CRS Options History — November 2011

In November 2011, CRS traded between $46.84 and $57.92. ATM implied volatility averaged 53.5%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 3.4% (HV 20d: 56.9%). 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 14 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-11-22: Highest Volume — 394 contracts
  • 2011-11-09: Largest IV spike — 27.3% change
  • 2011-11-09: Highest IV Rank — 64.0%
  • 2011-11-09: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.80$46.84$57.92$54.77$54.14
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV53.5%44.7%64.8%55.7%44.7%
Expected Move15.3%12.8%18.6%16.0%12.8%
HV 20d56.9%43.0%63.8%60.5%56.7%
HV 60d60.9%58.5%63.7%63.7%62.3%
IV Rank46.2%32.3%64.0%49.6%32.3%
IV Percentile83.8%66.7%96.0%88.5%66.7%
Term Structure0.3%-10.7%3.7%-0.2%3.3%
VWIV52.8%47.3%61.1%58.2%47.4%
Skew 25d11.4%9.4%13.6%9.6%11.7%
Skew 10d24.8%19.0%32.4%19.0%26.7%
Call IV 25d48.3%40.9%52.0%52.0%40.9%
Put IV 25d59.7%52.6%64.5%61.6%52.6%
Bid-Ask Spread %38.8316.2264.7054.3430.39
Gamma HHI0.260.160.370.240.37
Net GEX156.9K30.9K230.5K184.4K219.0K
Net DEX-4.2M-8.7M319.8K-6.1M-4.9M
Net VEX-28.0K-34.8K-20.5K-34.3K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.001.741.740.12
Total Volume129.8111394104208
Total OI5,002.0484,3235,4725,0694,712

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$54.77$50.0055.7%16.0%60.5%49.6%58.2%9.6%-0.2%184.4K-6.1M-34.3K1.7454.34N/AN/A38663,1961,873
2011-11-02$56.41$50.0054.3%15.6%59.9%47.4%50.8%13.5%-1.6%200.5K-7.2M-34.8K0.0042.62N/AN/A1103,1991,899
2011-11-03$57.92$50.0046.3%13.3%59.9%34.8%50.9%9.4%2.4%230.5K-8.7M-34.0K0.5544.30N/AN/A82453,1981,899
2011-11-04$57.13$50.0052.9%15.2%59.3%45.3%56.0%10.3%0.8%219.7K-7.9M-33.6K0.5152.49N/AN/A65333,2381,923
2011-11-07$56.16$50.0054.7%14.9%58.0%48.1%50.2%10.8%1.5%217.7K-7.2M-32.6K0.2454.59N/AN/A3793,2531,933
2011-11-08$56.20$50.0050.9%14.9%57.8%42.0%47.3%11.8%0.4%220.7K-7.2M-32.0K0.6043.21N/AN/A1593,2601,942
2011-11-09$52.38$50.0064.8%18.6%63.7%64.0%58.2%11.6%-10.7%159.1K-3.9M-30.7K0.5946.56N/AN/A58343,2631,940
2011-11-10$53.13$50.0053.3%15.3%63.8%45.8%61.1%13.6%0.2%179.6K-4.4M-30.6K0.8043.71N/AN/A87703,2571,961
2011-11-11$54.44$50.0051.6%14.8%63.8%43.3%47.5%12.8%1.1%204.2K-5.6M-30.5K0.0664.70N/AN/A3223,3032,000
2011-11-14$53.69$50.0051.5%14.8%62.3%43.1%55.2%11.1%1.9%202.0K-5.0M-29.1K0.4734.13N/AN/A89423,3282,001
2011-11-15$53.95$50.0051.5%14.8%60.1%43.0%56.3%11.3%1.2%226.0K-5.2M-29.3K0.4133.30N/AN/A81333,3852,037
2011-11-16$53.03$50.0051.5%14.8%58.5%43.1%48.8%11.5%0.4%196.6K-4.0M-27.9K0.0036.71N/AN/A3703,3242,060
2011-11-17$51.99$50.0056.3%16.2%58.3%50.7%51.6%12.4%1.4%136.0K-3.2M-26.2K0.0144.47N/AN/A15023,3212,060
2011-11-18$51.82$50.0053.5%15.3%55.8%46.2%48.9%11.6%3.7%114.3K-3.0M-25.7K0.0330.24N/AN/A17463,4122,060
2011-11-21$49.75$50.0053.9%15.4%53.3%46.8%60.6%10.1%-0.2%87.1K-1.4M-24.0K0.7330.97N/AN/A88642,6161,707
2011-11-22$49.40$50.0053.8%15.4%53.3%46.6%53.6%10.1%-0.4%77.7K-1.2M-23.9K0.4622.59N/AN/A2691252,6771,768
2011-11-23$47.07$50.0059.0%16.9%54.4%54.9%53.0%11.2%-0.6%38.1K95.6K-21.1K0.1218.79N/AN/A102122,6501,784
2011-11-25$46.84$50.0059.6%17.1%43.0%55.8%54.6%13.2%-0.6%30.9K319.8K-20.5K1.3816.22N/AN/A45622,6351,787
2011-11-28$49.27$50.0052.7%15.1%47.6%44.9%48.5%11.2%0.1%63.2K-878.6K-21.3K0.1442.89N/AN/A341482,6421,847
2011-11-29$49.26$50.0051.5%14.8%45.4%43.1%49.6%11.7%1.2%88.6K-1.2M-22.0K0.4928.22N/AN/A37182,8541,839
2011-11-30$54.14$50.0044.7%12.8%56.7%32.3%47.4%11.7%3.3%219.0K-4.9M-24.5K0.1230.39N/AN/A186222,8731,839