CRS Options History — January 2013

In January 2013, CRS traded between $51.53 and $54.00. ATM implied volatility averaged 27.3%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.2% (HV 20d: 25.1%). 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 13 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-01-17: Highest Volume — 395 contracts
  • 2013-01-10: Largest IV spike — 36.9% change
  • 2013-01-30: Highest IV Rank — 28.4%
  • 2013-01-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.87$51.53$54.00$53.35$52.33
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV27.3%19.3%33.9%21.7%27.3%
Expected Move8.3%6.2%9.7%6.2%7.8%
HV 20d25.1%21.8%28.4%22.2%21.8%
HV 60d28.2%25.3%29.3%28.7%25.3%
IV Rank15.2%0.0%28.4%0.0%15.6%
IV Percentile15.8%0.0%52.4%0.0%9.9%
Term Structure0.3%-4.3%8.2%8.2%0.9%
VWIV30.1%21.8%34.2%21.8%26.4%
Skew 25d5.1%1.8%8.4%5.9%4.0%
Skew 10d12.5%3.2%20.5%20.5%3.7%
Call IV 25d27.1%21.8%30.0%21.8%22.9%
Put IV 25d32.2%26.3%35.0%27.6%26.8%
Bid-Ask Spread %21.4211.5939.0617.3024.70
Gamma HHI0.480.330.640.350.53
Net GEX156.6K110.4K239.1K145.6K162.3K
Net DEX-2.4M-3.3M-1.6M-2.4M-1.9M
Net VEX-14.1K-16.3K-12.7K-12.8K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.007.310.257.31
Total Volume121.1432539550291
Total OI2,623.5242,0813,2072,0813,072

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$53.35$50.0021.7%6.2%22.2%0.0%21.8%5.9%8.2%145.6K-2.4M-12.8K0.2517.30N/AN/A40101,396685
2013-01-03$52.64$50.0024.2%6.9%23.2%5.1%0.0%1.8%5.8%141.7K-2.1M-13.0K0.1515.66N/AN/A3451,433695
2013-01-04$53.65$50.0019.3%8.4%23.5%0.0%29.2%5.5%0.1%167.6K-2.7M-13.0K0.8220.66N/AN/A49401,467700
2013-01-07$53.75$50.0020.9%8.4%23.4%3.1%34.2%5.8%0.2%172.8K-2.8M-12.7K1.1014.56N/AN/A30331,485730
2013-01-08$53.15$50.0022.4%8.5%24.0%6.0%32.9%4.6%-0.2%156.2K-2.5M-12.8K1.0715.05N/AN/A28301,495760
2013-01-09$54.00$50.0021.2%8.3%24.4%3.7%29.2%4.9%0.1%172.9K-2.9M-13.0K0.0215.09N/AN/A16941,516785
2013-01-10$53.71$50.0029.0%8.3%24.1%18.8%30.0%4.5%0.2%203.9K-3.1M-13.9K0.0016.62N/AN/A7201,679787
2013-01-11$53.81$50.0028.2%8.1%24.1%17.2%31.5%4.8%0.7%213.0K-3.3M-14.0K0.0015.11N/AN/A0331,751787
2013-01-14$52.95$50.0029.6%8.5%24.6%20.1%32.1%3.0%-0.4%150.7K-2.7M-13.2K1.4111.59N/AN/A22311,751810
2013-01-15$53.92$50.0028.5%8.2%24.8%17.9%33.0%5.0%0.9%239.1K-3.3M-13.6K1.2322.14N/AN/A56691,773830
2013-01-16$52.00$50.0030.9%8.9%28.4%22.6%30.0%5.5%1.3%110.4K-2.0M-13.1K1.1823.36N/AN/A1802131,797899
2013-01-17$51.53$50.0031.3%9.0%27.0%23.2%28.5%5.1%0.3%113.1K-1.7M-14.8K0.0424.11N/AN/A379161,9201,062
2013-01-18$52.18$50.0033.3%9.5%27.3%27.2%33.4%8.4%-1.8%136.0K-2.6M-16.3K0.0117.47N/AN/A8412,1291,078
2013-01-22$52.65$50.0027.1%7.8%27.3%15.2%31.0%6.7%0.5%150.9K-2.1M-15.3K0.5033.26N/AN/A24121,791907
2013-01-23$52.35$50.0031.4%9.0%27.0%23.5%31.1%5.1%-2.0%142.6K-2.0M-15.3K0.2417.63N/AN/A50121,805919
2013-01-24$52.21$50.0030.9%8.9%26.9%22.5%30.6%5.0%-1.2%139.9K-1.8M-15.0K2.5027.47N/AN/A521301,789912
2013-01-25$52.55$50.0026.1%7.5%27.0%13.1%26.6%5.3%0.5%132.9K-1.9M-15.4K0.0923.41N/AN/A2321,8341,031
2013-01-28$52.52$50.0028.2%8.1%26.0%17.3%28.4%5.8%-2.4%136.8K-1.9M-14.9K0.0026.16N/AN/A4601,8571,033
2013-01-29$52.91$50.0028.6%8.2%26.0%18.1%29.3%4.8%-2.0%165.5K-2.4M-15.0K0.3039.06N/AN/A115341,8981,033
2013-01-30$52.07$50.0033.9%9.7%24.8%28.4%32.6%5.5%-4.3%134.7K-1.6M-15.0K1.7229.48N/AN/A46791,9631,050
2013-01-31$52.33$50.0027.3%7.8%21.8%15.6%26.4%4.0%0.9%162.3K-1.9M-14.4K7.3124.70N/AN/A352562,0071,065