CRS Options History — April 2013

In April 2013, CRS traded between $43.77 and $48.31. ATM implied volatility averaged 29.9%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.9% (HV 20d: 23.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2013-04-03: Highest Volume — 300 contracts
  • 2013-04-11: Largest IV spike — 51.0% change
  • 2013-04-18: Highest IV Rank — 38.1%
  • 2013-04-18: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.10$43.77$48.31$48.31$44.96
Max Pain$45.91$45.00$50.00$50.00$45.00
ATM IV29.9%21.2%37.6%21.2%25.3%
Expected Move8.9%6.1%10.8%6.1%7.2%
HV 20d23.9%16.4%29.4%16.4%29.3%
HV 60d23.7%22.4%25.4%22.4%25.4%
IV Rank23.8%7.7%38.1%7.7%15.3%
IV Percentile42.5%4.0%86.5%4.0%13.9%
Term Structure-1.1%-5.3%7.2%6.5%0.6%
VWIV30.9%21.2%37.6%21.2%34.3%
Skew 25d5.9%-2.0%17.1%4.0%9.3%
Skew 10d13.6%-3.9%31.1%8.9%14.8%
Call IV 25d27.5%17.8%34.4%21.2%21.7%
Put IV 25d33.4%23.3%39.9%25.1%31.0%
Bid-Ask Spread %36.6813.8773.6628.5622.08
Gamma HHI0.310.240.410.270.35
Net GEX-18.1K-50.6K58.4K58.4K-50.6K
Net DEX964.6K27.4K1.8M27.4K1.5M
Net VEX-8.7K-10.3K-7.6K-10.3K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.006.670.001.33
Total Volume50.6363300714
Total OI1,909.9551,7512,0551,7512,052

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$48.31$50.0021.2%6.1%16.4%7.7%21.2%4.0%6.5%58.4K27.4K-10.3K0.0028.56N/AN/A701,092659
2013-04-02$47.20$50.0024.8%7.1%17.9%14.4%23.8%2.2%7.0%34.7K375.8K-9.6K0.9124.09N/AN/A11101,099659
2013-04-03$45.34$50.0025.1%7.2%22.7%15.0%25.1%2.9%6.7%-4.3K928.2K-8.0K0.7013.87N/AN/A1761241,100669
2013-04-04$45.53$50.0024.6%7.0%22.2%14.0%0.0%17.1%7.2%-31.4K1.2M-8.7K0.0015.62N/AN/A1301,081785
2013-04-05$45.41$45.0024.6%9.1%22.2%13.9%31.7%5.9%-2.2%-33.0K1.2M-8.5K1.6722.01N/AN/A351,091785
2013-04-08$46.34$45.0026.3%9.3%22.0%17.1%30.5%7.3%-2.7%-17.5K930.7K-8.9K1.7118.51N/AN/A17291,094786
2013-04-09$47.08$45.0032.1%9.1%22.9%27.9%31.3%6.7%-1.9%11.8K607.5K-9.9K0.9139.03N/AN/A11101,111807
2013-04-10$47.03$45.0021.2%9.3%22.8%7.8%28.1%6.4%-2.5%1.7K688.2K-9.4K0.1056.93N/AN/A2121,122813
2013-04-11$46.98$45.0032.1%9.2%22.8%27.9%32.5%5.1%-2.4%-3.0K709.9K-9.2K0.0062.73N/AN/A061,132815
2013-04-12$46.47$45.0032.4%9.3%22.4%28.6%37.6%5.9%-2.2%-21.8K917.6K-8.6K0.0040.19N/AN/A0101,132819
2013-04-15$45.58$45.0036.2%10.4%22.2%35.6%36.0%5.8%-4.5%-48.7K1.2M-8.0K6.6750.47N/AN/A6401,132827
2013-04-16$46.85$45.0035.6%10.2%24.7%34.5%35.5%5.2%-4.6%-17.4K790.2K-8.8K0.3573.66N/AN/A34121,126848
2013-04-17$46.07$45.0036.1%10.4%25.3%35.4%0.0%6.8%-4.1%-45.9K940.5K-8.9K0.0039.39N/AN/A1501,152858
2013-04-18$46.55$45.0037.6%10.8%25.3%38.1%36.8%5.5%-4.4%-17.1K728.6K-8.8K1.7941.17N/AN/A34611,139857
2013-04-19$46.24$45.0035.8%10.2%25.3%34.7%0.0%5.9%-3.5%-29.4K926.9K-8.6K2.6033.70N/AN/A25651,151904
2013-04-22$46.31$45.0036.1%10.4%25.3%35.4%34.1%7.0%-5.3%-10.9K891.0K-9.2K5.5051.15N/AN/A1055998785
2013-04-23$46.31$45.0034.4%9.9%25.2%32.3%34.4%-2.0%-4.4%-16.0K945.1K-8.8K0.2060.48N/AN/A1021,008840
2013-04-24$45.75$45.0035.1%10.1%25.3%33.6%0.0%4.2%-5.0%-26.3K1.2M-8.1K2.0056.22N/AN/A121,012840
2013-04-25$45.81$45.0026.0%7.5%25.3%16.6%25.8%6.0%-0.3%-34.0K1.2M-7.9K1.5725.02N/AN/A58911,012840
2013-04-26$43.77$45.0026.8%7.7%29.3%18.0%26.8%4.4%-0.7%-48.5K1.8M-7.6K0.7814.61N/AN/A55431,053901
2013-04-29$44.27$45.0027.5%7.9%29.4%19.3%34.3%7.7%-1.5%-50.1K1.6M-8.3K0.2417.53N/AN/A2151,091942
2013-04-30$44.96$45.0025.3%7.2%29.3%15.3%0.0%9.3%0.6%-50.6K1.5M-8.5K1.3322.08N/AN/A681,105947