CRS Options History — March 2012

In March 2012, CRS traded between $49.46 and $52.90. ATM implied volatility averaged 34.2%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 3.7% (HV 20d: 30.5%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2012-03-16: Highest Volume — 388 contracts
  • 2012-03-20: Largest IV spike — 21.7% change
  • 2012-03-06: Highest IV Rank — 24.5%
  • 2012-03-06: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.40$49.46$52.90$52.90$52.23
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV34.2%27.7%39.8%32.3%33.9%
Expected Move9.8%8.0%11.0%9.2%9.7%
HV 20d30.5%28.5%33.6%31.7%28.5%
HV 60d31.3%28.3%35.9%35.0%28.3%
IV Rank15.7%5.5%24.5%12.6%15.3%
IV Percentile13.8%0.4%44.8%4.0%12.3%
Term Structure3.4%0.3%6.6%1.1%4.8%
VWIV33.2%29.2%36.9%32.7%29.9%
Skew 25d5.7%-0.5%7.6%3.9%5.2%
Skew 10d13.3%-2.3%21.3%6.1%15.2%
Call IV 25d31.0%27.9%35.6%30.5%29.2%
Put IV 25d36.6%32.6%41.8%34.4%34.3%
Bid-Ask Spread %34.5720.4760.5021.5329.67
Gamma HHI0.400.250.520.440.51
Net GEX146.1K58.8K239.7K189.9K229.8K
Net DEX-1.5M-3.0M618.2K-2.4M-2.8M
Net VEX-20.9K-25.7K-17.3K-21.2K-25.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0042.000.760.04
Total Volume1596388116114
Total OI4,050.1822,7024,8234,3803,777

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$52.90$50.0032.3%9.2%31.7%12.6%32.7%3.9%1.1%189.9K-2.4M-21.2K0.7621.53N/AN/A66502,9671,413
2012-03-02$51.82$50.0035.6%10.2%30.9%17.9%0.0%-0.5%0.3%149.9K-1.4M-20.5K42.0020.47N/AN/A1422,9861,445
2012-03-05$50.97$50.0038.0%10.6%30.2%21.6%33.8%6.1%1.4%109.2K-513.9K-18.8K0.0731.05N/AN/A10272,9861,467
2012-03-06$49.46$50.0039.8%11.0%31.4%24.5%36.9%5.8%2.3%66.9K415.8K-17.6K0.2122.09N/AN/A156323,0331,470
2012-03-07$49.50$50.0037.1%10.4%31.5%20.2%36.3%7.3%2.5%58.8K618.2K-17.3K0.5538.20N/AN/A33183,0261,490
2012-03-08$50.46$50.0036.0%10.3%32.6%18.6%33.2%6.3%3.3%85.8K-127.8K-18.0K0.0032.84N/AN/A20803,0391,484
2012-03-09$51.43$50.0034.1%10.1%33.6%15.5%32.3%6.7%3.9%126.6K-1.1M-19.2K0.5631.31N/AN/A105593,1291,484
2012-03-12$50.70$50.0035.9%9.9%31.7%18.3%33.6%5.3%3.0%87.1K-489.7K-18.2K0.7239.40N/AN/A25183,2101,488
2012-03-13$51.90$50.0034.1%10.1%30.2%15.6%0.0%7.6%2.1%124.3K-1.6M-18.7K0.2042.05N/AN/A513,2211,498
2012-03-14$50.41$50.0033.2%10.2%30.4%14.1%35.7%4.6%2.2%67.3K-367.8K-17.6K0.8142.88N/AN/A62503,2231,498
2012-03-15$50.95$50.0034.4%9.9%30.0%16.0%34.3%7.5%3.8%76.2K-991.2K-18.4K0.6943.91N/AN/A48333,2791,528
2012-03-16$51.51$50.0033.2%9.5%28.5%14.1%31.0%6.2%4.3%96.9K-1.8M-18.2K0.0060.50N/AN/A38803,2811,542
2012-03-19$52.68$50.0027.7%8.0%29.2%5.5%29.2%5.7%6.6%166.9K-2.2M-20.4K0.3744.31N/AN/A157581,971731
2012-03-20$51.87$50.0033.8%9.7%29.7%15.0%35.9%5.5%3.6%159.6K-1.8M-21.0K0.2451.38N/AN/A181442,100783
2012-03-21$51.94$50.0033.1%9.5%29.0%13.9%30.5%6.6%4.2%178.7K-2.1M-22.5K0.1239.70N/AN/A335402,251823
2012-03-22$50.71$50.0033.3%9.5%29.6%14.2%34.3%6.8%4.2%168.9K-1.6M-22.3K0.5224.54N/AN/A162852,473863
2012-03-23$51.13$50.0032.6%9.3%29.7%13.1%32.7%6.7%5.0%186.9K-2.0M-23.9K2.3529.23N/AN/A17402,556944
2012-03-26$52.39$50.0033.9%9.7%30.6%15.2%35.6%5.8%3.0%224.2K-2.8M-24.6K0.3130.80N/AN/A128402,562975
2012-03-27$52.23$50.0033.3%9.5%30.7%14.2%33.3%4.8%4.0%239.7K-3.0M-25.5K1.5832.16N/AN/A38602,681995
2012-03-28$51.46$50.0033.3%9.5%31.2%14.2%30.4%5.5%4.3%202.2K-2.1M-24.3K0.2524.78N/AN/A287732,6651,035
2012-03-29$52.10$50.0033.9%9.7%29.4%15.3%32.4%5.0%3.9%219.5K-2.6M-25.4K0.6327.69N/AN/A80502,6531,079
2012-03-30$52.23$50.0033.9%9.7%28.5%15.3%29.9%5.2%4.8%229.8K-2.8M-25.7K0.0429.67N/AN/A11042,6811,096