CRS Options History — June 2013

In June 2013, CRS traded between $44.76 and $48.63. ATM implied volatility averaged 25.9%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 8.8% (HV 20d: 17.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 19.04.

Notable Days

2013-06-19: Highest Volume — 224 contracts
2013-06-10: Largest IV spike — 13.4% change
2013-06-24: Highest IV Rank — 42.4%
2013-06-11: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.83	$44.76	$48.63	$48.63	$45.07
Max Pain	$46.00	$45.00	$50.00	$50.00	$45.00
ATM IV	25.9%	21.9%	28.9%	22.8%	26.0%
Expected Move	7.5%	6.3%	8.5%	6.5%	7.4%
HV 20d	17.1%	14.0%	21.4%	21.0%	15.5%
HV 60d	22.9%	21.5%	23.6%	23.3%	21.6%
IV Rank	28.4%	13.4%	42.4%	15.0%	33.8%
IV Percentile	29.0%	7.5%	48.0%	10.3%	29.0%
Term Structure	2.0%	-1.4%	6.4%	2.1%	2.7%
VWIV	27.5%	22.8%	31.5%	22.8%	31.5%
Skew 25d	2.3%	-6.0%	6.6%	5.5%	-6.0%
Skew 10d	3.7%	-9.8%	15.7%	10.1%	-9.8%
Call IV 25d	24.5%	18.9%	28.7%	22.4%	28.7%
Put IV 25d	26.8%	22.1%	30.5%	27.8%	22.7%
Bid-Ask Spread %	63.07	16.40	90.78	27.69	28.84
Gamma HHI	0.31	0.22	0.43	0.43	0.22
Net GEX	39.3K	1.6K	88.9K	88.9K	3.5K
Net DEX	33.6K	-886.4K	588.9K	-886.4K	141.8K
Net VEX	-9.1K	-11.9K	-7.3K	-11.9K	-7.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	19.04	0.00	223.00	0.00	1.64
Total Volume	36.35	0	224	42	37
Total OI	2,190.85	1,131	2,576	2,479	1,193

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-06-03	$48.63	$50.00	22.8%	6.5%	21.0%	15.0%	22.8%	5.5%	2.1%	88.9K	-886.4K	-11.9K	0.00	27.69	N/A	N/A	0	42	1,571	908
2013-06-04	$48.19	$50.00	21.9%	6.3%	21.4%	13.4%	0.0%	4.7%	2.9%	69.0K	-496.1K	-11.5K	0.00	42.41	N/A	N/A	0	0	1,571	950
2013-06-05	$47.71	$50.00	23.7%	6.8%	20.1%	16.5%	0.0%	3.1%	1.5%	60.4K	-203.6K	-11.2K	0.00	38.29	N/A	N/A	0	1	1,571	950
2013-06-06	$48.09	$50.00	23.0%	6.6%	19.2%	15.4%	0.0%	4.1%	2.3%	66.4K	-385.0K	-11.3K	0.00	16.40	N/A	N/A	0	6	1,571	951
2013-06-07	$47.95	$45.00	22.2%	7.3%	19.0%	13.9%	0.0%	6.6%	2.6%	65.1K	-288.7K	-10.8K	0.00	43.45	N/A	N/A	6	0	1,571	946
2013-06-10	$47.72	$45.00	25.1%	7.4%	17.6%	19.2%	25.4%	4.0%	2.4%	60.9K	-177.8K	-10.4K	1.56	38.31	N/A	N/A	18	28	1,569	946
2013-06-11	$47.28	$45.00	27.5%	8.5%	16.9%	23.4%	28.8%	1.7%	-1.4%	49.6K	146.8K	-9.8K	0.27	89.26	N/A	N/A	30	8	1,561	950
2013-06-12	$47.26	$45.00	28.5%	8.0%	16.7%	25.1%	0.0%	0.4%	0.5%	50.2K	162.3K	-9.5K	0.00	83.54	N/A	N/A	0	3	1,571	953
2013-06-13	$47.79	$45.00	26.3%	7.5%	17.0%	21.1%	0.0%	4.3%	2.0%	59.0K	-7.8K	-9.5K	0.33	90.78	N/A	N/A	76	25	1,571	956
2013-06-14	$47.30	$45.00	28.2%	8.1%	17.0%	40.4%	28.1%	2.8%	0.3%	31.9K	250.3K	-8.5K	0.00	83.83	N/A	N/A	0	2	1,589	959
2013-06-17	$47.11	$45.00	26.6%	7.6%	16.0%	35.7%	0.0%	4.0%	6.4%	28.5K	279.5K	-8.3K	0.00	77.67	N/A	N/A	0	0	1,589	961
2013-06-18	$47.53	$45.00	24.3%	7.0%	15.7%	29.0%	0.0%	4.0%	2.5%	57.9K	32.6K	-9.1K	6.00	74.58	N/A	N/A	2	12	1,589	961
2013-06-19	$46.99	$45.00	26.9%	7.7%	15.7%	36.4%	24.4%	2.5%	2.9%	24.0K	341.6K	-8.0K	223.00	76.93	N/A	N/A	1	223	1,589	967
2013-06-20	$46.31	$45.00	28.6%	8.2%	16.1%	41.6%	0.0%	0.2%	0.2%	23.3K	588.9K	-7.7K	4.60	82.91	N/A	N/A	10	46	1,588	988
2013-06-21	$45.73	$45.00	27.4%	7.9%	16.3%	37.9%	27.4%	-2.7%	2.2%	34.3K	573.9K	-7.9K	5.00	83.33	N/A	N/A	1	5	1,598	977
2013-06-24	$44.76	$45.00	28.9%	8.3%	17.7%	42.4%	28.9%	2.0%	1.4%	4.3K	192.6K	-7.4K	1.76	79.64	N/A	N/A	33	58	674	457
2013-06-25	$44.90	$45.00	27.1%	7.8%	14.5%	37.1%	30.4%	0.6%	1.8%	1.6K	164.5K	-7.4K	0.20	73.50	N/A	N/A	25	5	691	461
2013-06-26	$44.88	$45.00	27.4%	7.9%	14.0%	38.0%	27.4%	0.9%	1.1%	1.9K	164.5K	-7.3K	3.00	90.53	N/A	N/A	2	6	706	466
2013-06-27	$45.50	$45.00	25.4%	7.3%	15.3%	32.2%	31.5%	4.2%	3.0%	6.3K	77.8K	-7.3K	0.14	39.59	N/A	N/A	14	2	708	469
2013-06-28	$45.07	$45.00	26.0%	7.4%	15.5%	33.8%	0.0%	-6.0%	2.7%	3.5K	141.8K	-7.4K	1.64	28.84	N/A	N/A	14	23	722	471