CRS Options History — May 2012

In May 2012, CRS traded between $45.06 and $55.54. ATM implied volatility averaged 36.9%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.9% (HV 20d: 36.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2012-05-04: Highest Volume — 1,921 contracts
  • 2012-05-30: Largest IV spike — 24.5% change
  • 2012-05-18: Highest IV Rank — 34.9%
  • 2012-05-18: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.74$45.06$55.54$55.54$45.06
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV36.9%28.1%45.3%29.4%41.9%
Expected Move10.6%8.1%13.0%8.4%12.0%
HV 20d36.1%32.9%44.6%35.2%37.6%
HV 60d31.6%29.0%34.2%31.2%34.0%
IV Rank22.1%8.5%34.9%10.5%29.6%
IV Percentile35.5%2.0%63.5%2.8%55.6%
Term Structure1.6%-1.2%3.6%2.0%0.3%
VWIV36.7%26.7%53.5%29.5%43.9%
Skew 25d7.5%1.4%12.3%1.4%9.5%
Skew 10d14.3%2.2%28.5%2.2%13.9%
Call IV 25d34.4%20.2%41.2%28.7%38.6%
Put IV 25d41.8%30.1%50.2%30.1%48.1%
Bid-Ask Spread %26.2420.1535.1735.1720.74
Gamma HHI0.340.210.490.430.26
Net GEX156.4K-50.3K407.2K391.3K-6.2K
Net DEX112.3K-6.9M5.2M-6.9M4.3M
Net VEX-40.8K-50.4K-30.3K-32.6K-36.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.0011.560.030.04
Total Volume295.909351,921123279
Total OI6,525.8644,7537,4254,7537,273

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$55.54$50.0029.4%8.4%35.2%10.5%29.5%1.4%2.0%391.3K-6.9M-32.6K0.0335.17N/AN/A12033,4091,344
2012-05-02$55.08$50.0028.4%8.2%34.8%9.0%0.0%12.3%3.1%407.2K-6.3M-33.0K1.9225.11N/AN/A12233,5251,346
2012-05-03$54.15$50.0028.1%8.1%35.4%8.5%28.1%9.1%3.1%379.3K-4.9M-31.7K1.4427.38N/AN/A55793,5011,361
2012-05-04$52.86$50.0029.0%9.1%36.6%9.8%32.4%7.0%3.6%337.2K-3.4M-30.3K0.9230.48N/AN/A1,0039183,5331,352
2012-05-07$52.67$50.0031.2%9.5%36.6%13.2%32.8%6.6%2.7%336.8K-3.4M-50.4K0.6324.91N/AN/A64404,4682,206
2012-05-08$52.28$50.0038.0%10.6%35.8%23.7%35.5%7.4%1.6%307.4K-2.6M-49.0K0.8121.32N/AN/A1491214,4262,241
2012-05-09$51.65$50.0037.1%10.8%34.5%22.3%30.6%6.1%0.9%259.5K-1.6M-46.9K1.8925.16N/AN/A28534,3672,284
2012-05-10$52.01$50.0037.3%10.7%33.0%22.7%33.3%7.0%1.6%276.1K-1.9M-47.6K0.1120.15N/AN/A154174,3672,332
2012-05-11$51.31$50.0037.3%10.7%33.2%22.6%33.1%6.7%1.4%241.0K-1.1M-47.0K0.4826.21N/AN/A100484,4372,346
2012-05-14$50.65$50.0038.0%10.9%33.1%23.7%37.3%6.5%2.1%204.1K-179.2K-44.9K0.6924.65N/AN/A42294,4702,383
2012-05-15$49.11$50.0038.3%11.0%34.2%24.2%37.2%6.4%2.1%137.2K1.6M-41.7K1.5431.12N/AN/A801234,4982,374
2012-05-16$47.69$50.0039.3%11.3%35.2%25.6%40.2%6.3%1.7%82.0K2.9M-39.1K0.4930.16N/AN/A2561254,5272,453
2012-05-17$45.57$50.0044.9%12.9%38.0%34.4%42.8%8.6%1.1%-13.1K4.7M-35.7K11.5629.78N/AN/A161854,5102,550
2012-05-18$45.69$50.0045.3%13.0%38.0%34.9%44.6%9.3%-1.2%-50.3K5.2M-34.8K1.1631.84N/AN/A2583004,4992,636
2012-05-21$48.43$50.0037.3%10.7%44.6%22.6%36.2%7.4%0.8%16.1K2.2M-42.1K0.0828.79N/AN/A353293,8252,542
2012-05-22$47.99$50.0037.5%10.8%44.6%22.9%35.8%7.3%1.3%15.5K2.3M-41.9K0.0022.82N/AN/A7404,0302,560
2012-05-23$48.61$50.0038.0%10.9%32.9%23.8%39.8%7.8%1.4%33.5K1.8M-43.2K0.2828.58N/AN/A222634,0592,560
2012-05-24$47.56$50.0036.4%10.4%33.3%21.3%53.5%8.7%2.8%5.4K2.6M-42.1K0.0725.78N/AN/A508344,2342,610
2012-05-25$46.44$50.0041.3%11.9%33.5%28.8%40.5%7.9%1.2%30.1K2.6M-43.3K2.0423.36N/AN/A25514,7102,622
2012-05-29$47.77$50.0035.0%10.0%36.0%19.0%38.1%6.5%1.6%34.5K1.7M-43.7K0.5022.91N/AN/A90454,7102,664
2012-05-30$46.07$50.0043.5%12.5%37.3%32.2%26.7%8.7%-0.5%15.3K3.2M-40.1K0.0020.93N/AN/A33604,7612,664
2012-05-31$45.06$50.0041.9%12.0%37.6%29.6%43.9%9.5%0.3%-6.2K4.3M-36.4K0.0420.74N/AN/A267124,6092,664