CRS Options History — March 2013

In March 2013, CRS traded between $45.69 and $49.65. ATM implied volatility averaged 23.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.0% (HV 20d: 24.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2013-03-06: Highest Volume — 305 contracts
  • 2013-03-13: Largest IV spike — 66.6% change
  • 2013-03-13: Highest IV Rank — 31.5%
  • 2013-03-04: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.21$45.69$49.65$46.32$49.29
Max Pain$48.75$45.00$50.00$50.00$50.00
ATM IV23.6%17.1%34.0%29.3%20.6%
Expected Move6.8%5.9%8.5%8.4%5.9%
HV 20d24.5%16.3%28.6%27.0%16.3%
HV 60d24.5%23.2%25.3%24.6%23.2%
IV Rank11.1%0.0%31.5%19.4%6.6%
IV Percentile11.3%0.0%64.7%29.0%2.4%
Term Structure4.4%0.1%6.8%0.1%6.1%
VWIV24.8%20.6%29.9%29.3%20.6%
Skew 25d6.2%-0.2%8.3%-0.2%5.6%
Skew 10d11.8%-2.2%18.5%-2.2%9.1%
Call IV 25d21.2%17.6%28.8%28.8%18.6%
Put IV 25d27.4%24.2%32.6%28.5%24.2%
Bid-Ask Spread %22.3612.6232.1625.3328.58
Gamma HHI0.290.210.370.330.29
Net GEX-8.1K-81.2K87.0K-67.5K79.9K
Net DEX1.3M-584.6K3.0M2.8M-430.3K
Net VEX-9.7K-11.8K-7.8K-8.2K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.252.004.25
Total Volume68.650305250
Total OI2,347.051,2473,0672,8551,751

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$46.32$50.0029.3%8.4%27.0%19.4%29.3%-0.2%0.1%-67.5K2.8M-8.2K0.0025.33N/AN/A0251,6341,221
2013-03-04$45.69$50.0030.9%8.5%27.0%22.6%29.7%5.1%2.5%-74.1K3.0M-7.8K2.0028.13N/AN/A12241,6341,239
2013-03-05$46.32$50.0029.4%8.3%26.1%19.7%28.2%4.8%2.5%-73.1K2.9M-7.9K0.9229.23N/AN/A26241,6401,259
2013-03-06$46.91$50.0030.9%8.4%26.8%22.4%0.0%6.2%1.9%-70.2K2.7M-8.5K0.2715.34N/AN/A241641,6441,276
2013-03-07$47.05$50.0023.5%8.2%26.7%8.1%0.0%5.3%2.4%-81.2K2.7M-8.6K0.0013.64N/AN/A701,6071,328
2013-03-08$48.08$50.0018.7%6.9%28.0%0.0%24.0%7.4%3.6%-81.2K2.3M-9.4K0.1832.16N/AN/A106191,6121,328
2013-03-11$48.02$50.0017.1%6.9%27.3%0.0%29.9%7.0%3.8%-36.9K2.5M-8.8K0.1118.21N/AN/A3541,7131,310
2013-03-12$47.75$50.0020.4%6.7%27.3%6.2%25.5%5.0%4.2%-26.1K2.6M-8.5K1.0020.69N/AN/A13131,7481,314
2013-03-13$47.70$50.0034.0%6.7%27.3%31.5%0.0%5.2%4.5%-73.7K2.3M-9.1K0.0027.70N/AN/A701,7461,321
2013-03-14$48.35$50.0022.1%6.3%27.9%9.3%0.0%7.1%5.0%-39.5K2.4M-8.8K0.0027.24N/AN/A01471,7441,321
2013-03-15$49.11$50.0021.2%6.1%28.6%7.6%23.1%8.1%5.9%-52.5K2.0M-8.9K0.3628.78N/AN/A42151,7441,284
2013-03-18$48.73$45.0022.2%6.4%28.6%9.5%22.2%6.4%5.1%927267.9K-8.8K0.0426.35N/AN/A1978637610
2013-03-19$48.75$45.0022.2%6.4%28.5%9.6%0.0%6.4%5.5%32.9K-76.3K-10.5K0.4812.83N/AN/A2110820616
2013-03-20$49.23$45.0021.7%6.2%23.2%8.6%21.7%8.3%5.7%39.4K-216.2K-10.6K0.0015.61N/AN/A920829626
2013-03-21$49.10$45.0022.4%6.4%21.9%9.8%0.0%6.0%4.9%48.4K-243.9K-10.9K0.0015.51N/AN/A1150921626
2013-03-22$49.29$45.0021.7%6.2%21.8%8.6%21.7%7.2%5.5%64.7K-411.9K-11.7K0.1712.62N/AN/A58101,036626
2013-03-25$49.36$50.0021.9%6.3%17.3%9.0%22.0%6.9%5.8%78.2K-490.3K-11.7K2.0017.44N/AN/A481,084636
2013-03-26$49.53$50.0020.5%5.9%17.0%6.4%0.0%7.0%6.8%83.6K-526.6K-11.7K0.0026.36N/AN/A501,084642
2013-03-27$49.65$50.0020.6%5.9%16.3%6.6%20.6%8.3%6.1%87.0K-584.6K-11.8K4.2525.44N/AN/A4171,088642
2013-03-28$49.29$50.0020.6%5.9%16.3%6.6%0.0%5.6%6.1%79.9K-430.3K-11.6K0.0028.58N/AN/A001,092659