CRS Options History — August 2011

In August 2011, CRS traded between $43.04 and $57.46. ATM implied volatility averaged 54.5%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 8.2% (HV 20d: 62.7%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2011-08-18: Highest Volume — 1,446 contracts
  • 2011-08-08: Largest IV spike — 57.6% change
  • 2011-08-04: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.23$43.04$57.46$57.46$50.47
Max Pain$50.65$45.00$55.00$55.00$50.00
ATM IV54.5%40.0%87.5%41.7%50.0%
Expected Move15.0%11.5%18.6%12.0%14.3%
HV 20d62.7%29.6%78.4%29.6%77.7%
HV 60d48.4%36.9%53.6%36.9%53.4%
IV Rank55.1%33.6%100.0%60.8%40.7%
IV Percentile92.2%59.9%100.0%69.0%94.0%
Term Structure-2.9%-19.8%3.0%-1.0%-1.2%
VWIV51.9%39.0%66.5%39.0%49.2%
Skew 25d8.2%1.0%13.2%3.8%8.4%
Skew 10d15.5%-10.5%30.6%6.7%15.9%
Call IV 25d49.0%39.1%60.7%39.1%46.2%
Put IV 25d57.2%40.8%69.8%42.9%54.6%
Bid-Ask Spread %43.2530.9472.5352.0444.07
Gamma HHI0.200.170.300.300.21
Net GEX120.8K-33.0K480.3K480.3K188.3K
Net DEX-2.0M-15.9M4.4M-15.9M-4.6M
Net VEX-41.8K-54.0K-29.3K-54.0K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.003.500.110.16
Total Volume394.609411,446111128
Total OI7,805.8266,4248,6568,3177,060

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$57.46$55.0041.7%12.0%29.6%60.8%39.0%3.8%-1.0%480.3K-15.9M-54.0K0.1152.04N/AN/A100115,4112,906
2011-08-02$55.26$55.0040.0%11.5%32.5%54.7%40.0%1.0%-0.2%443.9K-12.6M-53.1K0.1731.57N/AN/A379665,4402,905
2011-08-03$54.76$55.0041.1%11.8%32.6%58.7%41.8%5.5%-0.6%427.0K-11.3M-54.0K0.8144.12N/AN/A3032455,5652,919
2011-08-04$50.04$55.0062.3%17.9%45.0%100.0%52.4%3.8%-19.8%231.3K-5.1M-52.7K0.2330.94N/AN/A7651735,5812,967
2011-08-05$48.77$50.0055.5%14.8%45.5%82.2%53.2%6.2%-4.0%131.1K-2.5M-50.6K1.1638.01N/AN/A3684275,0903,113
2011-08-08$43.97$50.0087.5%18.6%56.7%100.0%66.5%6.8%-8.5%19.6K2.1M-43.4K1.2342.42N/AN/A3974885,0083,279
2011-08-09$47.31$45.0066.5%16.1%64.4%66.7%51.6%10.2%-5.4%54.0K218.2K-45.8K0.1941.33N/AN/A6261224,9723,215
2011-08-10$45.76$50.0079.4%18.2%65.0%87.1%59.8%12.7%-8.4%44.0K1.2M-45.9K2.8835.53N/AN/A33955,0763,297
2011-08-11$48.22$50.0056.4%16.2%68.4%50.7%59.2%13.2%-4.0%90.6K-927.0K-48.6K1.5740.62N/AN/A46725,0963,308
2011-08-12$48.98$50.0051.4%14.7%68.0%42.8%55.0%10.4%-1.8%101.3K-1.5M-48.5K1.8644.56N/AN/A51955,0743,370
2011-08-15$49.74$50.0047.8%13.7%68.5%37.1%45.1%8.8%1.6%122.2K-2.0M-45.6K2.3944.27N/AN/A511225,0663,382
2011-08-16$47.73$50.0049.0%14.1%67.0%39.2%51.7%6.1%0.5%72.3K-33.6K-44.1K0.5931.14N/AN/A61365,0763,488
2011-08-17$47.53$50.0049.7%14.2%67.0%40.2%50.4%6.0%-1.3%47.6K580.4K-42.6K0.1472.53N/AN/A181265,0323,482
2011-08-18$44.32$50.0058.9%16.9%69.9%54.7%58.0%5.8%-3.7%-14.3K3.2M-39.3K0.5247.90N/AN/A9504965,1723,484
2011-08-19$43.68$50.0057.7%16.5%69.7%52.8%61.2%7.3%-2.5%-33.0K4.4M-31.6K3.5044.42N/AN/A1384834,6983,290
2011-08-22$43.04$50.0056.7%16.2%69.6%51.2%56.0%7.6%-6.1%-31.7K2.7M-29.3K0.1142.84N/AN/A261303,5392,885
2011-08-23$44.58$50.0052.7%15.1%71.7%45.0%53.7%10.3%-1.2%-17.7K2.0M-29.7K0.7838.39N/AN/A1861463,6102,865
2011-08-24$45.06$50.0052.7%15.1%71.3%44.9%52.7%11.3%-2.8%4.5K1.5M-30.4K0.0037.32N/AN/A4103,6992,929
2011-08-25$44.30$50.0056.2%16.1%69.9%50.5%55.3%9.1%-2.2%-6.1K1.8M-30.2K0.2947.66N/AN/A109323,7372,929
2011-08-26$47.76$50.0046.3%13.3%75.9%34.8%48.4%12.0%3.0%82.1K-888.3K-33.1K0.2441.62N/AN/A261623,7832,928
2011-08-29$50.05$50.0045.5%13.0%78.4%33.6%43.2%9.8%2.2%159.2K-3.5M-35.0K0.7347.40N/AN/A132963,8592,987
2011-08-30$50.55$50.0049.3%14.1%77.7%39.5%49.3%13.2%-0.2%182.7K-4.3M-36.3K0.4854.11N/AN/A126603,9293,033
2011-08-31$50.47$50.0050.0%14.3%77.7%40.7%49.2%8.4%-1.2%188.3K-4.6M-37.0K0.1644.07N/AN/A110183,9923,068