CRS Options History — December 2013

In December 2013, CRS traded between $59.67 and $62.50. ATM implied volatility averaged 23.9%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.6% (HV 20d: 15.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2013-12-12: Highest Volume — 390 contracts
  • 2013-12-09: Largest IV spike — 17.7% change
  • 2013-12-09: Highest IV Rank — 56.8%
  • 2013-12-05: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.76$59.67$62.50$60.20$62.20
Max Pain$59.05$55.00$60.00$55.00$60.00
ATM IV23.9%22.5%27.5%23.9%23.7%
Expected Move6.8%6.5%7.1%6.9%6.8%
HV 20d15.3%11.2%17.3%15.4%17.3%
HV 60d15.4%14.2%16.1%15.8%14.8%
IV Rank41.2%35.3%56.8%41.3%40.3%
IV Percentile24.0%11.9%71.8%19.8%23.0%
Term Structure1.9%-1.9%4.3%0.4%1.2%
VWIV24.0%21.7%26.4%23.6%24.5%
Skew 25d2.9%-1.3%9.9%3.5%-0.5%
Skew 10d6.3%-0.6%15.0%5.8%-0.6%
Call IV 25d22.9%14.6%27.2%23.7%24.5%
Put IV 25d25.8%23.3%28.4%27.1%23.9%
Bid-Ask Spread %88.9130.78101.1189.2130.78
Gamma HHI0.530.440.770.480.74
Net GEX366.0K160.7K1.6M188.3K417.1K
Net DEX-5.5M-8.3M-1.9M-5.1M-4.8M
Net VEX-22.4K-24.3K-20.2K-23.4K-21.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.003.102.000.52
Total Volume135.47673902488
Total OI4,079.2382,8225,0863,9033,379

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$60.20$55.0023.9%6.9%15.4%41.3%0.0%3.5%0.4%188.3K-5.1M-23.4K2.0089.21N/AN/A8162,0961,807
2013-12-03$60.09$55.0023.6%6.8%13.2%40.1%23.6%2.6%0.4%198.1K-5.0M-23.2K2.2592.65N/AN/A492,1041,802
2013-12-04$60.78$55.0023.9%6.9%13.8%41.4%0.0%7.6%-1.0%184.6K-6.1M-22.7K0.15100.22N/AN/A68102,1041,810
2013-12-05$61.72$55.0024.9%7.1%14.3%45.6%25.0%9.9%-1.9%182.6K-7.3M-22.6K0.00101.11N/AN/A0262,1661,820
2013-12-06$62.11$60.0023.4%6.9%12.4%39.0%25.1%4.9%2.3%184.9K-7.9M-21.6K0.2587.11N/AN/A822,1661,833
2013-12-09$62.50$60.0027.5%7.0%11.2%56.8%21.7%5.6%2.1%179.1K-8.3M-20.2K0.0789.37N/AN/A281202,1671,834
2013-12-10$61.36$60.0022.7%6.6%12.9%36.1%23.0%2.2%3.3%280.5K-7.9M-21.4K0.2090.22N/AN/A213422,4081,854
2013-12-11$59.67$60.0026.4%6.5%16.3%51.7%23.0%-0.4%2.9%292.4K-5.3M-23.7K0.0090.96N/AN/A072,6171,892
2013-12-12$60.02$60.0023.9%6.9%16.4%41.4%23.6%2.6%2.3%314.9K-5.5M-23.5K0.0384.57N/AN/A378122,6171,897
2013-12-13$60.20$60.0022.9%6.6%16.4%36.7%22.9%2.8%3.9%387.6K-6.3M-24.3K0.5089.91N/AN/A1052,9011,907
2013-12-16$60.52$60.0022.5%6.5%16.0%35.3%0.0%2.2%4.1%412.8K-7.0M-22.7K0.0093.16N/AN/A2302,9111,902
2013-12-17$60.04$60.0024.1%6.9%16.1%42.2%26.4%0.0%2.9%429.0K-6.2M-23.0K0.1088.26N/AN/A313322,9311,902
2013-12-18$60.30$60.0022.8%6.5%16.1%36.3%23.5%1.5%4.3%434.6K-6.5M-23.1K3.1096.03N/AN/A10313,0901,923
2013-12-19$60.02$60.0024.8%7.1%16.1%44.9%24.9%-0.1%1.4%613.3K-6.2M-22.0K1.7790.45N/AN/A711263,0471,916
2013-12-20$59.95$60.0023.8%6.8%16.1%41.0%23.9%3.9%1.9%1.6M-5.5M-22.2K0.0287.52N/AN/A12533,0941,992
2013-12-23$60.00$60.0023.9%6.8%15.9%41.0%23.9%5.3%2.6%160.7K-1.9M-20.7K0.3894.28N/AN/A2761061,8121,010
2013-12-24$60.16$60.0023.7%6.8%16.0%40.1%23.7%2.8%1.5%225.6K-2.5M-22.1K0.9293.43N/AN/A48442,0261,111
2013-12-26$60.40$60.0023.7%6.8%15.4%40.2%23.7%5.1%1.9%241.2K-2.5M-22.3K0.1396.11N/AN/A84112,0611,135
2013-12-27$61.79$60.0023.4%6.7%17.3%39.1%24.4%0.4%-0.0%322.7K-3.9M-20.8K0.0592.36N/AN/A209102,0661,143
2013-12-30$61.94$60.0022.5%6.5%17.3%35.3%24.7%-1.3%3.1%412.7K-4.5M-22.3K0.1589.34N/AN/A101152,2581,153
2013-12-31$62.20$60.0023.7%6.8%17.3%40.3%24.5%-0.5%1.2%417.1K-4.8M-21.8K0.5230.78N/AN/A58302,2271,152