CRS Options History — October 2012

In October 2012, CRS traded between $48.61 and $54.14. ATM implied volatility averaged 33.6%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.0% (HV 20d: 24.6%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-10-22: Highest Volume — 340 contracts
  • 2012-10-09: Largest IV spike — 37.4% change
  • 2012-10-09: Highest IV Rank — 32.2%
  • 2012-10-15: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.01$48.61$54.14$52.51$48.61
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV33.6%23.3%38.1%34.8%32.5%
Expected Move9.8%8.5%10.9%10.0%9.3%
HV 20d24.6%20.3%28.8%28.5%24.7%
HV 60d27.8%25.6%29.6%29.3%25.6%
IV Rank22.3%1.5%32.2%20.7%20.4%
IV Percentile30.2%0.4%62.3%34.1%18.7%
Term Structure0.4%-1.7%5.8%3.4%0.5%
VWIV33.8%30.1%36.7%35.3%34.4%
Skew 25d6.3%3.6%10.7%4.1%10.7%
Skew 10d12.1%1.9%37.3%3.4%13.5%
Call IV 25d31.4%26.8%35.3%29.5%27.6%
Put IV 25d37.7%32.9%41.1%33.5%38.3%
Bid-Ask Spread %32.3819.6945.5141.7620.25
Gamma HHI0.480.300.650.490.30
Net GEX244.0K68.3K535.3K233.6K68.3K
Net DEX-2.7M-4.8M-137.3K-3.0M-137.3K
Net VEX-20.4K-23.7K-14.2K-22.2K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.442.440.22
Total Volume98.5244340141200
Total OI3,266.0952,6673,6393,1203,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$52.51$50.0034.8%10.0%28.5%20.7%35.3%4.1%3.4%233.6K-3.0M-22.2K2.4441.76N/AN/A411002,311809
2012-10-02$52.17$50.0032.6%9.3%28.8%16.9%33.5%3.6%5.8%243.2K-2.8M-21.9K0.8634.86N/AN/A22192,352809
2012-10-03$52.74$50.0034.9%10.0%28.7%25.5%30.1%5.5%4.1%250.7K-3.4M-23.1K0.0040.41N/AN/A6602,374818
2012-10-04$53.65$50.0029.5%8.5%28.4%14.2%33.3%7.5%4.0%315.9K-4.1M-23.7K0.0024.60N/AN/A18602,435818
2012-10-05$52.60$50.0023.3%9.2%25.5%1.5%0.0%5.1%-0.1%307.3K-3.6M-23.5K0.3837.08N/AN/A26102,498818
2012-10-08$52.93$50.0027.8%9.6%25.0%10.6%35.7%7.5%-0.7%321.9K-3.6M-22.8K0.9525.34N/AN/A41392,515815
2012-10-09$52.87$50.0038.1%10.2%24.1%32.2%0.0%6.5%-1.5%304.2K-3.6M-23.6K0.4536.05N/AN/A29132,541854
2012-10-10$52.04$50.0035.5%10.8%24.3%26.7%35.4%5.0%-0.6%275.2K-2.9M-21.9K0.3825.59N/AN/A1662,543852
2012-10-11$51.88$50.0036.7%10.5%21.9%29.2%36.7%5.1%-1.0%235.0K-2.6M-20.9K0.0026.48N/AN/A402,549854
2012-10-12$51.10$50.0036.7%10.5%20.3%29.2%35.2%7.3%-1.3%166.3K-1.8M-19.5K0.3629.23N/AN/A86312,549854
2012-10-15$51.97$50.0038.1%10.9%20.6%32.1%34.4%7.3%-1.1%222.5K-2.5M-19.9K0.4531.57N/AN/A56252,629884
2012-10-16$52.59$50.0032.4%9.3%21.2%20.2%33.2%5.6%-0.6%297.6K-3.1M-20.6K0.2233.87N/AN/A137302,672898
2012-10-17$53.64$50.0032.0%9.2%22.5%19.5%33.1%6.8%0.6%463.1K-4.6M-21.7K2.4330.71N/AN/A14342,715923
2012-10-18$54.14$50.0034.9%10.0%22.5%25.4%34.7%6.2%-0.9%535.3K-4.8M-20.9K0.1540.29N/AN/A6092,714925
2012-10-19$52.24$50.0035.8%10.3%25.8%27.3%36.2%4.8%0.9%177.2K-3.1M-19.7K0.1939.66N/AN/A88172,707923
2012-10-22$52.07$50.0037.0%10.6%25.6%29.9%35.1%6.8%-1.7%168.3K-2.2M-18.9K0.4140.45N/AN/A241991,950717
2012-10-23$52.14$50.0033.7%9.7%23.9%23.0%30.5%6.6%-1.5%191.4K-2.2M-19.1K0.7745.51N/AN/A62482,136787
2012-10-24$50.80$50.0033.9%9.7%25.1%23.3%30.6%6.3%-0.3%144.3K-1.4M-18.1K1.5032.38N/AN/A14212,166835
2012-10-25$50.10$50.0032.9%9.4%24.6%21.3%32.2%8.1%0.6%115.1K-886.6K-17.3K0.2924.20N/AN/A80232,160853
2012-10-26$49.45$50.0032.3%9.3%24.3%20.0%32.3%5.3%0.5%88.5K-493.6K-15.8K0.4919.69N/AN/A51252,130849
2012-10-31$48.61$50.0032.5%9.3%24.7%20.4%34.4%10.7%0.5%68.3K-137.3K-14.2K0.2220.25N/AN/A164362,177870