CRS Options History — February 2014

In February 2014, CRS traded between $55.92 and $59.91. ATM implied volatility averaged 23.3%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.9% (HV 20d: 25.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.62.

Notable Days

2014-02-12: Highest Volume — 199 contracts
2014-02-07: Largest IV drop — 21.0% change
2014-02-04: Highest IV Rank — 57.5%
2014-02-04: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.16	$55.92	$59.91	$55.92	$59.15
Max Pain	$58.16	$55.00	$60.00	$60.00	$60.00
ATM IV	23.3%	20.7%	27.7%	24.4%	21.5%
Expected Move	6.8%	6.2%	7.9%	7.0%	6.2%
HV 20d	25.2%	20.8%	27.5%	25.2%	20.8%
HV 60d	19.5%	18.7%	19.8%	19.4%	19.8%
IV Rank	38.5%	27.5%	57.5%	43.3%	31.0%
IV Percentile	22.8%	4.4%	80.2%	33.7%	6.0%
Term Structure	0.9%	-0.9%	2.3%	1.1%	0.8%
VWIV	23.7%	17.6%	27.1%	24.2%	17.6%
Skew 25d	2.8%	-0.5%	6.1%	0.5%	6.1%
Skew 10d	6.3%	-1.4%	25.5%	4.3%	9.9%
Call IV 25d	23.6%	19.0%	27.8%	27.8%	19.0%
Put IV 25d	26.4%	25.1%	28.4%	28.3%	25.1%
Bid-Ask Spread %	87.82	77.46	97.95	95.62	93.19
Gamma HHI	0.31	0.24	0.39	0.31	0.39
Net GEX	33.7K	-35.1K	99.5K	-20.6K	99.5K
Net DEX	-232.1K	-1.9M	1.6M	1.3M	-1.3M
Net VEX	-15.1K	-17.2K	-13.1K	-15.2K	-13.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.00	8.27	0.76	3.40
Total Volume	71.737	9	199	67	22
Total OI	2,836.368	2,489	3,243	2,563	2,617

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$55.92	$60.00	24.4%	7.0%	25.2%	43.3%	24.2%	0.5%	1.1%	-20.6K	1.3M	-15.2K	0.76	95.62	N/A	N/A	38	29	1,322	1,241
2014-02-04	$56.44	$60.00	27.7%	7.9%	25.7%	57.5%	0.0%	0.9%	-0.9%	-26.9K	1.2M	-15.1K	1.00	97.56	N/A	N/A	10	10	1,337	1,269
2014-02-05	$56.10	$60.00	26.1%	7.5%	25.7%	50.6%	25.8%	-0.3%	-0.4%	-33.8K	1.6M	-14.8K	2.50	96.69	N/A	N/A	8	20	1,341	1,279
2014-02-06	$56.34	$60.00	26.2%	7.5%	25.7%	51.2%	26.1%	-0.5%	0.3%	-31.1K	1.4M	-15.0K	1.56	97.95	N/A	N/A	62	97	1,343	1,299
2014-02-07	$57.13	$55.00	20.7%	7.6%	26.4%	27.5%	24.9%	3.0%	-0.4%	-35.1K	954.0K	-15.3K	0.00	84.39	N/A	N/A	129	0	1,378	1,347
2014-02-10	$57.50	$55.00	21.8%	7.6%	26.5%	32.0%	27.1%	4.0%	1.6%	11.5K	334.7K	-15.8K	1.10	77.46	N/A	N/A	30	33	1,507	1,347
2014-02-11	$58.66	$55.00	22.8%	6.7%	27.5%	36.4%	23.9%	3.6%	2.0%	27.8K	-755.3K	-16.9K	0.81	82.27	N/A	N/A	108	87	1,533	1,367
2014-02-12	$58.76	$55.00	22.9%	6.6%	27.5%	36.8%	23.3%	3.2%	1.6%	50.4K	-791.6K	-16.9K	1.49	81.66	N/A	N/A	80	119	1,623	1,403
2014-02-13	$59.49	$55.00	22.6%	6.5%	26.9%	35.5%	21.8%	3.5%	2.1%	67.4K	-1.6M	-17.2K	0.44	85.96	N/A	N/A	57	25	1,695	1,469
2014-02-14	$59.91	$55.00	22.4%	6.4%	27.1%	34.9%	22.4%	3.6%	2.3%	64.4K	-1.9M	-17.0K	3.18	82.41	N/A	N/A	11	35	1,711	1,492
2014-02-18	$59.24	$55.00	23.0%	6.6%	27.1%	37.5%	22.6%	2.1%	1.7%	48.6K	-1.1M	-16.1K	4.45	81.24	N/A	N/A	11	49	1,718	1,492
2014-02-19	$58.66	$60.00	23.3%	6.7%	27.1%	38.6%	23.8%	2.0%	1.6%	47.7K	-271.9K	-15.8K	0.85	83.22	N/A	N/A	26	22	1,723	1,520
2014-02-20	$58.76	$60.00	23.4%	6.7%	27.0%	38.8%	23.4%	2.8%	1.5%	33.6K	-233.8K	-14.6K	0.06	85.41	N/A	N/A	17	1	1,615	1,493
2014-02-21	$58.89	$60.00	22.4%	6.4%	27.0%	34.8%	22.5%	1.8%	2.2%	38.4K	-476.4K	-14.3K	0.50	84.85	N/A	N/A	6	3	1,618	1,494
2014-02-24	$58.83	$60.00	22.8%	6.5%	21.6%	36.3%	26.4%	2.1%	-0.0%	98.0K	-1.2M	-13.2K	8.27	85.62	N/A	N/A	15	124	1,346	1,143
2014-02-25	$58.02	$60.00	23.1%	6.6%	21.2%	37.5%	23.6%	4.7%	0.5%	49.3K	-184.4K	-13.7K	0.09	87.83	N/A	N/A	11	1	1,350	1,245
2014-02-26	$58.32	$60.00	22.9%	6.6%	20.9%	36.8%	17.6%	4.2%	-0.0%	65.9K	-480.1K	-13.4K	0.35	93.70	N/A	N/A	43	15	1,361	1,245
2014-02-27	$58.83	$60.00	22.3%	6.4%	21.1%	34.5%	0.0%	5.4%	0.3%	84.9K	-872.1K	-13.2K	0.00	91.64	N/A	N/A	9	0	1,363	1,245
2014-02-28	$59.15	$60.00	21.5%	6.2%	20.8%	31.0%	0.0%	6.1%	0.8%	99.5K	-1.3M	-13.1K	3.40	93.19	N/A	N/A	5	17	1,372	1,245