CRS Options History — February 2012

In February 2012, CRS traded between $51.00 and $56.65. ATM implied volatility averaged 36.2%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.0% (HV 20d: 30.1%). 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 19 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-02-21: Highest Volume — 400 contracts
  • 2012-02-22: Largest IV spike — 9.5% change
  • 2012-02-15: Highest IV Rank — 21.5%
  • 2012-02-15: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.71$51.00$56.65$54.39$51.30
Max Pain$50.50$50.00$55.00$55.00$50.00
ATM IV36.2%33.9%37.9%35.1%33.9%
Expected Move10.4%9.7%10.9%10.1%9.7%
HV 20d30.1%24.4%34.2%24.8%32.4%
HV 60d41.3%34.8%43.8%43.6%34.8%
IV Rank18.8%15.2%21.5%17.1%15.2%
IV Percentile19.9%8.3%34.1%11.1%8.3%
Term Structure1.8%-0.3%3.7%1.4%2.3%
VWIV36.5%32.8%45.8%35.7%33.8%
Skew 25d6.4%3.6%13.2%13.2%3.6%
Skew 10d12.2%3.5%21.8%15.8%10.0%
Call IV 25d33.4%25.6%36.9%25.6%32.1%
Put IV 25d39.8%35.8%43.4%38.8%35.8%
Bid-Ask Spread %27.3416.7645.7934.4826.20
Gamma HHI0.340.290.450.310.39
Net GEX219.8K123.5K314.2K230.3K129.1K
Net DEX-3.2M-6.0M-928.2K-3.7M-1.1M
Net VEX-24.6K-29.6K-19.6K-26.7K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.0310.000.220.03
Total Volume129.35440026734
Total OI4,362.63,8774,5694,1984,370

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$54.39$55.0035.1%10.1%24.8%17.1%35.7%13.2%1.4%230.3K-3.7M-26.7K0.2234.48N/AN/A219482,9291,269
2012-02-02$55.68$55.0034.8%10.0%26.0%16.7%35.0%6.4%1.8%282.9K-5.0M-29.0K0.0527.44N/AN/A1913,0641,274
2012-02-03$56.65$50.0035.6%10.6%26.2%17.8%35.9%6.4%2.0%307.5K-6.0M-29.6K0.4132.78N/AN/A88363,0711,274
2012-02-06$56.58$50.0037.1%10.8%26.2%20.3%45.8%6.3%2.3%314.2K-5.9M-29.1K0.2545.79N/AN/A60153,1111,289
2012-02-07$55.99$50.0036.2%10.7%26.6%18.9%41.4%5.1%1.5%298.0K-5.5M-28.5K10.0026.00N/AN/A1103,1141,296
2012-02-08$55.21$50.0035.6%10.1%24.9%17.8%35.5%6.0%3.5%279.9K-4.8M-27.6K0.2226.84N/AN/A126283,1101,306
2012-02-09$55.37$50.0036.8%10.6%24.4%19.9%35.9%7.0%3.0%310.7K-5.2M-28.4K0.3330.85N/AN/A313,2141,325
2012-02-10$53.43$50.0037.4%10.7%27.3%20.8%37.2%7.7%1.6%210.7K-3.0M-25.6K0.5927.96N/AN/A88523,1101,325
2012-02-13$55.28$50.0037.0%10.6%30.0%20.1%38.4%7.1%1.8%289.1K-4.6M-25.9K0.2635.63N/AN/A81213,1341,372
2012-02-14$53.80$50.0037.2%10.7%31.3%20.5%34.8%6.8%1.9%239.7K-3.3M-25.8K0.1424.73N/AN/A103143,1881,381
2012-02-15$52.64$50.0037.9%10.9%32.1%21.5%38.0%5.9%1.9%173.6K-2.1M-24.2K0.0622.25N/AN/A196113,1801,389
2012-02-16$54.06$50.0036.8%10.5%33.6%19.8%36.0%7.2%3.7%293.2K-3.1M-24.2K0.5619.27N/AN/A25143,1221,400
2012-02-17$53.10$50.0035.7%10.2%34.1%18.0%38.0%5.9%3.1%175.8K-2.1M-22.9K1.0016.76N/AN/A553,1221,403
2012-02-21$53.25$50.0034.6%9.9%34.0%16.3%35.5%6.6%1.1%148.6K-2.2M-21.3K0.3720.91N/AN/A2911092,6361,241
2012-02-22$52.33$50.0037.8%10.8%34.2%21.5%33.7%4.9%0.1%163.0K-2.1M-22.2K0.3330.87N/AN/A144482,8521,266
2012-02-23$51.37$50.0036.9%10.6%34.2%20.0%33.7%6.6%-0.3%144.2K-1.3M-21.2K0.2020.04N/AN/A69142,9271,320
2012-02-24$51.58$50.0036.4%10.4%33.8%19.1%32.8%5.5%0.7%152.7K-1.4M-20.9K0.0525.66N/AN/A250132,9571,332
2012-02-27$51.00$50.0036.0%10.3%33.7%18.6%36.3%4.9%2.1%129.2K-1.1M-19.7K0.4927.63N/AN/A2061002,8801,335
2012-02-28$51.17$50.0034.6%9.9%32.7%16.4%33.8%5.0%1.3%123.5K-928.2K-20.0K1.4424.68N/AN/A16232,9541,410
2012-02-29$51.30$50.0033.9%9.7%32.4%15.2%0.0%3.6%2.3%129.1K-1.1M-19.6K0.0326.20N/AN/A3312,9571,413