CRS Options History — August 2012

In August 2012, CRS traded between $46.92 and $51.04. ATM implied volatility averaged 33.5%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.1% (HV 20d: 31.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 1.61.

Notable Days

  • 2012-08-21: Highest Volume — 249 contracts
  • 2012-08-03: Largest IV drop — 18.5% change
  • 2012-08-01: Highest IV Rank — 28.5%
  • 2012-08-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.34$46.92$51.04$47.21$47.26
Max Pain$49.35$45.00$50.00$45.00$50.00
ATM IV33.5%30.7%41.1%41.1%37.7%
Expected Move9.6%9.0%11.8%11.8%10.8%
HV 20d31.4%22.4%38.0%34.0%22.4%
HV 60d33.6%30.3%37.0%36.1%30.6%
IV Rank18.1%13.7%28.5%28.5%25.6%
IV Percentile17.5%7.1%51.2%51.2%48.4%
Term Structure2.8%-4.7%7.1%-4.7%2.5%
VWIV34.3%31.3%44.8%37.7%35.1%
Skew 25d6.4%3.9%9.8%4.5%6.4%
Skew 10d14.9%2.8%22.7%2.8%7.6%
Call IV 25d30.9%28.1%34.3%33.6%32.8%
Put IV 25d37.3%34.7%40.5%38.2%39.1%
Bid-Ask Spread %32.7919.3691.9549.9465.74
Gamma HHI0.320.190.540.210.24
Net GEX80.4K5.5K225.2K39.6K5.5K
Net DEX-577.6K-4.0M3.2M1.6M3.2M
Net VEX-25.6K-31.7K-18.7K-29.9K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.027.430.704.00
Total Volume80.565924910950
Total OI5,920.6965,0316,4376,2245,521

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$47.21$45.0041.1%11.8%34.0%28.5%37.7%4.5%-4.7%39.6K1.6M-29.9K0.7049.94N/AN/A64453,5872,637
2012-08-02$46.92$45.0039.3%11.3%34.0%25.6%38.8%6.2%-1.8%27.0K2.2M-28.3K1.4033.08N/AN/A35493,6022,677
2012-08-03$48.41$45.0032.0%9.2%35.9%14.4%31.3%9.8%2.8%71.7K-369.3K-31.7K0.0291.95N/AN/A10823,6182,697
2012-08-06$49.62$50.0033.4%9.6%36.8%16.6%34.9%6.0%3.7%106.1K-1.9M-30.7K0.6825.92N/AN/A88603,6562,695
2012-08-07$50.01$50.0033.5%9.7%36.3%16.8%33.5%7.5%3.2%124.6K-2.7M-30.6K0.4821.25N/AN/A62303,7032,705
2012-08-08$50.03$50.0032.1%9.4%36.2%16.1%33.0%6.9%4.4%132.8K-2.5M-29.8K3.5031.16N/AN/A273,7162,692
2012-08-09$50.41$50.0030.7%9.3%36.2%13.7%36.1%5.9%4.1%152.4K-3.3M-29.5K0.7321.83N/AN/A15113,7182,692
2012-08-10$50.96$50.0031.8%9.3%35.8%15.6%32.6%8.4%3.8%146.8K-3.8M-28.5K2.0822.22N/AN/A25523,7032,697
2012-08-13$49.62$50.0034.3%9.5%37.1%19.8%33.4%7.8%2.5%147.8K-1.7M-27.1K0.5827.27N/AN/A59343,7032,727
2012-08-14$49.62$50.0033.4%9.4%37.0%18.3%34.5%5.6%3.7%167.7K-1.6M-25.8K3.6722.61N/AN/A6223,7072,725
2012-08-15$49.63$50.0031.6%9.4%36.9%15.3%44.8%8.2%3.9%200.1K-1.7M-25.4K2.1522.06N/AN/A20433,7052,732
2012-08-16$51.04$50.0033.8%9.7%38.0%18.9%32.2%7.0%2.0%183.2K-4.0M-25.8K1.5019.36N/AN/A821233,6152,711
2012-08-17$50.75$50.0032.1%9.2%31.4%16.1%31.7%6.2%4.9%225.2K-3.5M-25.2K0.0920.62N/AN/A2223,6192,700
2012-08-20$50.50$50.0032.0%9.2%28.2%16.0%32.1%6.0%3.3%6.3K-421.7K-23.3K0.3822.75N/AN/A73282,9132,118
2012-08-21$50.52$50.0031.5%9.0%27.5%15.1%33.9%5.4%5.6%7.3K-545.2K-23.2K0.0926.79N/AN/A229202,9422,123
2012-08-22$50.55$50.0031.4%9.0%27.3%14.8%31.4%7.8%3.2%23.1K-628.4K-24.5K0.7229.77N/AN/A29213,1552,136
2012-08-23$49.53$50.0032.6%9.3%28.7%16.9%32.3%5.0%1.6%18.8K498.9K-23.5K0.7625.05N/AN/A78593,1802,157
2012-08-24$49.05$50.0032.4%9.3%25.8%16.6%34.7%5.2%2.3%17.1K896.8K-23.4K0.8367.73N/AN/A653,2252,179
2012-08-27$48.85$50.0032.6%9.4%25.6%17.0%32.8%6.9%1.8%11.5K1.1M-22.0K1.9330.02N/AN/A27523,2252,182
2012-08-28$48.79$50.0032.1%9.2%23.3%16.1%0.0%5.8%2.4%12.4K1.3M-21.7K0.0027.27N/AN/A0143,2522,189
2012-08-29$48.48$50.0033.1%9.5%22.9%17.7%34.1%3.9%2.8%10.3K1.6M-21.4K1.6926.05N/AN/A13223,2522,204
2012-08-30$47.10$50.0037.0%10.6%25.2%24.4%34.2%5.5%7.1%11.4K3.2M-18.8K7.4323.67N/AN/A7523,2592,225
2012-08-31$47.26$50.0037.7%10.8%22.4%25.6%35.1%6.4%2.5%5.5K3.2M-18.7K4.0065.74N/AN/A10403,2652,256