CRS Options History — November 2013

In November 2013, CRS traded between $59.73 and $62.06. ATM implied volatility averaged 24.5%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.9% (HV 20d: 15.7%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.14.

Notable Days

  • 2013-11-08: Highest Volume — 164 contracts
  • 2013-11-07: Largest IV drop — 13.8% change
  • 2013-11-06: Highest IV Rank — 54.7%
  • 2013-11-19: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.97$59.73$62.06$59.73$60.29
Max Pain$55.50$55.00$65.00$65.00$55.00
ATM IV24.5%23.0%27.4%23.6%23.4%
Expected Move6.9%6.6%7.2%6.8%6.7%
HV 20d15.7%12.0%16.8%12.0%15.5%
HV 60d16.7%15.8%17.4%16.3%15.8%
IV Rank43.2%37.5%54.7%39.0%38.9%
IV Percentile26.2%13.1%63.5%15.9%15.1%
Term Structure1.8%0.3%3.3%0.3%0.7%
VWIV25.7%21.7%39.6%31.5%23.0%
Skew 25d4.6%-0.0%8.1%8.1%-0.0%
Skew 10d10.9%0.1%17.2%12.9%0.1%
Call IV 25d22.4%20.4%23.8%20.4%23.8%
Put IV 25d26.9%23.8%28.8%28.5%23.8%
Bid-Ask Spread %81.5671.5699.4299.4294.88
Gamma HHI0.440.390.470.430.47
Net GEX177.6K146.3K212.4K158.3K179.4K
Net DEX-5.8M-7.4M-4.0M-4.0M-5.4M
Net VEX-26.3K-30.3K-24.1K-30.3K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.0011.501.200.00
Total Volume47.74164654
Total OI3,837.93,6534,0103,7023,903

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$59.73$65.0023.6%6.8%12.0%39.0%31.5%8.1%0.3%158.3K-4.0M-30.3K0.0099.42N/AN/A0652,0451,657
2013-11-04$61.03$55.0025.4%7.0%13.6%46.3%30.4%5.9%3.1%163.0K-5.6M-27.3K1.2071.56N/AN/A35422,0451,697
2013-11-05$60.74$55.0024.5%7.0%13.6%42.5%24.6%4.0%3.2%163.5K-5.3M-28.1K0.0072.27N/AN/A1002,0721,730
2013-11-06$61.42$55.0027.4%7.0%13.8%54.7%24.6%4.6%2.8%146.3K-6.0M-27.1K0.7871.80N/AN/A50392,0731,730
2013-11-07$60.23$55.0023.6%7.0%15.7%38.9%24.2%3.8%3.2%183.9K-5.1M-27.4K0.1973.05N/AN/A53102,1041,732
2013-11-08$61.24$55.0024.4%7.0%16.6%42.0%24.3%4.6%2.5%186.8K-6.1M-26.0K5.3174.64N/AN/A261382,1261,736
2013-11-11$60.82$55.0026.8%7.1%16.8%52.0%23.5%4.4%2.5%192.2K-5.4M-28.2K1.0480.07N/AN/A24252,1411,828
2013-11-12$60.47$55.0025.3%7.1%16.8%45.9%0.0%5.0%2.6%211.2K-4.9M-27.9K0.0074.34N/AN/A902,1571,853
2013-11-13$60.66$55.0026.1%7.1%16.6%49.2%39.6%5.5%2.5%212.4K-5.2M-27.3K11.5077.59N/AN/A2232,1531,853
2013-11-14$60.85$55.0024.3%7.0%16.3%41.6%0.0%4.4%3.1%209.5K-5.4M-27.2K0.0079.63N/AN/A1102,1311,831
2013-11-15$61.48$55.0024.1%6.9%16.7%42.1%23.8%5.1%3.3%175.3K-6.3M-25.7K1.0778.29N/AN/A56602,1401,831
2013-11-18$61.71$55.0024.4%7.0%16.7%43.2%24.3%4.6%0.5%174.2K-6.9M-25.4K1.0080.57N/AN/A222,0401,613
2013-11-19$62.06$55.0024.9%7.2%16.0%45.7%21.7%4.5%0.6%171.9K-7.4M-24.1K1.0584.40N/AN/A20212,0411,614
2013-11-20$61.78$55.0024.7%7.1%16.1%44.5%21.7%4.8%0.4%173.1K-7.0M-24.5K2.8284.61N/AN/A22622,0601,635
2013-11-21$61.78$55.0024.3%7.0%16.0%42.9%24.4%3.9%1.0%166.4K-6.9M-24.4K10.0086.17N/AN/A5502,0821,696
2013-11-22$61.31$55.0023.5%6.7%16.2%39.3%0.0%3.9%1.0%172.2K-6.4M-25.5K0.0083.88N/AN/A0102,0841,746
2013-11-25$61.23$55.0023.5%6.7%15.8%39.6%23.3%6.6%1.0%164.6K-6.1M-25.4K8.3389.32N/AN/A3252,0841,756
2013-11-26$60.47$55.0023.0%6.6%16.5%37.5%23.0%2.4%0.8%171.8K-5.5M-24.8K10.0086.27N/AN/A1102,0871,777
2013-11-27$60.18$55.0023.1%6.6%15.6%37.6%0.0%5.1%0.4%175.1K-5.3M-24.5K2.2588.39N/AN/A12272,0881,787
2013-11-29$60.29$55.0023.4%6.7%15.5%38.9%0.0%-0.0%0.7%179.4K-5.4M-24.1K0.0094.88N/AN/A402,0961,807