CRS Options History — September 2011

In September 2011, CRS traded between $44.89 and $54.03. ATM implied volatility averaged 54.3%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 5.9% (HV 20d: 60.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.78.

Notable Days

  • 2011-09-16: Highest Volume — 705 contracts
  • 2011-09-06: Largest IV spike — 31.8% change
  • 2011-09-28: Highest IV Rank — 68.2%
  • 2011-09-28: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.20$44.89$54.03$49.89$44.89
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV54.3%44.8%67.4%47.3%66.2%
Expected Move15.6%12.9%19.3%13.6%19.0%
HV 20d60.2%53.4%71.9%70.9%62.9%
HV 60d56.1%53.3%59.7%53.3%59.7%
IV Rank47.5%32.5%68.2%36.4%66.3%
IV Percentile93.1%80.2%99.2%90.1%98.0%
Term Structure0.5%-3.2%4.0%1.1%-0.3%
VWIV55.0%46.6%64.2%47.8%64.2%
Skew 25d11.3%7.3%16.1%7.3%12.4%
Skew 10d22.9%10.2%44.8%10.2%26.0%
Call IV 25d49.7%41.8%60.3%45.4%60.3%
Put IV 25d61.0%52.4%72.6%52.7%72.6%
Bid-Ask Spread %40.3625.9462.6462.6439.57
Gamma HHI0.250.160.520.200.16
Net GEX126.1K31.5K316.3K181.4K32.4K
Net DEX-2.5M-9.0M927.9K-4.1M927.9K
Net VEX-32.9K-36.9K-28.8K-36.9K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0026.600.414.33
Total Volume218.7141270517116
Total OI6,178.6674,3107,7617,0955,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$49.89$50.0047.3%13.6%70.9%36.4%0.0%7.3%1.1%181.4K-4.1M-36.9K0.4162.64N/AN/A121504,0203,075
2011-09-02$47.83$50.0047.5%13.6%71.9%36.8%47.8%9.6%2.9%107.4K-1.5M-33.7K0.0525.94N/AN/A10354,0453,114
2011-09-06$46.67$50.0062.7%16.3%61.7%60.7%56.2%10.8%-2.2%69.2K-63.8K-30.5K3.2946.66N/AN/A17564,0753,117
2011-09-07$49.88$50.0049.8%14.7%60.7%40.4%56.4%11.9%0.5%187.2K-3.5M-32.8K13.7026.99N/AN/A101374,0843,128
2011-09-08$49.06$50.0049.7%14.6%59.6%40.2%47.7%9.2%-1.1%158.0K-2.6M-32.6K0.0032.13N/AN/A1204,0893,265
2011-09-09$47.85$50.0053.6%15.2%57.5%46.3%57.5%10.5%-1.0%121.0K-1.3M-31.3K26.6029.92N/AN/A51334,0913,265
2011-09-12$47.64$50.0055.0%15.9%57.2%48.6%61.1%13.4%-1.0%118.5K-901.6K-28.8K1.0449.03N/AN/A1691764,0943,212
2011-09-13$49.68$50.0053.7%15.3%59.0%46.5%49.5%12.1%0.2%199.4K-3.3M-31.0K0.0038.42N/AN/A8704,1573,319
2011-09-14$50.79$50.0048.4%15.3%57.4%38.1%55.3%12.6%-0.3%269.4K-5.0M-31.2K0.3543.16N/AN/A114404,2193,319
2011-09-15$54.03$50.0047.2%13.5%61.0%36.2%56.1%10.5%2.3%316.3K-9.0M-31.5K0.3737.07N/AN/A5041874,2033,335
2011-09-16$53.89$50.0044.8%12.9%54.1%32.5%46.6%10.6%3.3%217.9K-8.4M-32.4K0.4153.17N/AN/A5012044,2983,463
2011-09-19$53.89$50.0045.9%13.2%53.4%34.2%51.2%9.1%2.9%136.1K-4.8M-34.2K3.8137.08N/AN/A913472,5761,734
2011-09-20$52.66$50.0046.4%13.3%54.0%34.9%47.2%7.9%4.0%115.3K-3.8M-36.2K0.5030.79N/AN/A193972,6221,958
2011-09-21$50.75$50.0050.8%14.6%55.6%41.9%49.7%8.1%2.6%106.3K-2.7M-35.8K0.2341.79N/AN/A48112,7921,984
2011-09-22$47.00$50.0062.5%17.9%62.9%60.5%59.5%11.9%-0.5%51.7K-361.6K-33.1K1.4539.83N/AN/A1291872,8121,991
2011-09-23$45.87$50.0062.9%18.0%63.3%61.1%59.9%15.0%-1.0%31.5K608.2K-31.9K0.6639.34N/AN/A113752,8332,071
2011-09-26$47.85$50.0055.5%15.9%59.2%49.3%52.5%16.1%2.3%57.3K-531.3K-34.2K0.4149.96N/AN/A39162,8802,122
2011-09-27$49.67$50.0056.5%16.2%58.3%51.0%62.8%11.0%0.9%84.9K-1.9M-35.6K0.5754.77N/AN/A143822,8852,114
2011-09-28$46.76$50.0067.4%19.3%61.8%68.2%60.8%12.7%-3.2%46.1K-159.3K-33.5K0.0930.11N/AN/A148132,9322,151
2011-09-29$46.55$50.0066.6%19.1%61.8%67.0%58.8%14.6%-2.4%41.1K239.4K-32.3K0.0539.15N/AN/A204102,9642,141
2011-09-30$44.89$50.0066.2%19.0%62.9%66.3%64.2%12.4%-0.3%32.4K927.9K-30.5K4.3339.57N/AN/A3133,0602,143