CRS Options History — June 2012

In June 2012, CRS traded between $42.27 and $47.84. ATM implied volatility averaged 37.5%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 1.4% (HV 20d: 38.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-06-18: Highest Volume — 1,166 contracts
  • 2012-06-11: Largest IV spike — 97.8% change
  • 2012-06-11: Highest IV Rank — 74.3%
  • 2012-06-11: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.36$42.27$47.84$44.05$47.84
Max Pain$45.24$45.00$50.00$50.00$45.00
ATM IV37.5%25.5%70.9%43.1%25.5%
Expected Move10.7%7.3%13.3%12.4%7.3%
HV 20d38.9%33.2%45.8%37.8%34.3%
HV 60d35.1%33.6%36.7%34.3%36.7%
IV Rank23.0%4.4%74.3%31.6%4.4%
IV Percentile30.3%0.8%98.8%57.9%0.8%
Term Structure3.5%-0.4%9.4%0.7%9.4%
VWIV37.3%26.9%47.2%47.2%26.9%
Skew 25d8.1%6.0%12.0%7.8%6.8%
Skew 10d15.1%1.9%26.8%3.5%19.1%
Call IV 25d34.6%23.7%43.5%43.5%23.7%
Put IV 25d42.6%30.5%51.3%51.3%30.5%
Bid-Ask Spread %30.6722.4344.3222.4335.19
Gamma HHI0.310.170.550.230.33
Net GEX88.2K-3.7K215.0K-3.7K215.0K
Net DEX3.3M-2.0M6.2M4.7M-2.0M
Net VEX-31.6K-36.8K-27.2K-34.1K-36.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.002.140.140.17
Total Volume182.619161,166362101
Total OI6,817.815,5577,9067,3175,742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$44.05$50.0043.1%12.4%37.8%31.6%47.2%7.8%0.7%-3.7K4.7M-34.1K0.1422.43N/AN/A318444,6472,670
2012-06-04$43.16$45.0045.1%12.5%37.6%34.6%43.9%8.8%1.1%9.9K5.1M-31.5K0.2827.46N/AN/A2574,8592,645
2012-06-05$43.87$45.0042.0%12.1%38.7%29.9%42.1%10.2%2.2%10.5K4.8M-32.6K0.2729.26N/AN/A74204,8792,644
2012-06-06$44.91$45.0039.1%11.8%40.4%25.4%37.3%8.8%2.3%21.2K4.0M-34.4K0.2432.45N/AN/A41104,9302,664
2012-06-07$44.80$45.0038.1%11.6%40.4%23.8%40.5%8.5%1.9%22.8K3.8M-34.8K1.1427.49N/AN/A51584,9442,674
2012-06-08$44.66$45.0035.8%11.4%40.1%20.3%0.0%8.3%1.9%16.1K4.3M-33.6K0.7544.32N/AN/A20154,9952,703
2012-06-11$42.27$45.0070.9%13.3%43.5%74.3%46.1%8.5%-0.4%18.3K6.2M-27.2K2.1431.67N/AN/A43925,0052,711
2012-06-12$43.61$45.0040.1%11.3%45.8%27.0%35.7%9.4%2.2%6.9K5.6M-29.2K0.3928.09N/AN/A141555,0242,759
2012-06-13$43.12$45.0026.0%11.8%45.0%5.2%41.9%7.2%2.3%34.0K6.0M-28.7K0.4029.30N/AN/A2085,1352,766
2012-06-14$43.48$45.0040.5%11.6%44.4%27.5%41.8%8.3%2.0%20.3K5.6M-30.6K1.2824.42N/AN/A50645,1452,741
2012-06-15$43.91$45.0037.6%10.8%42.0%23.0%37.8%7.5%3.7%7.2K5.2M-31.0K0.0724.74N/AN/A800605,1762,730
2012-06-18$43.90$45.0034.4%9.9%41.9%18.2%34.9%8.3%4.2%133.5K2.5M-31.2K0.0230.30N/AN/A1,145214,2371,940
2012-06-19$44.49$45.0033.1%9.5%36.0%16.2%30.2%6.3%5.0%213.7K1.1M-36.6K0.0030.54N/AN/A4104,7301,960
2012-06-20$45.34$45.0036.0%10.3%36.9%20.6%36.0%6.3%1.8%170.9K1.2M-33.1K0.0934.22N/AN/A199173,8861,960
2012-06-21$44.13$45.0033.7%9.7%37.3%17.1%33.5%7.5%5.0%149.8K2.1M-30.6K0.1728.22N/AN/A1833,8651,977
2012-06-22$43.91$45.0032.6%9.4%36.8%15.4%33.8%6.0%4.6%138.3K2.6M-27.2K1.1128.64N/AN/A65723,6071,950
2012-06-25$43.78$45.0035.4%10.2%36.0%19.7%35.1%12.0%4.2%132.9K2.7M-27.7K0.3130.20N/AN/A1653,6722,015
2012-06-26$44.61$45.0033.5%9.6%35.1%16.7%0.0%6.3%6.1%161.4K1.7M-30.6K0.0230.72N/AN/A5013,6822,020
2012-06-27$45.64$45.0032.9%9.4%34.0%15.9%0.0%9.2%6.5%181.8K1.1M-31.4K0.4835.68N/AN/A33163,7142,021
2012-06-28$46.07$45.0032.9%9.4%33.2%15.8%27.4%7.3%7.6%191.3K812.7K-31.0K0.0038.65N/AN/A1603,7172,033
2012-06-29$47.84$45.0025.5%7.3%34.3%4.4%26.9%6.8%9.4%215.0K-2.0M-36.8K0.1735.19N/AN/A86153,7092,033