CRS Options History — April 2014

In April 2014, CRS traded between $62.38 and $66.63. ATM implied volatility averaged 23.7%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.7% (HV 20d: 23.0%). 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 4 of 21 days. Put/call ratio averaged 4.63.

Notable Days

  • 2014-04-10: Highest Volume — 424 contracts
  • 2014-04-10: Largest IV spike — 26.5% change
  • 2014-04-11: Highest IV Rank — 76.0%
  • 2014-04-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.05$62.38$66.63$66.52$62.80
Max Pain$64.76$60.00$65.00$60.00$65.00
ATM IV23.7%18.5%32.0%20.1%25.0%
Expected Move7.0%5.3%9.2%5.8%7.2%
HV 20d23.0%16.0%28.2%16.7%23.7%
HV 60d22.8%20.4%24.6%21.5%20.4%
IV Rank43.3%17.8%76.0%24.7%60.5%
IV Percentile40.0%0.4%96.4%1.6%51.6%
Term Structure-1.1%-8.8%5.0%3.8%-1.1%
VWIV25.5%19.7%28.8%20.1%23.9%
Skew 25d3.9%0.8%9.0%3.1%2.5%
Skew 10d13.7%3.0%51.2%8.5%3.0%
Call IV 25d23.3%18.8%26.8%18.8%23.5%
Put IV 25d27.2%20.4%31.8%21.9%26.1%
Bid-Ask Spread %93.2084.19100.1794.8196.72
Gamma HHI0.330.260.380.380.36
Net GEX92.7K43.5K130.4K119.1K130.4K
Net DEX-1.3M-2.6M-535.9K-2.5M-1.1M
Net VEX-16.1K-19.3K-13.2K-13.9K-19.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.630.0062.000.0062.00
Total Volume64.09524246063
Total OI1,825.2381,6192,0931,6192,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$66.52$60.0020.1%5.8%16.7%24.7%20.1%3.1%3.8%119.1K-2.5M-13.9K0.0094.81N/AN/A060858761
2014-04-02$66.60$65.0019.8%5.7%16.2%23.5%0.0%1.6%4.4%96.6K-2.4M-14.7K0.0098.32N/AN/A30858805
2014-04-03$66.63$65.0018.5%5.3%16.0%17.8%19.7%1.8%5.0%106.4K-2.6M-13.8K0.0096.25N/AN/A60861805
2014-04-04$65.65$65.0019.5%6.8%17.4%22.1%25.4%1.7%-0.9%106.2K-2.2M-13.7K0.0090.81N/AN/A140867805
2014-04-07$64.23$65.0019.1%7.0%19.7%20.5%24.5%2.3%-0.7%99.4K-1.5M-13.8K0.4784.19N/AN/A3215867805
2014-04-08$64.65$65.0018.9%7.0%19.7%19.9%0.0%2.7%-1.4%107.8K-1.6M-13.8K0.0084.38N/AN/A05866815
2014-04-09$66.44$65.0020.5%7.0%21.4%26.5%28.4%3.0%-1.2%116.5K-2.5M-13.7K0.0086.85N/AN/A012866810
2014-04-10$63.62$65.0025.9%7.4%26.9%49.9%27.4%4.0%-0.7%78.8K-1.1M-13.2K0.9689.01N/AN/A216208866812
2014-04-11$62.38$65.0032.0%9.2%28.1%76.0%27.2%4.4%-8.8%43.5K-535.9K-17.1K0.0088.78N/AN/A0251,017940
2014-04-14$63.33$65.0027.0%7.7%28.2%54.6%0.0%4.7%-2.4%78.0K-907.0K-17.2K0.1394.38N/AN/A3241,017937
2014-04-15$62.95$65.0026.1%7.5%27.5%50.8%26.0%4.9%-1.8%65.4K-613.8K-16.3K0.0094.06N/AN/A0101,009939
2014-04-16$63.46$65.0026.5%7.6%27.5%52.3%0.0%3.5%-1.9%85.8K-796.6K-16.1K0.0089.92N/AN/A20976937
2014-04-17$63.58$65.0026.2%7.5%26.3%51.1%26.8%9.0%-1.4%98.1K-867.6K-15.8K0.3296.66N/AN/A14346977937
2014-04-21$63.54$65.0027.6%7.9%24.3%60.9%28.8%7.1%-4.1%63.2K-938.8K-16.6K5.2596.04N/AN/A421903809
2014-04-22$63.29$65.0028.0%8.0%24.0%62.7%27.9%8.2%-3.7%62.2K-836.6K-17.0K0.1095.66N/AN/A10210906829
2014-04-23$63.65$65.0026.6%7.6%24.1%59.0%0.0%7.8%-2.9%76.2K-968.2K-18.5K0.0094.51N/AN/A8601,006839
2014-04-24$63.03$65.0023.9%6.9%24.0%46.1%0.0%1.0%-1.8%95.4K-843.6K-18.2K0.0098.65N/AN/A2001,092839
2014-04-25$62.90$65.0024.1%6.9%24.0%55.4%23.9%2.9%-0.2%95.8K-902.6K-18.7K0.2197.62N/AN/A87181,112839
2014-04-28$62.55$65.0019.8%5.7%23.6%31.1%0.0%5.5%0.7%101.5K-786.1K-18.7K0.0089.34N/AN/A0321,169857
2014-04-29$63.17$65.0022.2%6.4%23.9%44.3%0.0%0.8%-1.7%119.9K-1.2M-18.6K0.01100.17N/AN/A6911,169855
2014-04-30$62.80$65.0025.0%7.2%23.7%60.5%0.0%2.5%-1.1%130.4K-1.1M-19.3K62.0096.72N/AN/A1621,238855