CRS Options History — April 2012

In April 2012, CRS traded between $50.13 and $56.81. ATM implied volatility averaged 33.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 6.4% (HV 20d: 27.0%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-04-25: Highest Volume — 1,077 contracts
  • 2012-04-03: Largest IV spike — 50.2% change
  • 2012-04-10: Highest IV Rank — 23.8%
  • 2012-04-11: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.13$50.13$56.81$52.60$55.66
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV33.4%22.6%38.1%22.6%28.5%
Expected Move9.7%6.5%11.9%6.5%8.2%
HV 20d27.0%21.4%35.2%27.8%35.2%
HV 60d29.3%27.5%32.6%28.3%31.4%
IV Rank16.6%0.0%23.8%0.0%9.1%
IV Percentile18.4%0.0%42.9%0.0%2.4%
Term Structure1.3%-2.6%6.8%6.8%2.2%
VWIV34.9%26.8%43.3%32.8%29.2%
Skew 25d6.0%3.0%9.0%4.8%4.3%
Skew 10d12.4%1.2%19.9%16.0%8.5%
Call IV 25d32.2%24.1%37.2%27.5%26.9%
Put IV 25d38.1%29.3%45.2%32.4%31.2%
Bid-Ask Spread %32.5920.6876.2831.8832.95
Gamma HHI0.530.390.680.530.42
Net GEX296.4K180.7K469.9K254.2K387.0K
Net DEX-4.1M-8.0M-1.6M-3.1M-7.0M
Net VEX-26.1K-33.8K-21.9K-25.3K-33.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.003.231.040.10
Total Volume181.2241,0775345
Total OI4,179.63,7354,7433,7894,743

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$52.60$50.0022.6%6.5%27.8%0.0%32.8%4.8%6.8%254.2K-3.1M-25.3K1.0431.88N/AN/A26272,6891,100
2012-04-03$51.81$50.0034.0%9.7%26.0%17.5%32.2%3.0%2.1%215.0K-2.3M-24.3K0.3739.17N/AN/A73272,7121,115
2012-04-04$51.38$50.0033.4%9.6%26.3%16.7%27.5%7.2%4.3%193.1K-1.9M-23.5K0.0836.39N/AN/A6552,6731,131
2012-04-05$51.39$50.0032.1%9.2%25.5%14.5%32.1%4.7%6.2%186.2K-1.8M-23.0K0.5525.02N/AN/A20112,6391,136
2012-04-09$51.17$50.0038.0%11.5%24.6%23.7%37.4%9.0%-0.9%180.7K-1.7M-21.9K0.0029.19N/AN/A47922,6591,147
2012-04-10$50.13$50.0038.1%11.8%25.2%23.8%43.3%8.0%-1.7%182.5K-1.6M-23.0K1.0022.34N/AN/A55553,0741,147
2012-04-11$51.68$50.0037.4%11.9%26.2%22.7%36.6%8.6%-2.6%220.2K-2.4M-23.8K0.0020.68N/AN/A29612,8681,198
2012-04-12$53.15$50.0036.2%10.4%25.7%20.9%39.4%6.2%-0.2%343.0K-4.3M-26.6K0.0022.10N/AN/A12003,0471,197
2012-04-13$52.59$50.0037.2%10.7%25.9%22.4%0.0%6.5%-0.8%317.7K-3.9M-26.6K1.1828.88N/AN/A11133,1531,197
2012-04-16$53.18$50.0037.1%10.6%25.9%22.3%41.1%7.9%-0.5%373.6K-4.6M-26.5K0.8632.33N/AN/A29253,1571,210
2012-04-17$53.75$50.0036.9%10.6%25.0%22.0%40.0%5.4%-0.7%469.9K-5.3M-26.8K0.2021.04N/AN/A159313,1811,234
2012-04-18$53.22$50.0035.1%10.1%24.5%19.2%35.6%5.5%0.7%410.4K-4.5M-26.2K0.1431.28N/AN/A316453,1821,264
2012-04-19$52.99$50.0035.1%10.1%24.6%19.2%40.0%5.7%0.5%295.6K-3.9M-25.9K0.0038.05N/AN/A0243,2211,288
2012-04-20$53.07$50.0034.3%9.8%22.8%17.9%38.2%5.0%1.1%293.0K-4.0M-26.0K0.0030.08N/AN/A4903,2211,306
2012-04-23$52.56$50.0034.8%10.0%23.1%18.7%38.8%7.3%0.4%253.7K-3.1M-24.0K3.2376.28N/AN/A26842,7211,014
2012-04-24$52.51$50.0034.2%9.8%21.4%17.8%36.8%6.5%0.5%251.4K-3.1M-24.7K0.2938.37N/AN/A100292,7051,077
2012-04-25$56.81$50.0027.1%7.8%35.1%6.9%26.8%3.9%3.7%353.9K-7.2M-26.2K0.5529.76N/AN/A6943832,7811,098
2012-04-26$56.49$50.0027.9%8.0%34.6%8.1%27.4%5.3%3.2%367.7K-7.4M-31.6K0.3231.89N/AN/A164533,2191,371
2012-04-27$56.55$50.0028.3%8.1%34.5%8.7%28.9%5.2%2.5%378.3K-8.0M-33.8K0.3234.10N/AN/A62203,3741,343
2012-04-30$55.66$50.0028.5%8.2%35.2%9.1%29.2%4.3%2.2%387.0K-7.0M-33.0K0.1032.95N/AN/A4143,3951,348