CRS Options History — September 2013

In September 2013, CRS traded between $53.92 and $59.57. ATM implied volatility averaged 25.6%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.3% (HV 20d: 18.4%). Max pain ranged from $50.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2013-09-16: Highest Volume — 609 contracts
  • 2013-09-12: Largest IV spike — 25.2% change
  • 2013-09-13: Highest IV Rank — 52.4%
  • 2013-09-06: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.27$53.92$59.57$53.92$58.11
Max Pain$62.00$50.00$70.00$50.00$60.00
ATM IV25.6%21.6%27.2%26.5%26.6%
Expected Move7.5%6.9%8.0%7.6%7.6%
HV 20d18.4%15.6%20.9%15.6%18.1%
HV 60d25.3%24.8%25.6%25.2%25.2%
IV Rank46.2%29.7%52.4%47.1%51.3%
IV Percentile36.4%6.7%52.8%44.0%50.4%
Term Structure2.0%-0.1%4.0%1.2%2.7%
VWIV27.7%22.4%54.1%25.3%54.1%
Skew 25d4.9%1.6%10.7%7.3%3.5%
Skew 10d11.4%0.4%18.1%11.8%15.1%
Call IV 25d23.8%20.0%26.9%23.3%25.0%
Put IV 25d28.7%27.2%30.8%30.7%28.5%
Bid-Ask Spread %84.5465.9594.2471.2887.62
Gamma HHI0.450.360.570.380.41
Net GEX185.9K69.4K285.8K69.4K142.9K
Net DEX-6.5M-10.6M-3.7M-3.7M-4.4M
Net VEX-28.8K-32.5K-23.8K-30.6K-31.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.170.000.17
Total Volume83.90609127
Total OI4,982.453,0666,3145,5803,186

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$53.92$50.0026.5%7.6%15.6%47.1%25.3%7.3%1.2%69.4K-3.7M-30.6K0.0071.28N/AN/A1202,2623,318
2013-09-04$55.07$50.0025.6%7.3%17.2%43.4%23.8%10.7%1.7%157.2K-5.2M-28.9K0.1079.60N/AN/A3942,2683,318
2013-09-05$55.06$50.0025.8%7.4%17.2%44.2%22.4%10.5%1.5%162.6K-5.3M-28.6K0.0078.00N/AN/A1502,2693,316
2013-09-06$55.08$70.0026.4%8.0%16.9%46.4%0.0%3.7%0.3%161.6K-5.3M-28.2K0.0065.95N/AN/A202,2713,316
2013-09-09$56.06$70.0026.8%7.8%16.6%48.9%27.2%4.4%0.9%228.2K-6.6M-26.0K1.5078.63N/AN/A462,2733,316
2013-09-10$56.79$70.0026.4%7.7%17.1%49.1%0.0%4.0%1.3%255.7K-7.2M-25.3K0.0083.62N/AN/A502,2733,319
2013-09-11$57.39$70.0021.6%7.8%17.3%29.7%0.0%6.7%0.5%252.5K-7.7M-24.7K0.0085.08N/AN/A002,2733,319
2013-09-12$56.73$70.0027.1%7.8%17.9%51.7%25.9%3.1%1.4%236.9K-7.3M-25.0K1.3285.31N/AN/A22292,2733,319
2013-09-13$56.70$70.0027.2%7.8%17.9%52.4%0.0%3.9%-0.1%246.7K-7.2M-25.0K0.4285.56N/AN/A24102,2853,344
2013-09-16$57.92$70.0026.6%7.6%19.3%51.5%26.6%1.6%1.6%210.5K-8.3M-23.8K0.1880.96N/AN/A514952,2943,354
2013-09-17$58.96$60.0025.8%7.4%19.5%47.9%0.0%3.8%1.9%195.5K-9.6M-28.2K0.0284.22N/AN/A27052,6363,439
2013-09-18$59.57$60.0024.0%6.9%19.5%40.7%25.7%3.9%3.3%247.9K-10.6M-30.4K0.2589.33N/AN/A40102,8403,443
2013-09-19$59.33$60.0024.2%6.9%19.4%41.2%24.2%3.0%3.8%285.8K-10.4M-30.0K1.9688.64N/AN/A561102,8283,428
2013-09-20$58.08$60.0024.9%7.1%20.9%44.3%0.0%5.3%3.4%172.9K-8.9M-30.4K0.4294.24N/AN/A145612,8093,505
2013-09-23$57.90$60.0026.1%7.5%20.9%49.4%25.9%3.4%2.7%130.1K-4.2M-31.8K0.2493.10N/AN/A2971,9021,164
2013-09-24$58.15$60.0026.3%7.5%20.9%49.9%0.0%4.8%2.4%135.5K-4.3M-31.2K2.1791.36N/AN/A6131,8971,171
2013-09-25$58.05$60.0025.3%7.3%18.7%45.9%26.4%4.8%3.1%135.6K-4.4M-31.0K0.0490.75N/AN/A6931,9031,180
2013-09-26$58.56$60.0025.0%7.2%18.1%44.6%24.7%6.0%3.2%146.5K-4.7M-32.5K0.7490.65N/AN/A31231,9701,182
2013-09-27$57.91$60.0024.8%7.1%18.8%43.6%0.0%3.9%4.0%144.8K-4.4M-31.8K0.0086.81N/AN/A1201,9901,196
2013-09-30$58.11$60.0026.6%7.6%18.1%51.3%54.1%3.5%2.7%142.9K-4.4M-31.9K0.1787.62N/AN/A611,9901,196