CRS Options History — December 2012

In December 2012, CRS traded between $47.55 and $52.10. ATM implied volatility averaged 27.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.9% (HV 20d: 23.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.51.

Notable Days

  • 2012-12-21: Highest Volume — 418 contracts
  • 2012-12-13: Largest IV spike — 13.8% change
  • 2012-12-28: Highest IV Rank — 13.6%
  • 2012-12-28: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.93$47.55$52.10$47.55$51.63
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV27.2%24.9%29.2%26.3%28.6%
Expected Move7.9%7.5%8.4%7.5%8.2%
HV 20d23.4%19.2%30.7%30.6%21.4%
HV 60d28.0%27.2%30.5%30.5%28.0%
IV Rank9.5%4.6%13.6%7.5%12.3%
IV Percentile7.0%1.6%15.5%2.8%14.7%
Term Structure4.6%2.8%6.4%2.8%5.3%
VWIV28.4%20.7%35.8%26.3%28.6%
Skew 25d4.6%3.1%6.1%4.0%4.9%
Skew 10d10.2%4.1%15.7%4.1%12.5%
Call IV 25d26.3%24.8%28.5%26.7%25.7%
Put IV 25d30.9%29.2%33.3%30.8%30.6%
Bid-Ask Spread %23.8513.2238.1818.9120.29
Gamma HHI0.330.240.530.270.29
Net GEX92.8K26.8K174.9K26.8K113.9K
Net DEX-1.1M-3.1M423.1K423.1K-1.5M
Net VEX-11.4K-12.9K-9.9K-9.9K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0015.000.710.29
Total Volume79.650418419
Total OI2,989.51,8673,6233,0772,076

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$47.55$50.0026.3%7.5%30.6%7.5%26.3%4.0%2.8%26.8K423.1K-9.9K0.7118.91N/AN/A24172,096981
2012-12-04$47.99$50.0026.2%7.5%30.7%7.5%26.0%3.4%2.9%41.4K267.0K-10.2K0.0014.74N/AN/A102,098998
2012-12-05$47.85$50.0026.0%7.5%29.9%7.0%0.0%3.2%3.2%38.4K316.7K-10.1K0.0019.27N/AN/A502,098998
2012-12-06$47.76$50.0026.0%7.5%27.3%7.0%31.5%4.7%2.9%36.5K361.5K-9.9K5.6013.22N/AN/A5282,103998
2012-12-07$48.35$50.0027.7%8.0%26.8%10.5%28.1%5.3%5.2%39.3K241.2K-10.0K0.1219.71N/AN/A201252,1081,016
2012-12-10$48.59$50.0025.3%8.3%26.8%5.6%29.7%4.8%4.5%71.2K-140.3K-10.6K0.0415.70N/AN/A2512,2181,028
2012-12-11$49.50$50.0025.0%8.1%26.2%4.9%30.3%5.2%5.3%120.1K-802.0K-10.4K0.4028.49N/AN/A50202,2251,028
2012-12-12$49.76$50.0024.9%8.0%25.2%4.6%0.0%4.9%4.9%129.4K-1.0M-10.6K0.2026.22N/AN/A132272,2181,048
2012-12-13$49.23$50.0028.3%8.1%22.6%11.7%28.4%4.0%5.2%124.0K-670.9K-11.6K0.7128.88N/AN/A14102,3261,066
2012-12-14$50.02$50.0027.7%7.9%19.2%10.6%34.5%5.9%5.3%153.3K-1.3M-12.1K3.0725.73N/AN/A15462,3341,076
2012-12-17$50.47$50.0027.8%8.0%19.2%10.8%25.5%5.5%5.5%174.9K-1.7M-11.7K0.4823.49N/AN/A145692,3441,089
2012-12-18$51.84$50.0028.2%8.1%19.8%11.6%35.8%5.0%4.7%159.3K-2.8M-12.4K1.1138.18N/AN/A18202,4671,125
2012-12-19$51.57$50.0027.9%8.0%19.4%10.8%25.0%4.2%5.1%114.3K-2.9M-11.9K0.6220.51N/AN/A26162,4791,144
2012-12-20$52.10$50.0028.5%8.2%19.4%12.1%0.0%4.7%4.1%78.4K-3.1M-11.7K0.0023.52N/AN/A002,4471,120
2012-12-21$51.50$50.0027.5%7.9%20.4%10.0%28.1%4.3%5.6%91.2K-2.8M-11.3K0.1935.56N/AN/A350682,4471,120
2012-12-24$51.16$50.0028.0%8.0%20.7%11.1%0.0%4.6%4.8%77.5K-990.2K-12.2K0.1428.08N/AN/A3551,202665
2012-12-26$51.23$50.0027.4%7.9%20.2%10.0%27.4%4.6%6.4%83.2K-1.0M-12.1K0.0030.40N/AN/A15801,223670
2012-12-27$50.29$50.0027.8%8.0%21.8%10.6%0.0%3.1%5.3%93.4K-1.0M-12.8K0.0023.35N/AN/A1201,381670
2012-12-28$50.16$50.0029.2%8.4%19.4%13.6%20.7%6.1%3.9%88.8K-977.3K-12.7K15.0022.79N/AN/A1151,390670
2012-12-31$51.63$50.0028.6%8.2%21.4%12.3%28.6%4.9%5.3%113.9K-1.5M-12.9K0.2920.29N/AN/A721,391685