CRS Options History — June 2014

In June 2014, CRS traded between $61.42 and $63.52. ATM implied volatility averaged 22.5%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 9.2% (HV 20d: 13.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.63.

Notable Days

  • 2014-06-02: Highest Volume — 259 contracts
  • 2014-06-12: Largest IV drop — 20.9% change
  • 2014-06-11: Highest IV Rank — 64.2%
  • 2014-06-04: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.48$61.42$63.52$62.40$63.25
Max Pain$62.38$60.00$65.00$65.00$65.00
ATM IV22.5%18.6%27.2%25.2%19.9%
Expected Move6.3%5.3%7.3%7.2%5.7%
HV 20d13.2%9.8%17.9%17.7%14.9%
HV 60d19.1%18.1%20.1%19.9%19.0%
IV Rank29.8%0.8%64.2%49.9%10.2%
IV Percentile28.3%0.8%82.1%55.2%4.8%
Term Structure1.2%-3.1%7.8%-1.1%2.5%
VWIV22.6%19.6%26.0%22.4%22.9%
Skew 25d3.2%-0.7%6.0%2.4%5.0%
Skew 10d6.0%-4.0%24.3%-3.0%24.3%
Call IV 25d20.3%17.3%23.2%23.2%19.1%
Put IV 25d23.4%20.4%25.6%25.6%24.1%
Bid-Ask Spread %93.8687.3698.9288.3394.86
Gamma HHI0.360.280.490.370.31
Net GEX67.5K-35.3K267.8K143.5K10.5K
Net DEX305.8K-478.1K1.2M-478.1K295.1K
Net VEX-16.6K-18.0K-15.2K-16.2K-15.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.018.820.011.75
Total Volume64.048025925922
Total OI2,523.192,0132,9302,4002,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$62.40$65.0025.2%7.2%17.7%49.9%0.0%2.4%-1.1%143.5K-478.1K-16.2K0.0188.33N/AN/A25631,3551,045
2014-06-03$61.75$65.0022.8%6.5%17.9%31.7%22.4%2.1%1.6%100.2K13.4K-16.0K0.4690.84N/AN/A52241,2921,048
2014-06-04$61.95$65.0025.6%7.3%17.8%52.5%22.0%2.0%-3.1%95.9K-25.6K-16.3K8.8294.18N/AN/A171501,3341,072
2014-06-05$62.11$65.0024.9%7.2%17.7%47.9%25.1%2.8%-2.1%87.1K236.6K-17.2K1.3094.80N/AN/A10131,3321,222
2014-06-06$62.27$60.0025.3%6.3%17.2%50.6%20.4%4.2%1.1%97.1K166.4K-17.4K0.5792.55N/AN/A23131,3301,233
2014-06-09$62.11$60.0025.4%6.6%17.2%50.8%22.3%3.4%-0.4%77.3K220.4K-17.5K0.6187.36N/AN/A38231,3401,236
2014-06-10$62.30$60.0025.9%6.6%11.1%55.2%23.7%3.8%-1.2%96.2K102.5K-16.6K0.7388.77N/AN/A22161,3681,259
2014-06-11$62.25$60.0027.2%6.5%10.6%64.2%22.8%5.0%0.2%87.5K234.2K-15.9K0.0097.68N/AN/A01771,3881,275
2014-06-12$61.42$60.0021.5%6.2%11.3%22.1%0.0%-0.7%2.6%-35.3K1.2M-16.9K0.0097.23N/AN/A0311,3881,451
2014-06-13$61.83$60.0022.6%6.5%11.7%30.4%0.0%3.2%0.3%-16.8K1.1M-18.0K0.0093.99N/AN/A0251,3881,476
2014-06-16$61.88$60.0022.5%6.5%11.3%29.9%22.0%2.5%-0.6%-29.3K1.1M-16.1K0.0093.31N/AN/A0291,3881,495
2014-06-17$62.43$60.0023.6%6.8%11.8%37.8%25.4%2.2%-0.2%16.5K699.6K-16.9K3.6795.76N/AN/A9331,3881,517
2014-06-18$63.32$60.0021.9%6.3%11.0%25.0%26.0%5.8%1.5%178.3K26.6K-17.3K4.0094.66N/AN/A281,3901,530
2014-06-19$63.52$60.0019.4%5.6%10.9%6.7%24.1%6.0%3.0%267.8K-350.3K-17.2K0.2194.81N/AN/A2961,3901,536
2014-06-20$63.50$60.0019.4%5.6%10.0%7.0%19.6%5.0%2.9%230.8K-122.1K-16.3K1.3198.92N/AN/A52681,3891,541
2014-06-23$63.51$65.0020.2%5.8%9.8%12.7%20.3%4.3%1.9%11.4K132.3K-16.0K0.4192.17N/AN/A105438641,149
2014-06-24$62.55$65.0019.4%5.6%11.2%6.7%19.7%1.4%2.2%4.3K412.8K-16.7K0.1493.87N/AN/A2239571,181
2014-06-25$63.28$65.0018.6%5.3%11.8%0.8%0.0%4.2%3.4%27.8K208.9K-16.8K0.5497.02N/AN/A1379781,184
2014-06-26$62.59$65.0019.9%5.7%12.5%10.6%0.0%0.7%7.8%-7.2K375.3K-16.3K0.0096.84N/AN/A019011,191
2014-06-27$61.95$65.0021.4%6.1%12.9%22.0%0.0%1.4%2.4%-26.7K844.7K-15.2K0.0093.18N/AN/A009011,192
2014-06-30$63.25$65.0019.9%5.7%14.9%10.2%22.9%5.0%2.5%10.5K295.1K-15.3K1.7594.86N/AN/A8149011,192