CRS Options History — July 2012

In July 2012, CRS traded between $44.11 and $49.03. ATM implied volatility averaged 35.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 6.1% (HV 20d: 29.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-07-26: Highest Volume — 1,086 contracts
  • 2012-07-31: Largest IV drop — 28.9% change
  • 2012-07-30: Highest IV Rank — 40.3%
  • 2012-07-30: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.30$44.11$49.03$47.75$47.86
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV35.8%26.7%48.8%27.8%34.7%
Expected Move10.6%8.0%14.0%8.0%10.0%
HV 20d29.7%23.6%35.2%33.2%34.4%
HV 60d35.6%33.8%37.0%36.7%36.0%
IV Rank20.2%6.2%40.3%7.9%18.6%
IV Percentile28.4%1.2%71.8%2.0%20.2%
Term Structure0.1%-8.0%7.2%7.2%0.8%
VWIV37.3%27.6%46.6%27.6%37.4%
Skew 25d6.9%4.4%10.2%6.2%10.2%
Skew 10d16.7%7.7%32.8%32.8%9.6%
Call IV 25d34.6%26.3%43.4%27.8%30.5%
Put IV 25d41.4%31.8%51.3%34.0%40.7%
Bid-Ask Spread %32.7120.1090.9232.8233.07
Gamma HHI0.340.240.520.360.24
Net GEX171.1K1.9K273.1K229.4K53.9K
Net DEX-90.2K-3.0M7.2M-1.3M696.6K
Net VEX-29.7K-35.1K-21.4K-33.8K-30.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.800.000.99
Total Volume238.952111,08611143
Total OI5,939.2865,2976,5955,7976,150

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$47.75$45.0027.8%8.0%33.2%7.9%27.6%6.2%7.2%229.4K-1.3M-33.8K0.0032.82N/AN/A1103,7502,047
2012-07-03$48.69$45.0029.2%8.4%33.3%10.2%29.2%5.5%5.7%228.8K-2.6M-35.1K0.0420.10N/AN/A2313,7572,047
2012-07-05$48.77$45.0028.5%8.2%32.7%9.1%28.7%6.5%6.8%236.0K-3.0M-35.0K0.0390.92N/AN/A7323,7592,046
2012-07-06$48.63$45.0026.7%10.2%32.7%6.2%33.0%6.2%0.2%248.1K-2.5M-33.5K0.2026.19N/AN/A4693,8192,048
2012-07-09$48.15$45.0030.4%10.3%33.0%12.0%35.7%6.2%0.7%257.1K-1.9M-32.1K2.8021.93N/AN/A10283,8512,057
2012-07-10$47.41$45.0037.4%11.5%25.8%22.8%0.0%5.9%-0.5%242.9K-861.4K-31.2K1.0328.15N/AN/A35363,8512,073
2012-07-11$47.94$45.0028.9%10.5%24.1%9.7%36.8%7.2%-0.9%273.1K-1.7M-31.5K1.0528.74N/AN/A19203,8692,095
2012-07-12$47.81$45.0035.6%10.2%23.6%20.0%35.6%7.8%0.8%252.1K-1.5M-30.9K0.6130.24N/AN/A28173,8662,089
2012-07-13$48.71$45.0035.5%10.2%24.0%19.8%46.6%6.4%0.6%270.6K-2.5M-31.0K0.0023.31N/AN/A0303,8762,096
2012-07-16$48.37$45.0035.6%10.2%24.4%20.0%37.1%6.3%0.6%232.4K-2.2M-29.9K1.2121.37N/AN/A28343,8762,101
2012-07-17$48.08$45.0035.6%10.2%24.6%20.0%39.3%4.4%-0.6%186.6K-1.7M-28.8K0.1324.14N/AN/A358453,8842,131
2012-07-18$48.54$45.0034.7%9.9%24.5%18.6%0.0%7.0%0.7%197.4K-1.9M-28.5K0.0025.45N/AN/A8603,8422,176
2012-07-19$49.03$45.0034.6%9.9%24.0%18.4%36.4%8.0%0.6%209.5K-2.4M-29.3K0.0430.50N/AN/A943383,7292,163
2012-07-20$46.35$45.0038.8%11.1%30.3%24.9%37.2%6.9%-1.3%158.2K-560.3K-26.1K0.6330.94N/AN/A151954,2062,190
2012-07-23$44.78$45.0039.4%11.3%33.0%25.9%40.9%6.3%-0.6%64.9K3.4M-23.1K0.7983.66N/AN/A43343,2262,071
2012-07-24$44.29$45.0041.8%12.0%33.2%29.6%41.7%5.4%-1.5%53.7K4.0M-21.4K0.3231.94N/AN/A59193,2282,100
2012-07-25$44.11$45.0042.9%12.3%32.6%31.2%42.9%5.8%-3.4%1.9K7.2M-25.4K1.2325.89N/AN/A2082553,2792,966
2012-07-26$44.88$45.0041.9%12.0%32.1%29.7%39.7%9.6%-2.5%9.0K6.7M-28.2K0.0031.51N/AN/A1,08603,4613,134
2012-07-27$46.74$45.0042.0%12.0%35.2%29.8%37.1%8.4%-3.1%116.8K719.4K-30.9K0.0025.00N/AN/A17603,7052,298
2012-07-30$46.40$45.0048.8%14.0%32.4%40.3%46.5%7.9%-8.0%70.3K2.0M-27.9K1.2821.14N/AN/A3644653,5152,298
2012-07-31$47.86$45.0034.7%10.0%34.4%18.6%37.4%10.2%0.8%53.9K696.6K-30.8K0.9933.07N/AN/A72713,5652,585