CRS Options History — May 2013

In May 2013, CRS traded between $44.22 and $49.16. ATM implied volatility averaged 23.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.2% (HV 20d: 25.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2013-05-09: Highest Volume — 352 contracts
  • 2013-05-10: Largest IV drop — 41.0% change
  • 2013-05-16: Highest IV Rank — 19.7%
  • 2013-05-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.25$44.22$49.16$44.22$48.16
Max Pain$49.32$45.00$50.00$45.00$50.00
ATM IV23.2%14.3%26.5%26.5%23.1%
Expected Move7.1%6.4%7.9%7.6%6.6%
HV 20d25.4%20.1%28.4%26.3%20.9%
HV 60d24.6%23.2%26.3%24.8%23.2%
IV Rank14.4%0.0%19.7%17.6%15.5%
IV Percentile11.3%0.0%21.8%21.8%10.7%
Term Structure1.6%-0.5%5.4%-0.5%1.6%
VWIV24.4%23.1%26.8%26.5%23.8%
Skew 25d3.5%-3.2%6.4%-3.2%3.0%
Skew 10d9.0%-2.8%16.5%-2.8%5.9%
Call IV 25d22.6%20.0%24.6%24.6%22.8%
Put IV 25d26.2%21.4%29.3%21.4%25.8%
Bid-Ask Spread %43.0812.1572.3827.2716.68
Gamma HHI0.330.240.400.340.40
Net GEX31.0K-55.1K82.1K-53.1K77.3K
Net DEX-86.3K-1.1M1.6M1.6M-704.1K
Net VEX-11.2K-12.6K-8.1K-8.3K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0010.004.500.22
Total Volume70.36403521122
Total OI2,325.3642,0582,4612,0582,461

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$44.22$45.0026.5%7.6%26.3%17.6%26.5%-3.2%-0.5%-53.1K1.6M-8.3K4.5027.27N/AN/A291,106952
2013-05-02$44.29$45.0025.4%7.3%26.2%15.5%25.4%-2.4%0.2%-55.1K1.6M-8.1K0.0029.29N/AN/A13101,107952
2013-05-03$44.71$45.0024.0%6.9%26.5%12.8%23.3%-0.7%0.8%-10.1K1.3M-8.6K0.1112.15N/AN/A126141,235952
2013-05-06$45.02$50.0024.9%7.4%25.5%14.5%25.6%4.7%1.9%6881.0M-9.7K1.0438.23N/AN/A25261,325956
2013-05-07$46.24$50.0025.5%7.6%26.7%15.7%26.8%5.2%1.6%8.9K461.8K-10.2K0.8470.86N/AN/A38321,326964
2013-05-08$47.12$50.0021.6%7.9%27.6%8.4%0.0%6.4%0.9%14.2K41.5K-10.7K0.0062.93N/AN/A5401,335978
2013-05-09$46.82$50.0024.3%7.3%27.7%13.4%25.3%4.0%2.8%12.8K110.2K-10.9K0.0272.38N/AN/A34571,371978
2013-05-10$47.81$50.0014.3%6.6%28.4%0.0%23.8%3.8%3.7%29.6K-359.9K-12.2K1.4839.29N/AN/A25371,396980
2013-05-13$47.01$50.0018.7%7.6%28.2%7.8%23.8%4.2%2.2%9.7K32.7K-11.9K2.0042.54N/AN/A6121,4101,015
2013-05-14$47.32$50.0020.3%7.6%26.6%10.6%0.0%4.1%2.3%16.2K-49.1K-11.9K1.0051.30N/AN/A40401,4091,017
2013-05-15$47.69$50.0022.4%6.4%25.9%14.2%0.0%5.5%5.4%25.8K-248.6K-11.8K1.8534.01N/AN/A13241,4201,002
2013-05-16$47.23$50.0025.5%7.3%25.9%19.7%23.1%3.0%3.2%19.8K-105.8K-11.6K2.4034.68N/AN/A15361,413989
2013-05-17$47.99$50.0023.8%6.8%26.3%16.8%23.8%3.9%3.2%35.0K-408.8K-11.8K0.0052.04N/AN/A21901,421992
2013-05-20$48.56$50.0024.5%7.0%26.6%17.9%24.3%5.7%0.9%60.2K-772.4K-12.5K0.0061.66N/AN/A1201,382880
2013-05-21$48.97$50.0023.5%6.7%26.6%16.3%23.8%6.0%1.5%67.5K-978.2K-12.4K0.0043.52N/AN/A1201,391880
2013-05-22$48.49$50.0023.3%6.7%26.5%15.8%23.3%5.9%1.3%63.4K-785.2K-12.1K0.6955.94N/AN/A26181,401880
2013-05-23$48.06$50.0023.7%6.8%26.8%16.6%23.6%3.2%0.9%60.4K-515.1K-12.0K10.0055.50N/AN/A1101,427887
2013-05-24$47.96$50.0023.4%6.7%20.1%16.1%0.0%3.8%1.0%58.9K-460.1K-11.8K0.0034.91N/AN/A3801,428897
2013-05-28$49.16$50.0023.1%6.6%21.2%15.5%0.0%6.0%1.4%82.1K-1.1M-12.1K0.0636.57N/AN/A10761,456897
2013-05-29$48.44$50.0024.2%6.9%22.0%17.5%0.0%3.8%-0.1%80.6K-879.4K-12.6K0.0047.67N/AN/A001,547898
2013-05-30$48.29$50.0024.4%7.0%20.8%17.8%0.0%1.9%-0.1%77.9K-732.6K-12.0K1.0028.45N/AN/A10101,547898
2013-05-31$48.16$50.0023.1%6.6%20.9%15.5%23.8%3.0%1.6%77.3K-704.1K-12.1K0.2216.68N/AN/A1841,553908