CRS Options History — September 2014

In September 2014, CRS traded between $45.15 and $54.56. ATM implied volatility averaged 21.8%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.5% (HV 20d: 18.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.54.

Notable Days

  • 2014-09-24: Highest Volume — 165 contracts
  • 2014-09-10: Largest IV spike — 84.3% change
  • 2014-09-10: Highest IV Rank — 100.0%
  • 2014-09-24: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.00$45.15$54.56$54.40$45.15
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV21.8%16.6%34.1%19.3%24.0%
Expected Move6.4%5.9%7.5%6.2%6.7%
HV 20d18.2%13.0%24.7%14.7%24.7%
HV 60d19.6%18.3%21.3%18.3%21.1%
IV Rank28.7%0.0%100.0%11.7%42.2%
IV Percentile31.6%0.0%100.0%7.1%61.9%
Term Structure1.1%-14.0%8.8%1.1%0.5%
VWIV22.6%17.3%33.5%22.1%30.7%
Skew 25d1.1%-1.7%5.7%-1.0%3.8%
Skew 10d2.9%-3.4%23.9%-1.2%6.0%
Call IV 25d21.0%18.5%29.2%18.8%21.5%
Put IV 25d22.1%17.8%29.2%17.8%25.3%
Bid-Ask Spread %86.8076.0397.0491.7089.77
Gamma HHI0.410.250.540.310.25
Net GEX-30.9K-92.9K16.7K-13.3K-23.9K
Net DEX2.4M1.3M3.4M1.9M2.9M
Net VEX-11.2K-12.9K-9.3K-11.8K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.540.0016.331.131.78
Total Volume75.19816534100
Total OI2,462.2381,7362,8832,5542,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$54.40$55.0019.3%6.2%14.7%11.7%22.1%-1.0%1.1%-13.3K1.9M-11.8K1.1391.70N/AN/A16181,3021,252
2014-09-03$54.47$55.0019.6%6.2%13.9%13.9%21.6%-0.9%0.4%-9.5K1.9M-11.8K1.8279.88N/AN/A11201,3161,261
2014-09-04$54.46$55.0018.8%6.3%13.5%8.7%19.8%-0.6%1.1%-2.4K1.9M-11.9K0.0087.58N/AN/A2201,3251,257
2014-09-05$54.56$55.0017.8%6.5%13.0%1.5%20.6%3.6%1.6%2631.9M-11.4K0.0076.03N/AN/A801,3461,257
2014-09-08$53.36$55.0016.6%6.1%14.3%0.0%21.3%1.4%1.4%-14.6K2.2M-11.6K0.1479.81N/AN/A4461,3511,257
2014-09-09$53.03$55.0018.5%6.1%14.5%12.1%21.1%2.2%0.9%4.7K2.3M-11.2K16.3389.88N/AN/A6981,3931,257
2014-09-10$52.40$55.0034.1%6.3%14.6%100.0%21.0%3.2%-14.0%-24.5K2.6M-10.9K0.0085.22N/AN/A2501,3931,271
2014-09-11$53.35$55.0019.5%5.9%15.2%16.3%22.8%5.7%1.1%16.7K2.3M-11.0K6.0577.54N/AN/A201211,4181,262
2014-09-12$51.96$55.0023.7%6.3%17.6%40.7%21.8%3.3%-1.7%-23.8K2.6M-11.5K0.0076.90N/AN/A0741,4381,282
2014-09-15$51.18$55.0021.7%6.1%17.9%29.1%17.3%-1.7%1.9%-72.4K3.1M-11.6K2.3183.35N/AN/A35811,4381,336
2014-09-16$52.02$55.0022.3%6.6%18.1%32.2%0.0%4.5%0.7%-29.6K2.9M-12.2K2.3386.01N/AN/A15351,4481,390
2014-09-17$52.19$55.0018.6%6.5%18.1%11.3%0.0%-0.3%8.8%-46.2K2.7M-12.9K4.0090.76N/AN/A5201,4631,420
2014-09-18$51.41$55.0020.8%6.5%18.6%24.1%20.4%1.6%3.2%-81.8K3.0M-12.2K0.0084.96N/AN/A0301,4511,419
2014-09-19$50.86$55.0021.1%6.5%18.8%25.4%19.8%-1.2%1.8%-92.9K3.4M-11.3K4.4889.57N/AN/A271211,4511,424
2014-09-22$49.99$55.0020.7%6.6%19.5%23.1%0.0%-0.7%1.1%-45.7K1.3M-12.0K1.9491.42N/AN/A1835855881
2014-09-23$49.54$55.0020.9%6.8%19.4%24.4%0.0%-1.3%2.1%-54.9K1.5M-11.5K0.2094.79N/AN/A102867916
2014-09-24$47.10$55.0025.5%7.5%24.2%50.7%22.2%0.3%6.9%-44.3K2.2M-9.3K0.9989.95N/AN/A8382877916
2014-09-25$46.57$55.0023.0%6.6%24.2%36.4%21.9%0.2%2.5%-36.2K2.6M-9.4K0.5996.27N/AN/A8852955991
2014-09-26$46.69$55.0023.1%6.7%24.5%36.8%25.4%-0.2%3.3%-33.4K2.4M-9.8K0.3584.35N/AN/A98341,0431,035
2014-09-29$46.34$55.0027.5%6.5%23.9%62.5%33.5%0.1%-2.1%-21.9K2.5M-9.9K3.7697.04N/AN/A25941,1271,060
2014-09-30$45.15$55.0024.0%6.7%24.7%42.2%30.7%3.8%0.5%-23.9K2.9M-9.8K1.7889.77N/AN/A36641,1521,154