CRS Options History — February 2013

In February 2013, CRS traded between $46.26 and $52.26. ATM implied volatility averaged 26.9%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.5% (HV 20d: 22.4%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 3.38.

Notable Days

  • 2013-02-15: Highest Volume — 276 contracts
  • 2013-02-25: Largest IV spike — 30.5% change
  • 2013-02-25: Highest IV Rank — 26.9%
  • 2013-02-25: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.79$46.26$52.26$52.26$47.23
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV26.9%24.0%33.1%26.5%29.6%
Expected Move7.8%7.0%9.5%8.1%8.5%
HV 20d22.4%16.4%27.0%21.3%26.8%
HV 60d24.0%21.7%26.0%25.3%24.6%
IV Rank14.8%9.1%26.9%14.0%20.1%
IV Percentile13.6%3.2%51.2%8.3%29.8%
Term Structure2.3%-2.2%4.9%3.1%-0.1%
VWIV27.1%22.5%31.4%26.4%29.9%
Skew 25d4.5%-0.9%6.8%6.8%2.2%
Skew 10d7.7%-6.2%17.1%17.1%3.8%
Call IV 25d24.9%22.4%30.8%23.0%26.7%
Put IV 25d29.4%27.8%31.0%29.8%28.9%
Bid-Ask Spread %19.359.0654.9454.9418.60
Gamma HHI0.350.260.540.540.30
Net GEX13.3K-61.0K160.1K160.1K-56.6K
Net DEX79.1K-1.9M2.4M-1.9M2.2M
Net VEX-10.1K-13.7K-7.6K-13.7K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0013.600.0013.60
Total Volume79.78912761073
Total OI2,860.3162,3163,1083,0082,802

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$52.26$50.0026.5%8.1%21.3%14.0%0.0%6.8%3.1%160.1K-1.9M-13.7K0.0054.94N/AN/A1001,9861,022
2013-02-04$50.57$50.0027.3%7.8%22.9%15.5%26.4%4.5%3.4%44.8K-358.6K-12.4K0.2219.35N/AN/A81181,9961,022
2013-02-05$50.57$50.0024.4%7.7%22.9%9.9%25.6%4.1%3.9%26.2K-206.6K-11.5K0.2314.60N/AN/A43101,9571,032
2013-02-06$50.78$50.0024.0%7.6%22.8%9.1%26.4%5.1%4.3%22.7K-368.2K-11.1K0.0026.86N/AN/A0581,9441,032
2013-02-07$51.15$50.0026.8%7.7%22.1%14.6%24.2%5.6%3.9%41.2K-668.7K-11.1K0.3628.86N/AN/A36131,9441,051
2013-02-08$51.83$50.0026.8%7.7%22.8%14.5%27.0%6.0%3.6%66.2K-1.3M-10.7K3.0915.89N/AN/A22681,9161,064
2013-02-11$51.55$50.0026.4%7.6%22.8%13.7%23.1%5.4%4.3%37.5K-1.2M-10.6K0.009.06N/AN/A7001,9361,096
2013-02-12$51.19$50.0025.8%7.4%22.2%12.7%27.0%4.7%4.6%15.7K-954.8K-10.1K1.6315.92N/AN/A16261,9971,096
2013-02-13$50.92$50.0025.9%7.4%21.0%12.8%25.9%4.7%4.5%-9.0K-800.0K-10.3K0.0017.86N/AN/A011,9961,112
2013-02-14$51.16$50.0026.3%7.5%17.0%13.6%26.3%5.2%4.1%30.0K-1.3M-9.5K0.0017.74N/AN/A021,9941,112
2013-02-15$51.36$50.0025.6%7.3%16.8%12.2%25.5%5.2%4.9%43.8K-1.4M-9.5K0.0917.01N/AN/A254221,9941,112
2013-02-19$50.86$50.0024.3%7.0%16.4%9.7%24.3%5.3%1.3%62.8K-659.6K-9.1K12.2922.72N/AN/A141721,525791
2013-02-20$48.51$50.0028.1%8.1%22.7%17.1%29.7%5.7%-0.9%-14.5K972.3K-8.7K0.239.85N/AN/A110251,529905
2013-02-21$47.56$50.0028.1%8.1%23.4%17.1%30.4%3.4%-0.2%-22.1K1.4M-9.0K3.9117.59N/AN/A23901,634924
2013-02-22$47.88$50.0025.4%7.3%23.7%11.8%30.6%5.0%1.4%-32.4K1.4M-9.1K1.7012.12N/AN/A10171,6141,003
2013-02-25$46.26$50.0033.1%9.5%25.6%26.9%22.5%-0.9%-2.2%-44.6K2.1M-7.6K13.0014.35N/AN/A141821,6111,020
2013-02-26$46.81$50.0031.4%9.0%26.4%23.4%31.4%2.9%-1.1%-61.0K2.4M-9.3K0.0016.62N/AN/A0101,6141,181
2013-02-27$47.54$50.0025.4%7.3%27.0%11.8%30.9%4.3%0.6%-57.6K2.1M-9.5K0.3017.72N/AN/A2061,6141,168
2013-02-28$47.23$50.0029.6%8.5%26.8%20.1%29.9%2.2%-0.1%-56.6K2.2M-9.3K13.6018.60N/AN/A5681,6341,168