CRS Options History — October 2013

In October 2013, CRS traded between $58.60 and $61.53. ATM implied volatility averaged 28.9%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 12.8% (HV 20d: 16.1%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.74.

Notable Days

  • 2013-10-28: Highest Volume — 302 contracts
  • 2013-10-29: Largest IV drop — 19.9% change
  • 2013-10-28: Highest IV Rank — 72.2%
  • 2013-10-28: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.90$58.60$61.53$59.68$59.33
Max Pain$62.61$55.00$65.00$60.00$65.00
ATM IV28.9%25.3%31.6%25.4%26.1%
Expected Move8.4%7.2%9.1%7.3%7.5%
HV 20d16.1%10.9%19.8%19.8%11.7%
HV 60d21.9%15.8%25.4%25.4%16.4%
IV Rank61.0%45.9%72.2%46.2%49.2%
IV Percentile67.0%31.7%87.7%33.3%44.4%
Term Structure-0.6%-3.7%4.1%4.1%-3.0%
VWIV28.7%18.7%37.6%25.4%25.4%
Skew 25d5.6%1.8%8.5%8.1%8.5%
Skew 10d14.0%2.1%24.9%14.5%12.9%
Call IV 25d27.9%20.9%30.8%20.9%21.9%
Put IV 25d33.5%29.0%36.6%29.0%30.4%
Bid-Ask Spread %80.2468.8697.5891.0997.58
Gamma HHI0.460.280.600.420.46
Net GEX139.9K45.2K198.4K152.9K168.7K
Net DEX-5.3M-6.4M-4.1M-5.5M-4.1M
Net VEX-31.0K-33.7K-28.0K-31.7K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0019.000.901.84
Total Volume81.522030221391
Total OI3,486.2173,1993,6503,1993,650

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$59.68$60.0025.4%7.3%19.8%46.2%25.4%8.1%4.1%152.9K-5.5M-31.7K0.9091.09N/AN/A1121012,0021,197
2013-10-02$60.10$60.0025.8%7.4%18.9%48.1%25.8%3.5%3.0%154.2K-5.9M-33.5K0.0385.78N/AN/A7922,0841,284
2013-10-03$59.61$60.0026.1%7.5%19.4%49.2%26.1%1.8%2.7%162.8K-5.6M-33.7K2.0088.10N/AN/A15302,1091,286
2013-10-04$59.67$55.0026.1%8.2%19.3%49.3%0.0%4.4%0.1%148.3K-5.6M-33.3K0.0069.11N/AN/A1402,1061,316
2013-10-07$59.05$55.0029.3%8.5%19.3%62.5%0.0%4.6%-0.5%143.1K-5.1M-32.6K0.0072.75N/AN/A002,0991,316
2013-10-08$58.79$55.0029.9%9.0%19.0%65.2%0.0%4.7%-1.5%139.2K-4.9M-32.8K0.0071.79N/AN/A0212,0991,316
2013-10-09$58.60$55.0027.1%8.9%18.8%53.5%18.7%5.9%-1.3%138.5K-4.6M-32.6K2.0671.87N/AN/A721482,0991,316
2013-10-10$59.09$65.0031.0%8.9%18.4%69.9%31.2%4.4%-1.1%115.5K-4.4M-32.8K19.0068.86N/AN/A1192,1311,464
2013-10-11$58.97$65.0029.7%8.5%18.4%64.1%29.6%5.0%-0.3%118.1K-4.2M-32.6K0.4273.04N/AN/A24102,1321,478
2013-10-14$58.85$65.0030.7%8.8%17.0%68.7%30.6%4.7%-0.7%114.3K-4.1M-31.9K1.4674.21N/AN/A24352,1281,483
2013-10-15$59.32$65.0030.7%8.8%16.0%68.7%29.5%4.5%-0.6%102.5K-4.5M-31.7K0.4573.35N/AN/A67302,1341,493
2013-10-16$59.88$65.0030.1%8.6%15.9%65.9%28.9%4.9%-0.7%108.7K-5.1M-31.4K1.5077.40N/AN/A20302,1421,484
2013-10-17$60.39$65.0029.6%8.5%16.1%63.8%0.0%5.8%-0.2%81.8K-5.6M-30.8K0.0077.54N/AN/A302,1191,455
2013-10-18$60.43$65.0029.3%8.4%13.8%62.7%29.4%4.8%-0.2%45.2K-6.2M-29.0K0.3678.19N/AN/A2592,1221,445
2013-10-21$60.64$65.0030.8%8.8%13.7%69.1%31.0%7.2%-1.7%149.4K-5.7M-29.4K0.5679.63N/AN/A73412,0211,312
2013-10-22$61.53$65.0031.0%8.9%14.3%69.7%31.2%6.6%-1.3%152.5K-6.4M-30.3K0.1880.27N/AN/A56102,0791,353
2013-10-23$61.28$65.0031.2%8.9%14.5%70.4%27.9%7.3%-1.5%151.7K-6.3M-29.8K0.9780.02N/AN/A31302,0791,360
2013-10-24$61.19$65.0031.5%9.0%14.3%71.8%37.6%6.1%-2.3%160.6K-6.4M-29.5K0.0086.47N/AN/A802,1041,390
2013-10-25$60.97$65.0031.2%9.0%13.6%70.7%31.3%6.7%-2.5%165.5K-6.0M-29.1K2.0084.06N/AN/A5102,0571,390
2013-10-28$60.38$65.0031.6%9.1%14.3%72.2%31.5%5.8%-3.7%178.2K-5.6M-28.0K0.4781.02N/AN/A205972,0581,400
2013-10-29$60.48$65.0025.3%7.2%10.9%45.9%26.0%4.4%-0.7%198.4K-4.9M-29.0K1.0889.29N/AN/A1031112,0161,483
2013-10-30$59.57$65.0025.5%7.3%12.0%46.8%25.4%8.5%-1.0%167.3K-4.4M-28.7K1.2694.14N/AN/A50632,0171,575
2013-10-31$59.33$65.0026.1%7.5%11.7%49.2%0.0%8.5%-3.0%168.7K-4.1M-29.3K1.8497.58N/AN/A32592,0411,609