CRS Options History — November 2014

In November 2014, CRS traded between $49.73 and $52.91. ATM implied volatility averaged 25.2%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 22.4% (HV 20d: 47.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-11-03: Highest Volume — 683 contracts
  • 2014-11-26: Largest IV spike — 63.5% change
  • 2014-11-07: Highest IV Rank — 39.2%
  • 2014-11-25: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.29$49.73$52.91$50.41$50.42
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV25.2%20.0%32.9%25.7%22.4%
Expected Move7.5%7.3%7.7%7.6%7.6%
HV 20d47.6%27.8%57.1%53.8%30.9%
HV 60d37.8%36.4%38.9%36.4%38.9%
IV Rank20.7%8.1%39.2%21.9%13.8%
IV Percentile68.0%15.1%98.4%80.6%38.5%
Term Structure0.1%-17.3%8.7%-0.4%0.5%
VWIV26.5%24.8%29.1%27.0%25.6%
Skew 25d3.6%-4.7%11.0%10.3%1.5%
Skew 10d9.7%-9.4%18.1%16.8%1.9%
Call IV 25d23.1%19.5%26.9%20.2%19.9%
Put IV 25d26.7%21.4%31.0%30.5%21.4%
Bid-Ask Spread %75.1565.3789.4573.7689.45
Gamma HHI0.410.320.580.320.34
Net GEX51.4K28.5K72.9K40.8K46.9K
Net DEX-1.2M-2.4M-108.2K-542.4K-325.3K
Net VEX-14.1K-16.3K-10.7K-15.7K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.085.001.170.71
Total Volume399.895068368324
Total OI3,1162,6783,3493,0982,682

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$50.41$55.0025.7%7.6%53.8%21.9%27.0%10.3%-0.4%40.8K-542.4K-15.7K1.1773.76N/AN/A3153681,4841,614
2014-11-04$49.73$55.0025.1%7.5%54.2%20.3%26.4%8.1%-0.1%28.5K-108.2K-16.2K0.7768.63N/AN/A3552741,5611,706
2014-11-05$50.36$55.0025.2%7.4%54.2%20.7%26.7%11.0%-0.8%36.3K-570.8K-16.3K0.8969.87N/AN/A3002681,5671,718
2014-11-06$50.54$55.0024.2%7.4%53.6%18.2%25.6%10.5%0.4%34.9K-656.6K-15.7K0.8973.67N/AN/A3022701,5601,723
2014-11-07$52.91$55.0032.9%7.3%54.4%39.2%26.3%0.4%1.7%72.9K-2.4M-15.0K1.1372.74N/AN/A2262561,5771,723
2014-11-10$51.42$55.0026.4%7.4%56.0%23.4%25.7%2.5%-0.1%62.2K-1.5M-16.1K1.1472.13N/AN/A2262581,6331,716
2014-11-11$51.47$55.0025.8%7.6%56.0%22.0%25.9%3.7%0.4%56.0K-1.6M-15.2K1.0671.04N/AN/A2462611,5671,689
2014-11-12$52.05$55.0021.3%7.5%56.0%11.3%27.1%4.1%-0.2%62.1K-1.9M-15.1K1.0478.47N/AN/A2462551,5931,693
2014-11-13$51.70$55.0025.4%7.4%56.3%21.2%25.2%3.4%0.6%71.5K-1.9M-15.1K0.7165.37N/AN/A3592551,5931,693
2014-11-14$51.64$55.0024.9%7.4%56.4%19.9%24.8%3.2%0.6%49.5K-1.5M-14.3K5.0073.81N/AN/A2101,4841,693
2014-11-17$50.71$55.0024.5%7.3%57.1%18.9%26.1%3.6%1.1%48.1K-942.2K-13.6K0.7566.49N/AN/A2992251,4961,693
2014-11-18$51.01$55.0024.5%7.3%56.9%19.0%27.3%2.8%0.9%45.5K-1.2M-13.5K0.7576.51N/AN/A2992251,4971,693
2014-11-19$50.43$55.0024.5%7.5%55.8%18.8%29.1%-4.7%2.0%46.6K-750.3K-13.0K2.2089.29N/AN/A5111,4851,693
2014-11-20$51.36$55.0024.3%7.5%33.0%18.6%28.6%2.8%2.1%53.4K-1.5M-12.5K0.6779.66N/AN/A3342251,4851,679
2014-11-21$51.88$55.0024.8%7.6%30.9%19.8%25.9%2.2%1.5%55.5K-1.8M-12.8K0.6968.60N/AN/A3272251,4871,679
2014-11-24$52.02$55.0024.9%7.6%30.8%19.8%0.0%-0.1%0.6%50.8K-1.2M-12.1K0.0874.01N/AN/A1311,2911,387
2014-11-25$52.35$55.0020.0%7.7%30.1%8.1%25.6%-0.7%8.7%65.0K-1.4M-11.9K0.9981.05N/AN/A1671661,3001,388
2014-11-26$52.15$55.0032.6%7.7%27.8%38.6%0.0%4.3%-17.3%50.5K-1.2M-12.8K0.0083.29N/AN/A001,2921,390
2014-11-28$50.42$55.0022.4%7.6%30.9%13.8%0.0%1.5%0.5%46.9K-325.3K-10.7K0.7189.45N/AN/A14101,2921,390