06-30$57.68$50.0024.3%7.0%45.4%0.0%31.8%4.7%8.3%469.2K-16.7M-52.1K0.1737.23N/AN/A425724,7472,888