CRS Options History — July 2014

In July 2014, CRS traded between $54.14 and $64.32. ATM implied volatility averaged 23.3%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.5% (HV 20d: 17.8%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 5.09.

Notable Days

  • 2014-07-28: Highest Volume — 198 contracts
  • 2014-07-10: Largest IV spike — 17.1% change
  • 2014-07-14: Highest IV Rank — 57.5%
  • 2014-07-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.19$54.14$64.32$63.88$54.14
Max Pain$63.24$55.00$65.00$65.00$55.00
ATM IV23.3%18.6%26.3%19.4%21.1%
Expected Move6.7%5.3%7.5%5.6%6.5%
HV 20d17.8%14.7%21.6%14.7%21.6%
HV 60d16.6%15.4%19.1%18.9%19.1%
IV Rank35.4%1.1%57.5%6.7%19.7%
IV Percentile40.3%1.2%76.6%2.8%14.7%
Term Structure-0.9%-4.9%3.9%3.1%-0.0%
VWIV24.8%15.8%36.2%17.9%36.2%
Skew 25d5.8%-2.3%57.5%-2.3%-0.8%
Skew 10d11.6%-2.2%94.1%-2.2%-0.8%
Call IV 25d23.4%17.7%29.5%18.4%20.4%
Put IV 25d29.2%16.1%81.5%16.1%19.7%
Bid-Ask Spread %86.6260.62110.5697.2495.65
Gamma HHI0.360.250.640.320.35
Net GEX-63.7K-295.4K65.5K45.9K-71.7K
Net DEX1.5M-479.7K3.5M-206.5K3.5M
Net VEX-12.3K-15.9K-7.6K-15.5K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.090.0047.000.5847.00
Total Volume51.40921989548
Total OI2,110.4551,8452,2502,0962,246

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$63.88$65.0019.4%5.6%14.7%6.7%17.9%-2.3%3.1%45.9K-206.5K-15.5K0.5897.24N/AN/A60359021,194
2014-07-02$63.62$65.0018.6%5.3%14.8%1.3%15.8%2.7%3.7%40.6K-162.3K-15.9K0.2096.15N/AN/A2049171,186
2014-07-03$64.32$65.0018.6%5.3%15.2%1.1%26.0%5.6%3.9%65.5K-479.7K-14.9K2.3695.67N/AN/A11269191,182
2014-07-07$62.91$65.0020.8%6.9%17.4%17.0%24.6%1.8%-2.0%13.4K336.5K-14.7K0.1481.97N/AN/A90139301,198
2014-07-08$62.00$65.0022.3%7.4%18.2%28.5%24.3%3.5%-1.5%-20.5K766.5K-14.6K0.6782.88N/AN/A27189861,211
2014-07-09$61.47$65.0022.0%7.3%18.4%25.9%0.0%3.8%-1.2%-56.8K1.2M-15.5K0.0084.81N/AN/A0149831,224
2014-07-10$60.94$65.0025.7%7.4%18.6%53.6%25.4%3.6%-1.9%-92.4K1.6M-14.0K3.2589.44N/AN/A4139831,231
2014-07-11$60.77$65.0025.3%7.3%18.0%50.5%25.1%5.3%-1.6%-107.0K1.7M-13.9K0.0090.88N/AN/A029861,241
2014-07-14$60.95$65.0026.3%7.5%17.9%57.5%26.2%2.1%-1.8%-112.4K1.8M-14.5K0.0089.62N/AN/A209861,240
2014-07-15$60.66$60.0025.8%7.4%17.9%54.2%0.0%2.8%-2.3%-118.1K1.7M-12.7K0.2291.55N/AN/A54129871,240
2014-07-16$60.72$60.0024.9%7.1%17.6%47.6%25.1%1.3%-0.8%-133.6K1.6M-13.3K20.0092.23N/AN/A2401,0121,238
2014-07-17$59.62$65.0025.3%7.2%17.5%50.3%24.8%1.6%-1.4%-135.9K2.2M-11.8K3.0095.08N/AN/A269701,204
2014-07-18$59.99$65.0025.7%7.4%17.7%53.7%0.0%0.8%-4.9%-295.4K2.3M-10.3K20.0092.66N/AN/A1209701,204
2014-07-21$59.60$0.0024.6%6.9%17.7%45.4%0.0%10.0%-1.5%-49.9K1.5M-11.3K0.11110.56N/AN/A7288041,041
2014-07-22$59.63$0.0024.3%6.7%17.7%43.1%0.0%-2.2%-1.1%-32.7K1.4M-11.7K0.0760.62N/AN/A4038651,049
2014-07-23$58.84$0.0023.8%6.8%17.6%39.6%0.0%1.4%-1.7%-54.1K1.8M-10.7K0.0061.82N/AN/A4508651,052
2014-07-24$59.32$0.0024.7%6.6%17.2%46.3%0.0%9.2%-1.9%-43.8K1.7M-11.0K0.6764.79N/AN/A18128901,052
2014-07-25$59.66$0.0024.7%6.2%17.2%45.9%26.5%13.0%-1.7%-38.7K1.5M-10.6K0.4785.20N/AN/A1998901,053
2014-07-28$59.24$65.0023.8%6.6%17.1%39.0%23.0%7.0%-0.3%-43.8K1.7M-10.6K0.9267.02N/AN/A103958941,062
2014-07-29$56.68$60.0023.1%6.6%20.7%34.2%0.0%-0.2%-2.9%-86.3K3.0M-8.4K0.4085.40N/AN/A77319821,156
2014-07-30$55.12$60.0021.0%6.1%21.3%18.6%26.1%57.5%-0.3%-74.9K3.3M-7.6K1.6894.29N/AN/A28471,0421,163
2014-07-31$54.14$55.0021.1%6.5%21.6%19.7%36.2%-0.8%-0.0%-71.7K3.5M-7.9K47.0095.65N/AN/A1471,0661,180