CRS Options History — July 2011

In July 2011, CRS traded between $54.49 and $58.18. ATM implied volatility averaged 37.4%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.7% (HV 20d: 34.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2011-07-28: Highest Volume — 839 contracts
  • 2011-07-14: Largest IV spike — 19.2% change
  • 2011-07-27: Highest IV Rank — 64.0%
  • 2011-07-27: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.85$54.49$58.18$57.91$57.44
Max Pain$53.00$50.00$55.00$50.00$55.00
ATM IV37.4%29.7%42.9%29.7%42.1%
Expected Move11.2%8.5%12.3%8.5%12.1%
HV 20d34.7%28.1%40.0%40.0%29.7%
HV 60d38.9%35.8%40.6%40.6%36.9%
IV Rank41.9%13.6%64.0%13.6%62.0%
IV Percentile38.3%1.2%73.8%1.2%70.6%
Term Structure-0.8%-2.3%7.2%7.2%-1.4%
VWIV39.5%30.6%42.7%30.6%41.5%
Skew 25d4.8%3.3%11.4%4.4%11.4%
Skew 10d10.3%-9.2%24.8%15.7%24.8%
Call IV 25d36.9%28.8%41.4%28.8%31.8%
Put IV 25d41.8%33.2%44.7%33.2%43.1%
Bid-Ask Spread %23.3817.2133.9917.2132.02
Gamma HHI0.370.290.560.390.30
Net GEX498.1K327.2K626.7K503.0K465.2K
Net DEX-15.0M-17.9M-11.1M-17.0M-15.8M
Net VEX-50.8K-54.7K-48.4K-53.7K-54.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.031.180.260.52
Total Volume297.8518839150211
Total OI7,898.756,8508,6037,8828,203

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$57.91$50.0029.7%8.5%40.0%13.6%30.6%4.4%7.2%503.0K-17.0M-53.7K0.2617.21N/AN/A119314,9442,938
2011-07-05$58.18$55.0032.5%10.9%39.8%20.6%39.4%4.8%-0.9%541.9K-17.9M-50.9K0.4020.63N/AN/A110445,0452,943
2011-07-06$57.79$55.0031.8%10.8%39.3%22.3%40.3%5.7%-0.6%551.8K-17.1M-51.1K0.6517.82N/AN/A83545,0652,942
2011-07-07$57.76$55.0031.7%10.9%38.2%21.8%39.8%5.3%-1.1%568.3K-17.2M-50.2K0.0619.42N/AN/A9055,0832,964
2011-07-08$57.39$55.0034.6%11.2%38.3%30.5%38.6%5.0%-0.4%574.5K-16.6M-49.3K0.2917.55N/AN/A4001155,0872,966
2011-07-11$56.55$55.0038.4%11.6%38.4%41.7%41.7%5.3%-1.2%608.3K-15.8M-50.7K1.1826.94N/AN/A71845,3403,024
2011-07-12$56.15$55.0035.9%11.6%37.5%34.2%39.0%3.8%-0.8%588.8K-14.9M-49.9K0.3225.65N/AN/A3171025,3593,064
2011-07-13$55.61$55.0033.7%11.6%37.6%27.7%40.5%4.2%-1.7%575.3K-13.7M-50.3K0.3827.40N/AN/A155595,4173,122
2011-07-14$54.49$55.0040.1%11.5%37.9%46.8%39.6%4.8%-1.3%626.7K-11.1M-50.7K0.3318.64N/AN/A184605,4783,125
2011-07-15$55.79$55.0038.8%11.1%38.0%42.9%39.0%4.4%-0.4%594.0K-15.1M-48.4K0.1319.43N/AN/A566745,4503,144
2011-07-18$55.46$55.0040.1%11.5%38.0%46.6%42.7%4.5%-1.5%327.2K-11.2M-50.0K0.0521.69N/AN/A19794,3192,531
2011-07-19$57.95$50.0038.1%10.9%29.9%47.4%42.0%4.6%-1.2%373.8K-15.0M-48.5K0.3133.99N/AN/A4021244,5002,536
2011-07-20$57.03$50.0039.8%11.4%30.8%53.3%37.7%4.4%-1.1%417.8K-14.5M-51.5K0.0333.39N/AN/A27984,8472,588
2011-07-21$57.65$50.0037.4%10.7%30.5%45.1%38.0%3.3%-1.5%432.8K-15.4M-51.6K0.5832.92N/AN/A74434,8962,595
2011-07-22$57.73$50.0036.6%10.5%30.4%42.4%36.8%4.7%-1.0%443.8K-15.5M-51.3K0.1320.31N/AN/A1624,9222,595
2011-07-25$57.40$50.0041.0%11.8%30.6%57.7%40.7%5.2%-2.0%443.2K-15.0M-49.9K0.4520.12N/AN/A150674,9302,597
2011-07-26$57.24$50.0041.0%11.8%30.6%57.5%39.0%4.2%-1.7%453.7K-15.0M-51.1K0.0418.36N/AN/A22785,0412,658
2011-07-27$54.92$50.0042.9%12.3%28.1%64.0%41.8%3.4%-2.3%412.3K-11.8M-51.6K0.7220.59N/AN/A3372415,1072,662
2011-07-28$56.52$55.0041.6%11.9%30.0%60.3%41.0%3.6%-0.5%460.3K-14.3M-51.7K0.4223.48N/AN/A5912485,2102,738
2011-07-29$57.44$55.0042.1%12.1%29.7%62.0%41.5%11.4%-1.4%465.2K-15.8M-54.7K0.5232.02N/AN/A139725,3542,849