CRS Options History — January 2012

In January 2012, CRS traded between $52.48 and $56.61. ATM implied volatility averaged 40.9%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 7.9% (HV 20d: 33.0%). 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 9 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2012-01-23: Highest Volume — 602 contracts
  • 2012-01-12: Largest IV spike — 21.4% change
  • 2012-01-19: Highest IV Rank — 36.4%
  • 2012-01-19: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.64$52.48$56.61$53.04$52.48
Max Pain$53.25$50.00$55.00$50.00$55.00
ATM IV40.9%35.5%47.3%41.4%43.5%
Expected Move12.1%10.2%13.6%11.9%12.5%
HV 20d33.0%20.8%46.8%46.7%23.8%
HV 60d49.7%43.3%54.3%54.3%43.3%
IV Rank26.3%17.8%36.4%27.1%30.4%
IV Percentile44.1%13.1%69.4%53.6%58.7%
Term Structure0.3%-5.1%6.7%5.0%-5.1%
VWIV41.6%35.2%46.2%41.3%42.1%
Skew 25d8.3%5.5%10.3%8.5%8.6%
Skew 10d17.2%6.9%30.9%17.7%6.9%
Call IV 25d38.5%32.0%43.1%39.1%32.0%
Put IV 25d46.8%39.6%52.0%47.6%40.6%
Bid-Ask Spread %40.6828.0358.3342.4234.63
Gamma HHI0.380.270.820.310.30
Net GEX297.6K161.1K1.4M161.1K176.1K
Net DEX-4.3M-5.8M-2.3M-3.2M-2.3M
Net VEX-22.1K-27.4K-19.4K-20.5K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.040.000.45
Total Volume174.554060254294
Total OI3,535.453,0024,0753,1314,075

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$53.04$50.0041.4%11.9%46.7%27.1%41.3%8.5%5.0%161.1K-3.2M-20.5K0.0042.42N/AN/A5402,234897
2012-01-04$53.32$50.0039.6%11.4%46.8%24.2%39.6%9.2%6.7%173.3K-3.3M-20.3K0.0039.35N/AN/A4002,273897
2012-01-05$52.89$50.0038.9%11.2%46.8%23.2%40.1%10.3%5.2%178.2K-3.1M-19.9K0.3258.33N/AN/A37122,291897
2012-01-06$53.34$55.0037.6%12.8%46.8%21.2%44.8%10.1%-0.9%186.5K-3.3M-19.4K0.0030.44N/AN/A18002,289897
2012-01-09$53.60$55.0037.1%12.7%44.6%20.3%44.1%9.3%0.5%226.4K-3.9M-20.4K0.0146.90N/AN/A7512,464897
2012-01-10$55.30$55.0037.5%12.8%43.7%20.9%41.3%8.7%-0.0%255.1K-5.1M-21.3K0.1231.36N/AN/A140172,488898
2012-01-11$56.00$55.0036.7%12.7%41.7%19.6%40.5%10.0%0.8%276.9K-5.8M-22.7K1.0637.99N/AN/A52552,605900
2012-01-12$55.43$55.0044.5%12.8%36.4%32.0%40.3%7.7%-0.1%270.0K-5.4M-22.2K0.1843.33N/AN/A62112,597932
2012-01-13$55.04$55.0046.7%13.4%36.2%35.4%44.2%9.0%-1.9%276.7K-5.0M-22.0K0.0334.88N/AN/A12342,639938
2012-01-17$55.51$55.0044.9%12.9%33.8%32.7%40.6%9.7%-0.2%306.5K-5.4M-20.5K0.0037.32N/AN/A5902,611942
2012-01-18$55.01$55.0046.5%13.3%33.0%35.1%42.3%7.0%-0.3%335.7K-5.0M-20.2K0.3134.52N/AN/A161502,640942
2012-01-19$54.98$55.0047.3%13.6%28.8%36.4%46.2%5.5%-2.1%395.8K-5.0M-20.4K0.7755.95N/AN/A60462,674987
2012-01-20$55.16$55.0042.8%12.3%20.8%29.3%41.8%9.0%0.6%1.4M-5.4M-19.6K0.0041.95N/AN/A32802,669972
2012-01-23$55.64$55.0042.3%12.1%20.8%28.5%44.4%6.4%-1.8%198.7K-3.6M-19.7K0.3544.32N/AN/A4451572,248754
2012-01-24$56.08$50.0042.4%12.2%20.8%28.6%42.8%7.9%-3.3%228.6K-4.5M-23.3K0.8553.47N/AN/A2372022,581874
2012-01-25$56.61$50.0040.6%11.7%20.9%25.9%40.6%7.7%-1.0%254.4K-5.2M-27.4K0.1343.22N/AN/A78102,7671,064
2012-01-26$55.44$50.0035.7%10.2%22.6%18.0%35.5%6.5%1.0%257.1K-4.6M-26.8K2.0434.78N/AN/A501022,8311,072
2012-01-27$54.69$50.0035.5%10.2%21.4%17.8%35.2%6.1%1.5%238.8K-4.0M-26.8K0.2440.32N/AN/A88212,8441,137
2012-01-30$53.31$55.0036.4%10.4%23.6%19.2%43.2%7.9%1.1%201.3K-2.9M-24.8K0.3828.03N/AN/A174662,8411,151
2012-01-31$52.48$55.0043.5%12.5%23.8%30.4%42.1%8.6%-5.1%176.1K-2.3M-24.3K0.4534.63N/AN/A203912,8801,195