CRS Options History — November 2012

In November 2012, CRS traded between $44.81 and $50.82. ATM implied volatility averaged 31.7%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.1% (HV 20d: 33.8%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2012-11-12: Highest Volume — 508 contracts
  • 2012-11-14: Largest IV spike — 61.6% change
  • 2012-11-14: Highest IV Rank — 32.3%
  • 2012-11-09: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.39$44.81$50.82$50.82$48.46
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV31.7%23.6%38.2%32.6%27.0%
Expected Move9.3%7.1%10.7%9.3%7.7%
HV 20d33.8%30.0%35.9%30.0%32.0%
HV 60d29.0%26.7%30.2%26.7%30.2%
IV Rank18.7%2.1%32.3%20.6%9.0%
IV Percentile22.1%0.8%70.6%19.4%3.2%
Term Structure2.5%0.2%4.3%1.0%1.5%
VWIV32.2%22.0%37.3%31.8%29.7%
Skew 25d6.3%4.8%10.7%7.3%6.3%
Skew 10d12.5%5.3%21.0%12.7%9.1%
Call IV 25d29.8%24.4%34.0%28.9%24.6%
Put IV 25d36.1%29.2%40.0%36.2%30.8%
Bid-Ask Spread %17.8011.1127.4027.4014.99
Gamma HHI0.290.210.650.380.27
Net GEX38.5K-142.2K155.6K155.6K59.1K
Net DEX356.7K-1.5M1.8M-1.5M-106.9K
Net VEX-12.4K-17.0K-9.3K-17.0K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0013.170.370.91
Total Volume96.7141050810021
Total OI3,277.5712,8773,8893,1813,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$50.82$50.0032.6%9.3%30.0%20.6%31.8%7.3%1.0%155.6K-1.5M-17.0K0.3727.40N/AN/A73272,311870
2012-11-02$49.17$50.0033.0%9.5%31.7%21.5%34.2%10.7%0.2%109.2K-810.0K-16.4K0.9213.45N/AN/A64592,351883
2012-11-05$49.36$50.0034.3%9.6%30.9%24.2%32.7%5.6%2.8%109.8K-746.7K-16.3K0.4613.87N/AN/A48222,415924
2012-11-06$50.24$50.0035.5%9.8%31.2%26.7%34.6%6.5%2.3%149.6K-1.4M-16.6K0.7711.11N/AN/A43332,431903
2012-11-07$48.50$50.0033.4%9.8%33.1%22.3%33.8%7.0%3.0%85.0K-361.5K-15.0K4.8124.18N/AN/A211012,439935
2012-11-08$47.63$50.0025.8%9.7%33.4%6.5%0.0%5.5%3.3%58.1K192.5K-14.3K0.4313.11N/AN/A732,436971
2012-11-09$47.37$50.0031.9%10.7%33.2%19.2%34.2%6.1%2.5%49.6K371.7K-13.9K0.0014.37N/AN/A11402,436971
2012-11-12$48.53$50.0034.1%9.8%34.8%23.8%37.3%4.8%2.7%71.8K-85.3K-13.9K0.2113.91N/AN/A419892,372971
2012-11-13$47.62$50.0023.6%9.6%35.0%2.1%33.8%5.6%3.7%98.3K496.2K-13.2K1.2317.20N/AN/A64792,7701,055
2012-11-14$46.19$50.0038.2%10.4%35.3%32.3%36.0%6.1%3.2%3.4K1.1M-12.3K13.1720.37N/AN/A6792,8111,078
2012-11-15$44.81$50.0036.8%10.5%35.7%29.3%36.0%6.0%3.0%-45.6K1.8M-10.2K0.3914.97N/AN/A51202,7761,070
2012-11-16$45.20$50.0034.0%9.8%34.8%23.6%34.4%7.8%4.3%-142.2K1.6M-10.2K0.7325.63N/AN/A113832,7871,067
2012-11-19$46.20$50.0032.8%9.4%35.9%21.1%32.8%7.2%1.8%1.0K950.7K-10.4K0.0215.98N/AN/A4611,971906
2012-11-20$45.73$50.0032.4%9.3%34.4%20.2%30.0%6.1%2.6%-4.2K1.1M-10.2K0.2713.68N/AN/A59161,998906
2012-11-21$46.07$50.0031.2%8.9%34.7%17.7%32.9%5.8%2.7%8.6K871.0K-10.6K0.2114.04N/AN/A58122,047912
2012-11-23$46.43$50.0030.5%8.8%35.0%16.4%30.1%5.8%1.5%6.7K864.4K-10.2K2.9019.32N/AN/A10292,021922
2012-11-26$46.32$50.0031.4%9.0%34.2%18.2%29.6%5.1%1.7%-3.0K1.0M-9.7K0.3720.18N/AN/A30112,031949
2012-11-27$45.99$50.0030.9%8.9%34.0%17.2%22.0%5.4%2.0%-8.6K1.1M-9.3K0.3921.63N/AN/A38152,046948
2012-11-28$46.50$50.0031.0%8.9%34.2%17.4%30.7%7.5%2.1%5.2K895.8K-9.9K2.6025.90N/AN/A5132,079959
2012-11-29$47.96$50.0024.6%7.1%35.8%4.1%27.2%4.9%4.3%41.4K240.8K-10.5K0.6318.44N/AN/A30192,082952
2012-11-30$48.46$50.0027.0%7.7%32.0%9.0%29.7%6.3%1.5%59.1K-106.9K-11.2K0.9114.99N/AN/A11102,096971