CRS Options History — October 2014

In October 2014, CRS traded between $42.35 and $50.00. ATM implied volatility averaged 29.1%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 3.9% (HV 20d: 33.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 2.31.

Notable Days

  • 2014-10-23: Highest Volume — 935 contracts
  • 2014-10-13: Largest IV spike — 70.6% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-14: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.25$42.35$50.00$43.95$50.00
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV29.1%16.8%58.2%26.1%24.8%
Expected Move7.6%6.7%8.7%7.2%7.6%
HV 20d33.0%22.3%53.8%25.1%53.8%
HV 60d25.9%21.4%36.5%21.4%36.5%
IV Rank41.5%0.7%100.0%54.1%19.6%
IV Percentile76.3%0.4%100.0%80.2%70.2%
Term Structure-0.2%-3.1%5.4%-0.4%0.3%
VWIV25.6%21.1%30.9%25.1%25.9%
Skew 25d3.9%-1.4%11.8%4.6%10.5%
Skew 10d4.9%-8.1%19.6%7.0%16.9%
Call IV 25d27.8%19.2%33.4%25.7%20.2%
Put IV 25d31.6%17.8%44.7%30.3%30.7%
Bid-Ask Spread %82.8272.5198.8490.1573.55
Gamma HHI0.270.220.420.250.31
Net GEX-20.9K-50.8K48.8K-27.4K48.8K
Net DEX2.5M-307.1K4.1M3.3M-307.1K
Net VEX-12.4K-16.4K-9.3K-9.3K-15.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0024.003.861.40
Total Volume432.8263935204588
Total OI2,861.6092,3983,1122,3983,049

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$43.95$55.0026.1%7.2%25.1%54.1%25.1%4.6%-0.4%-27.4K3.3M-9.3K3.8690.15N/AN/A421621,1841,214
2014-10-02$44.21$55.0024.4%7.0%25.6%44.5%24.4%-1.4%1.5%-44.0K3.5M-9.9K0.2479.58N/AN/A3381,2251,337
2014-10-03$43.80$55.0016.8%7.0%25.2%0.7%23.1%-1.4%5.4%-40.3K3.5M-10.0K24.0093.48N/AN/A51201,2511,344
2014-10-06$43.97$55.0025.5%7.2%25.3%50.8%25.2%2.0%-0.6%-46.1K3.5M-10.7K1.3675.62N/AN/A11151,2561,462
2014-10-07$43.85$55.0025.1%7.3%25.4%48.4%25.7%2.2%-1.7%-46.3K3.7M-10.0K1.4977.76N/AN/A751121,2651,462
2014-10-08$43.84$55.0025.5%7.4%25.6%51.1%26.4%5.1%-0.6%-50.2K3.8M-11.7K1.2878.72N/AN/A2873671,3261,558
2014-10-09$43.19$55.0028.2%7.4%23.6%66.5%26.2%0.6%-2.6%-48.8K3.9M-11.6K1.5472.51N/AN/A2413711,3341,592
2014-10-10$42.47$55.0024.8%7.9%23.0%46.9%30.8%-1.0%4.1%-50.8K4.1M-11.7K1.2376.96N/AN/A2412961,3601,639
2014-10-13$42.35$55.0042.3%8.2%23.1%100.0%25.5%4.5%-0.0%-45.8K4.1M-11.6K1.3677.58N/AN/A2162931,3701,641
2014-10-14$43.03$55.0051.5%8.7%23.0%100.0%30.9%0.9%2.9%-44.4K3.8M-12.8K1.0883.33N/AN/A2692901,3801,645
2014-10-15$43.35$55.0058.2%8.0%23.4%100.0%26.3%11.8%-3.1%-42.4K4.0M-11.4K1.0592.02N/AN/A2883031,4541,658
2014-10-16$43.45$55.0031.6%8.3%23.6%36.1%22.2%9.9%-2.6%-32.6K3.7M-11.8K0.0083.10N/AN/A301,4451,610
2014-10-17$43.81$55.0030.3%7.7%24.3%33.0%0.0%3.2%-2.5%-29.6K3.7M-11.5K0.0080.03N/AN/A0201,4481,610
2014-10-20$44.26$55.0029.3%7.8%24.8%30.5%26.4%5.5%-1.4%-32.4K2.5M-11.4K1.7288.12N/AN/A1522621,2651,358
2014-10-21$45.22$55.0029.2%7.5%26.6%30.2%26.5%5.6%-2.3%-29.9K2.3M-11.4K1.6486.35N/AN/A1582591,2651,359
2014-10-22$43.96$55.0029.9%7.4%22.3%31.9%22.7%1.8%-2.9%-36.3K2.6M-10.6K1.6781.68N/AN/A2484141,2481,359
2014-10-23$49.99$55.0025.9%8.0%51.7%22.3%27.3%4.8%-0.7%9.7K-107.5K-14.6K0.9187.46N/AN/A4894461,3251,536
2014-10-24$48.51$55.0026.1%8.4%53.0%22.8%24.5%2.5%0.0%28.7K362.7K-16.4K0.8988.35N/AN/A3282921,4681,485
2014-10-27$48.30$55.0025.8%7.7%53.0%22.1%24.6%2.4%-0.3%14.4K713.5K-15.4K0.7681.05N/AN/A3412591,4571,538
2014-10-28$49.35$55.0024.8%7.1%52.3%19.8%24.3%9.7%0.2%43.3K48.1K-15.3K0.9176.39N/AN/A2982701,5001,541
2014-10-29$47.93$55.0022.7%8.0%52.5%14.5%27.7%2.5%1.7%14.1K782.0K-15.7K1.1698.84N/AN/A2472871,4651,532
2014-10-30$48.00$55.0020.6%6.7%52.5%9.5%21.1%2.9%1.8%7.6K971.4K-14.4K1.2082.22N/AN/A2493001,4481,549
2014-10-31$50.00$55.0024.8%7.6%53.8%19.6%25.9%10.5%0.3%48.8K-307.1K-15.6K1.4073.55N/AN/A2453431,4721,577