CRS Options History — March 2014

In March 2014, CRS traded between $57.69 and $66.04. ATM implied volatility averaged 21.9%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.4% (HV 20d: 19.5%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.52.

Notable Days

  • 2014-03-21: Highest Volume — 648 contracts
  • 2014-03-21: Largest IV drop — 25.7% change
  • 2014-03-20: Highest IV Rank — 53.6%
  • 2014-03-20: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.97$57.69$66.04$57.69$66.04
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV21.9%19.9%26.8%23.9%20.6%
Expected Move6.3%5.7%7.7%6.8%5.9%
HV 20d19.5%17.5%22.0%22.0%18.0%
HV 60d20.8%19.8%21.7%20.5%21.5%
IV Rank32.6%23.9%53.6%41.0%27.0%
IV Percentile12.6%0.8%75.4%31.0%2.8%
Term Structure2.1%-0.4%3.8%-0.4%3.7%
VWIV22.3%19.9%26.7%24.9%20.6%
Skew 25d2.3%-5.0%7.1%2.6%-0.5%
Skew 10d4.9%-8.0%11.9%-7.2%-1.9%
Call IV 25d21.2%15.9%24.5%23.7%20.0%
Put IV 25d23.5%17.7%26.9%26.3%19.5%
Bid-Ask Spread %90.9182.0399.6186.1498.54
Gamma HHI0.440.330.850.330.38
Net GEX137.4K48.9K521.7K48.9K113.8K
Net DEX-2.4M-6.6M123.8K123.8K-2.4M
Net VEX-13.0K-15.6K-9.7K-11.9K-14.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.520.0049.001.841.00
Total Volume73.47606481428
Total OI2,462.7141,5012,9212,6191,611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$57.69$60.0023.9%6.8%22.0%41.0%24.9%2.6%-0.4%48.9K123.8K-11.9K1.8486.14N/AN/A50921,3771,242
2014-03-04$59.15$60.0022.1%6.3%18.7%33.6%22.1%6.6%0.4%100.8K-1.1M-13.7K0.6395.12N/AN/A32201,4101,330
2014-03-05$60.17$60.0022.2%6.4%19.2%33.8%22.6%7.1%0.1%128.8K-2.2M-14.0K4.1497.26N/AN/A7291,4211,343
2014-03-06$59.98$60.0021.4%6.1%19.1%30.5%21.4%-5.0%0.5%137.1K-2.2M-13.6K0.8090.59N/AN/A25201,4261,341
2014-03-07$59.87$60.0021.3%6.4%19.2%30.1%22.2%3.6%2.4%129.9K-1.9M-13.2K0.0083.96N/AN/A1001,4151,341
2014-03-10$59.75$60.0022.6%6.5%18.8%35.7%0.0%3.2%2.2%134.4K-1.8M-12.6K0.0082.03N/AN/A1001,4251,341
2014-03-11$59.80$60.0022.1%6.4%18.7%33.5%0.0%2.9%2.2%139.5K-1.8M-12.4K15.5084.35N/AN/A101551,4151,341
2014-03-12$59.98$60.0021.7%6.4%17.5%31.9%0.0%1.7%2.9%143.9K-2.0M-13.9K2.5087.71N/AN/A4101,4251,486
2014-03-13$59.25$60.0022.3%6.4%18.1%34.4%22.2%2.8%2.3%120.2K-1.2M-13.4K0.3985.23N/AN/A64251,4231,481
2014-03-14$59.57$60.0022.5%6.5%17.7%35.3%22.5%2.8%2.0%116.1K-1.3M-12.6K2.0084.42N/AN/A6121,3871,481
2014-03-17$60.36$60.0022.1%6.3%18.1%33.4%22.1%3.5%2.2%136.3K-2.3M-12.3K0.4588.89N/AN/A1151,3841,493
2014-03-18$61.63$60.0022.4%6.4%18.9%34.7%21.9%2.7%1.6%105.1K-3.7M-11.5K0.4392.43N/AN/A731,3841,498
2014-03-19$62.06$60.0023.3%6.7%18.5%38.5%0.0%2.9%0.9%132.6K-4.0M-11.2K0.5993.81N/AN/A41241,3911,498
2014-03-20$63.46$60.0026.8%7.7%19.7%53.6%0.0%2.9%0.6%151.4K-5.1M-9.8K4.1996.70N/AN/A16671,3901,477
2014-03-21$65.23$60.0019.9%5.7%21.4%23.9%19.9%2.6%3.8%521.7K-6.6M-9.7K0.0892.76N/AN/A600481,3951,526
2014-03-24$65.79$60.0020.9%6.0%21.3%28.2%20.4%3.1%3.1%106.7K-2.2M-14.8K1.8887.56N/AN/A1732829672
2014-03-25$65.69$60.0021.0%6.0%20.3%28.7%26.7%2.7%2.8%107.7K-2.3M-14.5K4.0089.55N/AN/A520845701
2014-03-26$64.92$60.0020.6%5.9%21.2%27.1%20.6%0.3%3.4%103.5K-1.9M-14.5K49.0094.71N/AN/A149850708
2014-03-27$65.19$60.0020.1%5.7%21.2%24.6%0.0%1.7%3.5%100.4K-1.9M-15.6K1.0099.61N/AN/A44850753
2014-03-28$65.80$60.0020.3%5.8%21.3%25.6%0.0%-1.7%3.0%107.6K-2.2M-14.3K0.0097.76N/AN/A00854757
2014-03-31$66.04$60.0020.6%5.9%18.0%27.0%0.0%-0.5%3.7%113.8K-2.4M-14.0K1.0098.54N/AN/A44854757