CRS Options History — August 2014

In August 2014, CRS traded between $52.80 and $55.11. ATM implied volatility averaged 20.6%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.4% (HV 20d: 21.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.06.

Notable Days

  • 2014-08-25: Highest Volume — 201 contracts
  • 2014-08-14: Largest IV drop — 25.5% change
  • 2014-08-13: Highest IV Rank — 67.2%
  • 2014-08-06: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.05$52.80$55.11$53.95$54.73
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV20.6%17.6%27.6%23.1%17.8%
Expected Move6.2%5.6%6.9%6.5%6.2%
HV 20d21.0%14.6%23.8%20.5%14.7%
HV 60d18.1%17.3%19.0%19.0%18.3%
IV Rank19.2%0.0%67.2%34.0%1.5%
IV Percentile19.3%0.0%91.3%36.5%0.4%
Term Structure0.7%-1.2%2.0%-1.2%2.0%
VWIV28.9%18.4%42.0%42.0%18.4%
Skew 25d1.6%-6.3%6.7%1.8%-0.1%
Skew 10d3.4%-10.8%13.1%-0.2%0.1%
Call IV 25d20.2%15.5%25.8%25.8%16.8%
Put IV 25d21.8%15.6%27.6%27.6%16.7%
Bid-Ask Spread %87.9864.04105.27100.9088.30
Gamma HHI0.350.280.440.340.30
Net GEX-64.8K-81.7K-14.2K-77.8K-14.2K
Net DEX3.0M1.9M3.7M3.7M1.9M
Net VEX-9.0K-12.5K-7.3K-7.5K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0013.500.580.14
Total Volume44.95202013816
Total OI2,361.2862,1442,5442,2932,544

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$53.95$55.0023.1%6.5%20.5%34.0%0.0%1.8%-1.2%-77.8K3.7M-7.5K0.58100.90N/AN/A24141,0661,227
2014-08-04$54.33$55.0022.0%6.4%20.5%25.8%42.0%3.7%1.5%-78.2K3.6M-8.3K1.4899.76N/AN/A21311,0531,240
2014-08-05$53.64$55.0023.2%6.1%20.5%35.0%34.7%2.5%-1.2%-75.4K3.7M-7.3K13.5094.78N/AN/A2271,0731,241
2014-08-06$53.26$55.0020.6%6.9%20.5%15.5%39.2%2.0%1.1%-76.3K3.5M-8.0K8.5080.98N/AN/A6511,0731,238
2014-08-07$52.80$55.0024.6%6.7%20.5%45.4%37.7%2.2%0.5%-78.4K3.7M-7.8K0.1182.64N/AN/A2731,0751,248
2014-08-08$53.69$55.0022.8%6.4%22.1%31.6%0.0%2.7%1.3%-80.2K3.6M-7.3K10.5080.75N/AN/A2211,1011,251
2014-08-11$53.62$55.0023.1%6.4%21.9%34.0%37.0%3.2%1.2%-77.7K3.6M-7.7K1.3364.04N/AN/A30401,1031,272
2014-08-12$53.06$55.0024.0%6.4%22.0%40.6%23.3%3.1%-0.9%-81.7K3.7M-7.4K9.7576.72N/AN/A4391,1331,303
2014-08-13$53.83$55.0027.6%6.6%23.1%67.2%31.5%3.3%0.8%-79.9K3.6M-8.9K1.1887.06N/AN/A11131,1351,321
2014-08-14$54.06$55.0020.5%6.6%22.9%15.4%23.0%3.0%2.0%-73.8K3.4M-7.6K0.0272.48N/AN/A5311,1371,291
2014-08-15$53.47$55.0017.6%6.7%22.6%0.0%29.2%2.3%0.1%-75.1K3.3M-8.9K1.0074.04N/AN/A661,1901,291
2014-08-18$54.28$55.0018.7%5.9%23.8%7.8%0.0%6.7%0.8%-80.8K2.9M-7.5K1.25105.27N/AN/A8109431,201
2014-08-19$54.44$55.0018.4%5.9%23.8%5.9%27.3%2.3%1.4%-78.5K2.9M-8.1K3.00105.08N/AN/A399511,205
2014-08-20$54.52$55.0017.8%5.8%23.7%1.7%20.3%5.4%0.7%-79.6K2.9M-8.4K0.3573.85N/AN/A108389491,212
2014-08-21$54.40$55.0018.5%5.6%23.3%6.4%19.5%-6.3%0.6%-63.9K2.6M-10.2K0.2394.83N/AN/A1331,0571,243
2014-08-22$54.27$55.0018.5%6.0%23.0%6.7%21.1%-5.1%0.6%-63.7K2.6M-10.2K6.0092.40N/AN/A2121,0701,246
2014-08-25$54.36$55.0018.5%5.6%23.1%6.5%0.0%-0.3%1.1%-60.7K2.7M-9.8K0.0094.80N/AN/A20101,0721,256
2014-08-26$55.11$55.0018.9%6.1%18.5%9.0%18.4%1.8%0.7%-28.7K2.0M-12.1K0.0092.90N/AN/A3401,2431,256
2014-08-27$54.87$55.0018.6%6.0%15.7%7.3%0.0%0.8%1.1%-20.6K1.9M-12.5K2.2492.18N/AN/A17381,2771,256
2014-08-28$54.42$55.0018.4%6.1%14.6%6.1%0.0%-1.3%1.0%-15.3K2.0M-11.9K0.0093.82N/AN/A001,2921,252
2014-08-29$54.73$55.0017.8%6.2%14.7%1.5%0.0%-0.1%2.0%-14.2K1.9M-11.7K0.1488.30N/AN/A1421,2921,252