CRS Options History — January 2014

In January 2014, CRS traded between $57.74 and $62.38. ATM implied volatility averaged 25.4%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.0% (HV 20d: 16.4%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.27.

Notable Days

  • 2014-01-22: Highest Volume — 282 contracts
  • 2014-01-30: Largest IV drop — 26.8% change
  • 2014-01-29: Highest IV Rank — 68.1%
  • 2014-01-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.70$57.74$62.38$61.91$58.11
Max Pain$60.24$60.00$65.00$60.00$60.00
ATM IV25.4%20.7%30.2%23.0%25.3%
Expected Move7.5%6.3%8.6%6.6%7.2%
HV 20d16.4%11.2%22.5%17.4%22.0%
HV 60d15.8%14.7%18.2%14.7%17.9%
IV Rank47.8%27.3%68.1%37.4%47.0%
IV Percentile47.4%4.0%89.7%15.1%44.4%
Term Structure-0.4%-3.5%4.1%4.1%-0.9%
VWIV25.3%22.1%27.1%23.0%25.2%
Skew 25d2.7%-1.3%6.4%-0.8%4.7%
Skew 10d5.2%-4.6%22.0%-0.7%7.5%
Call IV 25d25.7%22.1%30.1%25.0%23.2%
Put IV 25d28.3%22.8%32.9%24.2%27.9%
Bid-Ask Spread %89.0380.35101.1093.8199.24
Gamma HHI0.550.330.730.720.33
Net GEX151.0K10.7K406.5K406.5K10.7K
Net DEX-2.4M-4.4M46.4K-4.4M-121.0K
Net VEX-19.1K-22.3K-17.0K-21.9K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.270.0035.001.492.50
Total Volume84.66702829784
Total OI3,115.6192,4763,6523,4142,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$61.91$60.0023.0%6.6%17.4%37.4%23.0%-0.8%4.1%406.5K-4.4M-21.9K1.4993.81N/AN/A39582,2441,170
2014-01-03$62.04$60.0023.9%6.8%17.0%41.1%24.0%-0.9%1.8%395.6K-4.3M-22.3K8.2593.39N/AN/A12992,2471,206
2014-01-06$61.46$65.0025.1%7.6%16.5%46.2%26.7%3.8%0.4%325.4K-3.5M-21.5K4.8083.37N/AN/A10482,2531,265
2014-01-07$61.36$60.0022.7%7.3%16.3%35.9%25.0%2.8%0.2%284.4K-3.5M-20.2K0.0087.37N/AN/A2602,2631,297
2014-01-08$61.58$60.0025.0%7.4%16.2%45.8%26.1%4.0%0.0%312.2K-3.6M-20.4K1.3084.21N/AN/A10132,2811,297
2014-01-09$61.00$60.0024.5%7.3%15.2%43.8%25.2%1.8%0.2%225.9K-2.8M-20.6K0.0780.35N/AN/A10372,2911,310
2014-01-10$61.33$60.0023.2%7.4%11.2%38.3%0.0%3.9%-0.3%195.8K-2.8M-20.3K0.0081.23N/AN/A002,2861,317
2014-01-13$60.69$60.0026.1%7.5%11.9%50.7%0.0%1.6%-1.0%108.2K-2.3M-18.9K0.0581.20N/AN/A15282,2861,317
2014-01-14$60.99$60.0026.2%7.4%11.9%51.0%25.9%3.1%-0.5%38.1K-2.2M-18.6K1.5080.93N/AN/A30452,2011,317
2014-01-15$62.18$60.0020.7%7.7%13.6%27.3%26.7%4.6%-1.0%112.8K-3.4M-17.1K2.7986.01N/AN/A431202,2231,343
2014-01-16$61.99$60.0026.0%7.5%13.2%50.2%0.0%6.4%0.2%152.5K-3.3M-18.4K16.0090.23N/AN/A2322,2521,398
2014-01-17$62.38$60.0026.8%7.7%13.3%53.8%26.0%4.2%-1.3%174.3K-3.7M-17.9K0.0088.22N/AN/A20502,2541,398
2014-01-21$61.74$60.0026.8%7.7%13.8%53.5%26.4%1.7%-0.9%126.4K-2.9M-18.6K0.3492.62N/AN/A76261,3941,120
2014-01-22$61.93$60.0026.5%7.6%13.8%52.4%24.5%4.4%0.4%131.3K-2.9M-18.9K0.2991.29N/AN/A218641,4331,140
2014-01-23$61.55$60.0026.9%7.7%14.1%54.1%27.1%3.3%-1.6%81.4K-2.2M-19.1K35.0090.21N/AN/A1351,2921,184
2014-01-24$58.80$60.0025.8%7.4%21.8%49.5%25.4%1.5%-0.2%28.5K-702.8K-18.6K0.1196.01N/AN/A3841,2921,194
2014-01-27$57.74$60.0029.4%8.4%22.5%64.8%0.0%2.7%-3.5%13.0K46.4K-17.5K0.7888.89N/AN/A40311,3041,194
2014-01-28$58.38$60.0028.4%8.2%21.1%60.8%0.0%2.0%-2.6%12.2K-75.1K-17.6K0.0086.27N/AN/A001,3141,222
2014-01-29$58.41$60.0030.2%8.6%21.1%68.1%0.0%2.3%-1.7%20.0K-216.8K-17.8K1.8393.67N/AN/A12221,3141,222
2014-01-30$59.06$60.0022.1%6.3%21.5%33.3%22.1%-1.3%0.4%15.9K-691.1K-17.0K4.00101.10N/AN/A13521,3111,226
2014-01-31$58.11$60.0025.3%7.2%22.0%47.0%25.2%4.7%-0.9%10.7K-121.0K-17.0K2.5099.24N/AN/A24601,3241,232