CRS Options History — August 2013

In August 2013, CRS traded between $53.52 and $56.20. ATM implied volatility averaged 25.2%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 5.7% (HV 20d: 31.0%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-08-12: Highest Volume — 415 contracts
  • 2013-08-15: Largest IV spike — 12.1% change
  • 2013-08-08: Highest IV Rank — 45.7%
  • 2013-08-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.73$53.52$56.20$53.57$53.77
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV25.2%22.9%27.5%27.5%24.9%
Expected Move7.3%7.0%7.9%7.9%7.2%
HV 20d31.0%15.1%36.7%36.7%15.6%
HV 60d25.3%24.7%26.2%26.2%25.2%
IV Rank41.3%33.3%45.7%38.2%41.0%
IV Percentile27.1%11.9%45.2%45.2%25.4%
Term Structure1.3%-1.8%2.6%-1.8%2.5%
VWIV25.7%24.3%31.3%26.8%26.4%
Skew 25d4.1%2.3%8.9%4.4%7.8%
Skew 10d8.3%3.6%22.4%10.1%22.4%
Call IV 25d24.3%21.1%26.2%24.3%22.4%
Put IV 25d28.4%27.2%30.2%28.7%30.2%
Bid-Ask Spread %69.9545.3390.6786.7390.67
Gamma HHI0.340.300.390.300.39
Net GEX64.6K-13.1K147.4K-13.1K36.7K
Net DEX-4.8M-6.2M-3.1M-3.1M-3.3M
Net VEX-31.4K-34.0K-27.9K-29.2K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.003.670.341.58
Total Volume85.409341528833
Total OI5,388.4554,9635,7364,9635,580

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$53.57$50.0027.5%7.9%36.7%38.2%26.8%4.4%-1.8%-13.1K-3.1M-29.2K0.3486.73N/AN/A215731,9493,014
2013-08-02$53.85$50.0025.2%7.2%36.2%40.7%0.0%5.2%0.3%12.1K-3.7M-33.5K0.0045.33N/AN/A10302,1513,086
2013-08-05$53.77$50.0025.1%7.3%36.0%40.3%0.0%2.3%1.6%23.7K-3.9M-34.0K0.0071.71N/AN/A032,2513,086
2013-08-06$53.69$50.0025.2%7.1%36.1%42.0%0.0%2.9%2.6%19.9K-3.9M-33.4K0.5071.97N/AN/A40202,2513,087
2013-08-07$53.52$50.0026.0%7.1%36.2%45.2%24.8%2.4%2.1%2.6K-3.7M-33.0K0.0062.35N/AN/A2002,2823,107
2013-08-08$54.05$50.0026.2%7.5%34.9%45.7%25.8%2.5%1.1%30.0K-4.4M-33.1K0.1863.40N/AN/A173322,3023,107
2013-08-09$55.13$50.0025.3%7.3%34.6%42.2%25.5%3.6%1.4%48.7K-5.5M-30.8K0.4060.79N/AN/A30122,1883,119
2013-08-12$55.40$50.0026.0%7.4%34.6%44.9%24.7%3.5%1.8%54.8K-5.8M-30.2K0.9360.43N/AN/A2152002,2183,129
2013-08-13$55.22$50.0023.6%7.3%34.6%35.7%0.0%3.2%1.8%67.8K-5.9M-33.5K3.6764.78N/AN/A3112,4123,319
2013-08-14$55.30$50.0022.9%7.2%34.7%33.3%24.4%3.3%2.5%80.3K-6.2M-32.9K0.0064.93N/AN/A1902,4153,321
2013-08-15$55.25$50.0025.7%7.4%34.7%44.0%0.0%4.5%1.9%70.3K-5.8M-32.5K0.4766.32N/AN/A1782,3513,300
2013-08-16$55.18$50.0025.0%7.2%34.3%41.3%25.0%5.1%2.3%50.3K-5.7M-32.3K0.0065.65N/AN/A4302,3613,308
2013-08-19$54.66$50.0024.3%7.0%34.6%38.6%24.3%3.0%1.6%66.0K-4.5M-32.6K1.4562.70N/AN/A20292,2053,055
2013-08-20$55.21$50.0024.8%7.1%33.9%40.4%24.9%4.1%0.5%92.6K-5.2M-31.1K0.8883.93N/AN/A25222,2153,084
2013-08-21$54.89$50.0024.4%7.0%31.3%38.8%24.4%3.3%1.1%85.6K-4.8M-30.9K1.0063.70N/AN/A16162,2233,102
2013-08-22$55.69$50.0025.0%7.2%31.2%41.1%25.1%4.9%0.9%127.7K-5.8M-29.7K0.4170.46N/AN/A2292,2283,118
2013-08-23$56.10$50.0025.5%7.3%31.2%43.2%25.5%4.8%0.4%144.0K-5.9M-28.9K0.0068.26N/AN/A0222,1743,121
2013-08-26$56.20$50.0025.7%7.4%30.5%44.0%26.3%4.4%0.7%147.4K-6.1M-27.9K0.7769.92N/AN/A65502,1743,143
2013-08-27$54.89$50.0025.7%7.4%16.7%43.8%31.3%3.0%1.6%100.9K-4.7M-29.7K0.0070.59N/AN/A502,1793,153
2013-08-28$54.31$50.0025.0%7.2%17.3%41.1%0.0%3.8%1.7%84.4K-4.1M-29.9K0.0084.80N/AN/A042,1843,153
2013-08-29$54.37$50.0025.8%7.4%15.1%44.1%0.0%8.9%1.2%88.7K-4.1M-29.4K1.5889.52N/AN/A1181862,1843,157
2013-08-30$53.77$50.0024.9%7.2%15.6%41.0%26.4%7.8%2.5%36.7K-3.3M-31.8K0.0090.67N/AN/A0332,2623,318