CRS Options History — September 2012

In September 2012, CRS traded between $47.28 and $55.70. ATM implied volatility averaged 33.7%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.7% (HV 20d: 27.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.20.

Notable Days

2012-09-11: Highest Volume — 777 contracts
2012-09-27: Largest IV drop — 18.6% change
2012-09-04: Highest IV Rank — 29.9%
2012-09-04: Largest Expected Move — 11.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.32	$47.28	$55.70	$47.42	$52.32
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	33.7%	29.2%	40.2%	40.2%	34.1%
Expected Move	9.6%	8.4%	11.5%	11.5%	9.8%
HV 20d	27.1%	20.0%	29.9%	20.3%	28.5%
HV 60d	29.4%	27.9%	30.6%	30.6%	29.3%
IV Rank	18.9%	11.2%	29.9%	29.9%	19.5%
IV Percentile	23.6%	6.3%	58.3%	58.3%	28.2%
Term Structure	1.9%	-2.5%	4.3%	-2.5%	1.8%
VWIV	32.8%	30.6%	36.2%	36.2%	30.6%
Skew 25d	5.8%	-0.6%	11.5%	3.4%	3.9%
Skew 10d	12.4%	-8.5%	25.1%	-8.5%	3.2%
Call IV 25d	30.1%	26.4%	35.7%	35.3%	29.0%
Put IV 25d	35.9%	30.4%	40.5%	38.7%	32.9%
Bid-Ask Spread %	31.25	20.95	42.39	34.57	34.46
Gamma HHI	0.43	0.24	0.52	0.24	0.50
Net GEX	183.7K	5.3K	283.6K	9.6K	234.3K
Net DEX	-4.9M	-12.4M	3.1M	3.1M	-3.0M
Net VEX	-22.0K	-25.7K	-17.3K	-17.6K	-23.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	4.77	0.83	0.10
Total Volume	247.316	0	777	22	0
Total OI	5,389.263	2,829	6,867	5,520	3,120

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$47.42	$50.00	40.2%	11.5%	20.3%	29.9%	36.2%	3.4%	-2.5%	9.6K	3.1M	-17.6K	0.83	34.57	N/A	N/A	12	10	3,275	2,245
2012-09-05	$47.28	$50.00	39.8%	11.4%	20.0%	29.1%	0.0%	4.9%	3.7%	11.0K	3.1M	-17.3K	0.09	29.25	N/A	N/A	53	5	3,277	2,255
2012-09-06	$48.30	$50.00	32.4%	9.3%	21.7%	16.6%	32.9%	3.5%	0.7%	5.3K	2.1M	-17.9K	0.08	36.65	N/A	N/A	366	28	3,320	2,260
2012-09-07	$50.55	$50.00	30.9%	9.5%	27.3%	14.1%	32.7%	8.1%	2.7%	65.7K	-1.8M	-20.3K	3.10	21.00	N/A	N/A	105	325	3,586	2,245
2012-09-10	$51.36	$50.00	34.6%	10.1%	27.7%	20.3%	33.0%	7.9%	0.6%	120.5K	-3.3M	-19.2K	0.40	35.37	N/A	N/A	322	130	3,608	2,104
2012-09-11	$52.36	$50.00	39.0%	10.4%	26.5%	27.8%	32.3%	11.5%	1.2%	140.8K	-5.0M	-22.8K	0.32	37.80	N/A	N/A	588	189	3,839	2,219
2012-09-12	$53.01	$50.00	34.5%	9.2%	26.7%	20.1%	0.0%	8.7%	2.6%	221.5K	-6.9M	-25.7K	3.33	29.46	N/A	N/A	15	50	4,285	2,184
2012-09-13	$54.48	$50.00	30.9%	8.9%	28.0%	14.1%	30.7%	6.7%	3.4%	237.5K	-9.8M	-24.6K	0.01	36.37	N/A	N/A	190	2	4,295	2,184
2012-09-14	$55.70	$50.00	31.9%	9.1%	27.4%	15.7%	31.8%	4.7%	2.0%	283.6K	-12.4M	-23.6K	0.00	23.31	N/A	N/A	127	0	4,373	2,184
2012-09-17	$54.53	$50.00	31.9%	9.1%	28.7%	15.7%	31.8%	6.3%	3.0%	267.8K	-10.5M	-23.0K	4.74	20.95	N/A	N/A	42	199	4,409	2,184
2012-09-18	$54.45	$50.00	33.1%	9.5%	28.6%	17.8%	32.5%	4.6%	1.9%	241.3K	-9.9M	-24.9K	0.12	28.75	N/A	N/A	95	11	4,417	2,383
2012-09-19	$54.46	$50.00	32.3%	9.2%	28.6%	16.4%	34.5%	4.8%	2.3%	263.8K	-9.9M	-24.4K	0.26	25.85	N/A	N/A	92	24	4,450	2,375
2012-09-20	$53.91	$50.00	32.8%	9.4%	29.0%	17.3%	33.0%	4.0%	1.9%	235.9K	-7.8M	-22.8K	2.89	29.33	N/A	N/A	156	451	4,492	2,375
2012-09-21	$53.59	$50.00	31.1%	8.9%	27.8%	14.5%	33.9%	5.0%	3.0%	250.6K	-8.1M	-21.8K	0.28	28.49	N/A	N/A	552	157	4,464	2,217
2012-09-24	$53.05	$50.00	31.4%	9.0%	27.9%	15.0%	31.5%	7.8%	3.2%	229.1K	-3.4M	-22.5K	0.00	34.64	N/A	N/A	66	0	2,112	717
2012-09-25	$51.70	$50.00	35.1%	10.1%	29.7%	21.2%	34.8%	-0.6%	0.7%	206.3K	-2.6M	-21.7K	4.77	42.39	N/A	N/A	31	148	2,175	717
2012-09-26	$52.45	$50.00	35.9%	10.3%	29.9%	22.6%	32.5%	8.1%	-0.5%	214.1K	-2.9M	-22.2K	0.19	26.05	N/A	N/A	79	15	2,193	797
2012-09-27	$53.24	$50.00	29.2%	8.4%	29.9%	11.2%	30.6%	7.2%	4.3%	250.7K	-3.5M	-23.3K	0.10	39.01	N/A	N/A	58	6	2,253	808
2012-09-28	$52.32	$50.00	34.1%	9.8%	28.5%	19.5%	0.0%	3.9%	1.8%	234.3K	-3.0M	-23.1K	0.00	34.46	N/A	N/A	0	0	2,311	809