CRS Options History — October 2011

In October 2011, CRS traded between $41.32 and $59.53. ATM implied volatility averaged 58.2%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 8.1% (HV 20d: 66.3%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-10-27: Highest Volume — 710 contracts
  • 2011-10-31: Largest IV spike — 36.1% change
  • 2011-10-03: Highest IV Rank — 90.4%
  • 2011-10-03: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.43$41.32$59.53$41.32$56.72
Max Pain$48.33$45.00$50.00$50.00$50.00
ATM IV58.2%41.1%81.5%81.5%55.9%
Expected Move16.8%11.8%23.4%23.4%16.0%
HV 20d66.3%58.8%70.1%67.5%58.8%
HV 60d65.1%61.8%69.1%61.8%67.0%
IV Rank53.7%26.6%90.4%90.4%50.0%
IV Percentile89.2%59.9%99.6%99.6%88.9%
Term Structure-1.3%-6.6%2.6%-5.6%-6.6%
VWIV57.3%42.2%80.2%80.2%46.0%
Skew 25d11.7%5.4%14.9%14.9%10.5%
Skew 10d26.3%-3.2%43.4%-3.2%17.5%
Call IV 25d53.1%39.8%70.5%70.5%45.1%
Put IV 25d64.8%45.9%85.4%85.4%55.6%
Bid-Ask Spread %39.1927.8748.1744.7341.94
Gamma HHI0.210.150.410.150.26
Net GEX120.1K-10285.7K-10221.0K
Net DEX-2.3M-9.9M2.4M2.4M-8.0M
Net VEX-30.2K-33.6K-25.7K-25.7K-33.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.008.130.650.21
Total Volume175.61926710140158
Total OI5,200.2383,9995,6645,1994,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$41.32$50.0081.5%23.4%67.5%90.4%80.2%14.9%-5.6%-102.4M-25.7K0.6544.73N/AN/A85553,0602,139
2011-10-04$43.12$50.0070.0%20.1%69.4%72.2%71.5%13.6%-0.8%9.7K2.0M-27.3K0.2047.23N/AN/A256503,0752,134
2011-10-05$44.94$50.0065.8%18.9%66.5%65.7%66.5%12.1%0.0%37.1K907.3K-29.5K0.2039.64N/AN/A125253,1792,138
2011-10-06$46.13$50.0065.8%18.9%67.3%65.6%57.9%14.9%-0.9%56.3K148.6K-30.9K0.0429.40N/AN/A2513,2272,147
2011-10-07$45.07$50.0062.8%18.5%67.2%60.9%58.3%11.6%-2.2%38.1K792.4K-29.5K0.0927.87N/AN/A112103,2282,147
2011-10-10$47.51$50.0056.3%17.0%70.1%50.6%59.6%13.4%-1.5%82.6K-685.4K-31.2K8.1329.59N/AN/A8653,2882,157
2011-10-11$47.11$50.0064.7%18.5%68.3%63.9%59.5%12.9%-2.8%77.0K-515.8K-30.8K1.7136.51N/AN/A14243,2902,152
2011-10-12$48.43$50.0054.7%16.4%68.6%48.2%62.9%13.4%-0.7%105.1K-1.3M-31.1K0.4735.19N/AN/A85403,2982,154
2011-10-13$48.29$50.0057.4%16.5%64.3%52.3%0.0%13.1%-1.9%106.2K-1.2M-30.1K0.1139.66N/AN/A5363,3312,132
2011-10-14$49.43$50.0055.3%15.8%65.1%49.0%55.5%14.5%-0.2%149.5K-2.3M-31.1K0.0947.04N/AN/A228203,3392,131
2011-10-17$47.62$45.0057.2%16.4%66.1%52.1%60.1%12.4%-1.4%91.3K-654.1K-28.5K0.4639.48N/AN/A101463,4612,141
2011-10-18$50.04$45.0064.3%18.4%68.6%63.3%58.6%9.2%-3.8%175.7K-2.8M-31.0K0.0037.60N/AN/A7103,5072,157
2011-10-19$48.12$45.0054.3%15.6%68.8%47.4%55.9%13.8%1.0%105.7K-1.2M-29.1K0.0039.31N/AN/A14103,4832,157
2011-10-20$47.02$45.0064.0%18.4%63.6%62.9%58.8%13.6%-2.4%38.9K-199.6K-27.3K2.6746.33N/AN/A15403,4822,157
2011-10-21$49.48$45.0061.4%17.6%65.3%58.7%58.0%9.9%-1.9%285.7K-1.8M-28.5K0.4935.20N/AN/A41203,4792,154
2011-10-24$52.55$45.0050.8%14.6%67.0%41.9%54.0%11.1%-0.7%122.5K-3.8M-29.3K0.1448.17N/AN/A335472,4671,532
2011-10-25$52.75$45.0047.8%13.7%65.9%37.3%49.3%11.0%0.6%166.9K-4.6M-31.2K0.6744.11N/AN/A116782,7531,574
2011-10-26$54.12$50.0046.5%13.3%61.9%35.2%49.4%9.4%0.9%188.8K-5.6M-32.5K0.5241.40N/AN/A118612,8231,643
2011-10-27$58.78$50.0045.3%13.0%67.2%33.2%42.8%5.4%1.4%220.2K-9.4M-32.5K0.3735.04N/AN/A5201902,8981,692
2011-10-28$59.53$50.0041.1%11.8%64.7%26.6%42.2%6.1%2.6%244.0K-9.9M-33.6K0.5037.63N/AN/A2021013,1241,807
2011-10-31$56.72$50.0055.9%16.0%58.8%50.0%46.0%10.5%-6.6%221.0K-8.0M-33.5K0.2141.94N/AN/A131273,1211,847