CRS Options History — July 2013

In July 2013, CRS traded between $45.59 and $52.41. ATM implied volatility averaged 27.1%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.3% (HV 20d: 21.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2013-07-30: Highest Volume — 2,717 contracts
  • 2013-07-11: Largest IV spike — 35.0% change
  • 2013-07-29: Highest IV Rank — 45.8%
  • 2013-07-09: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.45$45.59$52.41$45.74$52.28
Max Pain$47.50$45.00$50.00$45.00$50.00
ATM IV27.1%20.2%30.1%26.2%24.5%
Expected Move8.0%7.0%8.6%7.5%7.0%
HV 20d21.8%15.9%36.3%16.2%36.3%
HV 60d21.8%19.9%26.3%21.8%26.3%
IV Rank37.1%17.1%45.8%34.5%29.6%
IV Percentile40.1%2.0%59.1%31.0%20.6%
Term Structure-0.6%-3.4%7.7%2.6%7.7%
VWIV28.3%26.1%30.5%26.1%27.2%
Skew 25d3.6%-1.8%7.7%5.2%1.1%
Skew 10d6.0%-3.1%15.9%6.3%3.8%
Call IV 25d25.9%19.7%29.7%19.7%26.0%
Put IV 25d29.5%24.9%31.9%24.9%27.0%
Bid-Ask Spread %49.0213.1792.5840.9552.26
Gamma HHI0.320.230.400.230.30
Net GEX61.4K-36.0K141.0K4.0K-36.0K
Net DEX-953.1K-3.7M62.2K62.2K-2.0M
Net VEX-12.5K-30.3K-7.6K-7.6K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.003.481.000.35
Total Volume231.04562,71720251
Total OI1,954.8641,2204,9551,2204,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$45.74$45.0026.2%7.5%16.2%34.5%0.0%5.2%2.6%4.0K62.2K-7.6K1.0040.95N/AN/A1010726494
2013-07-02$46.06$45.0026.7%7.7%16.4%35.9%26.1%0.0%2.6%6.9K18.4K-7.9K0.3632.64N/AN/A10538736504
2013-07-03$46.00$45.0026.5%7.6%16.1%35.4%0.0%-1.8%3.0%10.5K-16.0K-8.3K0.0033.66N/AN/A400813530
2013-07-05$45.59$45.0026.5%8.3%15.9%35.2%29.1%4.6%-0.4%5.8K46.9K-8.1K0.4026.75N/AN/A52827530
2013-07-08$46.60$45.0026.7%8.6%18.1%36.0%29.0%4.1%-1.4%16.7K-165.2K-8.2K0.2913.17N/AN/A144830532
2013-07-09$47.15$45.0027.0%8.6%18.6%36.9%29.9%5.4%-1.5%28.0K-332.7K-8.4K0.3630.76N/AN/A19570836532
2013-07-10$47.65$45.0020.2%7.5%18.7%17.1%27.1%4.8%-0.7%51.2K-641.4K-9.9K1.0741.10N/AN/A14151,015593
2013-07-11$49.20$45.0027.3%7.8%21.8%37.6%27.3%4.0%-1.7%98.5K-1.2M-10.5K0.3722.62N/AN/A54201,027588
2013-07-12$48.52$45.0027.0%7.7%22.3%36.7%30.5%3.3%-1.4%80.2K-957.1K-10.7K1.5633.20N/AN/A641001,053608
2013-07-15$48.70$45.0027.3%7.8%21.9%37.6%27.4%2.8%-1.9%83.0K-1.0M-11.1K0.1932.13N/AN/A2141,108673
2013-07-16$48.66$45.0026.3%7.5%21.8%34.7%26.3%3.4%-0.7%88.7K-1.0M-11.2K0.2384.35N/AN/A44101,127670
2013-07-17$49.01$50.0027.8%8.0%21.7%39.1%0.0%6.9%-2.1%105.0K-1.2M-11.4K0.6887.65N/AN/A31211,155680
2013-07-18$49.01$50.0027.5%7.9%21.2%38.3%0.0%3.8%-2.4%96.4K-1.1M-11.0K2.0083.30N/AN/A241,128680
2013-07-19$48.54$50.0027.2%7.8%20.8%37.3%27.3%5.8%-1.8%75.0K-907.2K-10.5K0.1192.58N/AN/A124141,130673
2013-07-22$49.32$50.0027.4%7.9%20.5%38.0%27.4%7.7%-2.2%91.9K-1.4M-11.4K0.0083.22N/AN/A2301,155645
2013-07-23$50.51$50.0028.2%8.1%19.4%40.4%28.2%2.1%-2.2%113.7K-2.0M-11.9K1.3341.06N/AN/A1892521,168645
2013-07-24$48.91$50.0028.5%8.2%23.7%41.1%28.8%1.0%-2.4%73.2K-1.0M-13.9K0.8022.34N/AN/A2642101,334856
2013-07-25$48.68$50.0030.0%8.6%23.8%45.5%30.1%6.0%-3.4%69.5K-849.2K-18.4K1.0884.07N/AN/A38411,5191,045
2013-07-26$48.96$50.0029.2%8.4%23.6%43.3%29.2%6.8%-2.6%78.2K-999.4K-18.4K0.0728.08N/AN/A4031,5441,065
2013-07-29$48.36$50.0030.1%8.6%23.8%45.8%30.0%2.5%-3.2%70.4K-604.0K-17.6K0.0040.77N/AN/A2001,5741,062
2013-07-30$52.41$50.0028.1%8.1%36.1%40.1%27.2%0.5%2.3%141.0K-3.7M-18.4K3.4871.84N/AN/A6072,1101,5801,062
2013-07-31$52.28$50.0024.5%7.0%36.3%29.6%0.0%1.1%7.7%-36.0K-2.0M-30.3K0.3552.26N/AN/A186651,9992,956