CRS Options History — May 2014

In May 2014, CRS traded between $62.49 and $66.64. ATM implied volatility averaged 21.4%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.7% (HV 20d: 18.7%). 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 14 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2014-05-06: Highest Volume — 160 contracts
  • 2014-05-07: Largest IV spike — 17.1% change
  • 2014-05-05: Highest IV Rank — 45.6%
  • 2014-05-30: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.93$62.49$66.64$63.19$62.49
Max Pain$64.05$60.00$65.00$65.00$65.00
ATM IV21.4%18.6%23.9%20.3%23.9%
Expected Move6.2%5.8%6.9%5.8%6.9%
HV 20d18.7%13.2%24.0%23.9%17.8%
HV 60d20.8%20.0%21.5%20.4%20.0%
IV Rank28.9%15.6%45.6%34.1%40.1%
IV Percentile12.3%0.8%39.7%5.6%39.7%
Term Structure0.7%-1.3%2.2%0.1%-0.6%
VWIV21.9%20.5%23.2%23.0%23.0%
Skew 25d2.4%0.3%4.6%2.3%2.3%
Skew 10d5.4%-6.7%23.4%23.4%-5.3%
Call IV 25d21.4%19.6%23.0%22.4%21.6%
Put IV 25d23.9%22.5%25.2%24.7%23.8%
Bid-Ask Spread %85.8576.8997.1397.1394.36
Gamma HHI0.370.330.440.360.36
Net GEX165.1K124.9K228.4K134.0K139.0K
Net DEX-1.4M-3.5M-400.4K-1.2M-400.4K
Net VEX-19.2K-20.7K-16.8K-19.7K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.007.892.211.33
Total Volume42.190160457
Total OI2,341.0952,1542,4492,1542,396

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$63.19$65.0020.3%5.8%23.9%34.1%0.0%2.3%0.1%134.0K-1.2M-19.7K2.2197.13N/AN/A14311,238916
2014-05-02$63.52$65.0021.9%6.3%24.0%43.1%0.0%2.6%-0.1%160.2K-1.4M-19.7K0.3388.97N/AN/A36121,252945
2014-05-05$63.80$60.0022.4%6.3%23.7%45.6%23.0%3.9%-0.0%156.6K-1.4M-19.7K0.0082.52N/AN/A2201,283956
2014-05-06$63.31$60.0018.6%6.2%22.6%24.0%23.2%1.3%1.5%156.1K-1.2M-19.5K7.8980.67N/AN/A181421,293956
2014-05-07$63.70$60.0021.7%6.3%22.5%42.0%0.0%3.3%0.7%124.9K-1.3M-20.3K0.0081.94N/AN/A0331,3001,086
2014-05-08$64.38$60.0020.9%6.2%20.5%37.3%21.8%2.5%1.1%160.8K-1.8M-20.7K0.3584.40N/AN/A77271,3001,102
2014-05-09$64.43$65.0019.6%6.0%13.2%30.1%22.4%3.5%1.6%172.8K-1.6M-20.5K0.4683.41N/AN/A28131,2801,127
2014-05-12$66.64$65.0022.1%6.3%15.7%43.8%21.2%4.6%0.9%199.7K-3.5M-20.6K0.2482.36N/AN/A2151,2881,123
2014-05-13$65.81$65.0023.1%6.2%16.0%34.0%22.0%3.2%1.7%213.3K-2.9M-20.2K2.5585.53N/AN/A11281,2951,128
2014-05-14$65.48$65.0021.9%6.1%15.9%25.3%21.4%2.3%1.5%219.2K-2.7M-20.2K0.0089.55N/AN/A1201,3021,147
2014-05-15$65.00$65.0021.2%6.1%16.1%20.1%21.7%3.3%2.1%228.4K-2.0M-19.8K0.7485.22N/AN/A27201,2881,133
2014-05-16$64.31$65.0021.2%6.1%16.6%19.8%21.1%1.7%2.2%172.1K-1.1M-19.1K0.0087.15N/AN/A0441,2721,138
2014-05-19$64.46$65.0020.9%6.0%16.6%18.0%20.5%3.9%0.8%157.3K-1.6M-18.4K0.0979.88N/AN/A7671,1701,035
2014-05-20$63.19$65.0021.0%6.0%18.1%19.0%22.1%1.9%-0.1%140.6K-878.9K-18.3K0.4783.44N/AN/A1571,2371,040
2014-05-21$62.86$65.0021.3%6.1%18.1%20.8%22.6%1.5%-0.3%129.6K-715.6K-18.2K0.4876.89N/AN/A25121,2521,033
2014-05-22$63.63$65.0020.6%5.9%18.3%15.6%21.2%2.9%1.2%174.8K-1.2M-18.6K0.0384.90N/AN/A7921,2701,041
2014-05-23$63.32$65.0020.6%5.9%18.4%15.7%0.0%1.3%1.4%161.1K-1.0M-18.3K0.0087.58N/AN/A001,3341,041
2014-05-27$63.30$65.0021.5%6.2%18.2%22.4%21.5%1.0%0.3%162.6K-1.0M-17.9K0.0088.38N/AN/A3101,3341,041
2014-05-28$62.95$65.0021.8%6.3%18.0%24.9%21.7%1.8%-0.2%157.4K-856.0K-18.5K0.0090.67N/AN/A301,3531,041
2014-05-29$62.75$65.0022.6%6.5%17.9%30.7%23.0%0.3%-1.3%146.5K-594.7K-17.5K0.0087.81N/AN/A101,3561,041
2014-05-30$62.49$65.0023.9%6.9%17.8%40.1%0.0%2.3%-0.6%139.0K-400.4K-16.8K1.3394.36N/AN/A341,3551,041