CRS Options History — December 2014

In December 2014, CRS traded between $46.22 and $51.22. ATM implied volatility averaged 26.7%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 4.8% (HV 20d: 31.4%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.76.

Notable Days

  • 2014-12-15: Highest Volume — 667 contracts
  • 2014-12-26: Largest IV spike — 42.8% change
  • 2014-12-18: Highest IV Rank — 41.3%
  • 2014-12-18: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.68$46.22$51.22$49.21$49.25
Max Pain$52.50$45.00$55.00$55.00$45.00
ATM IV26.7%16.9%33.8%26.2%23.7%
Expected Move8.2%6.4%9.8%7.7%8.6%
HV 20d31.4%27.1%34.6%28.7%32.1%
HV 60d39.9%39.0%40.9%39.2%39.5%
IV Rank24.2%0.6%41.3%22.9%17.0%
IV Percentile77.1%0.8%98.4%85.3%53.6%
Term Structure1.4%-2.3%8.4%-1.2%6.0%
VWIV29.6%24.2%35.7%24.9%29.7%
Skew 25d4.6%-1.7%16.7%5.4%-1.7%
Skew 10d8.1%-4.2%25.3%9.1%-2.5%
Call IV 25d25.5%17.9%30.8%23.6%24.0%
Put IV 25d30.1%22.3%43.8%28.9%22.3%
Bid-Ask Spread %86.0273.54114.5576.0394.84
Gamma HHI0.330.280.420.310.28
Net GEX17.0K-29.1K54.8K24.4K17.7K
Net DEX311.8K-967.8K1.9M557.5K-130.8K
Net VEX-9.8K-12.6K-8.1K-10.4K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.0010.001.058.00
Total Volume345.409366735618
Total OI2,3311,2602,9162,7011,317

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$49.21$55.0026.2%7.7%28.7%22.9%24.9%5.4%-1.2%24.4K557.5K-10.4K1.0576.03N/AN/A1741821,3011,400
2014-12-02$49.12$55.0026.7%7.7%28.5%24.3%24.8%6.6%-1.3%20.9K530.7K-10.8K1.1077.09N/AN/A1741911,3031,411
2014-12-03$51.20$55.0026.4%8.1%31.9%23.5%27.2%11.5%0.6%42.6K-688.9K-10.8K0.7874.61N/AN/A2381861,3031,422
2014-12-04$51.17$55.0026.4%8.1%31.6%23.4%0.0%-1.7%0.2%53.4K-814.1K-11.6K0.0080.74N/AN/A301,3851,422
2014-12-05$51.22$55.0026.2%7.9%31.6%23.0%28.2%3.9%3.3%54.8K-967.8K-12.6K0.8279.30N/AN/A2492031,3851,422
2014-12-08$49.89$55.0026.9%7.9%28.1%24.8%28.3%1.6%1.1%46.9K-176.8K-11.2K0.8475.70N/AN/A2452071,3871,398
2014-12-09$50.68$55.0027.3%8.1%27.1%25.7%28.0%8.1%1.9%54.3K-723.0K-10.7K0.9173.54N/AN/A2272071,3871,368
2014-12-10$48.94$55.0022.9%8.3%29.7%15.0%24.2%2.0%1.1%48.6K-84.6K-11.2K0.9078.63N/AN/A2282051,4451,368
2014-12-11$48.11$55.0028.1%8.4%29.7%27.6%31.8%2.2%-1.9%35.4K438.8K-10.8K0.8792.15N/AN/A2352051,4431,369
2014-12-12$46.85$55.0032.1%8.7%30.7%37.4%31.1%3.2%-2.0%-4.3K1.4M-10.3K1.7686.58N/AN/A2384201,4531,377
2014-12-15$46.22$55.0033.4%9.0%30.8%40.5%28.2%5.8%-2.3%-29.1K1.9M-9.4K1.8074.53N/AN/A2384291,4531,463
2014-12-16$46.42$55.0032.0%9.5%30.7%37.0%35.7%5.5%1.2%-25.6K1.8M-9.4K0.9689.79N/AN/A2362271,4541,440
2014-12-17$47.89$55.0028.4%8.8%33.0%28.4%35.0%6.4%2.5%-10.8K883.2K-10.2K1.0089.59N/AN/A2302311,4551,442
2014-12-18$47.26$55.0033.8%9.8%33.1%41.3%31.5%3.7%-0.6%-18.1K1.3M-9.8K0.9976.82N/AN/A2302271,4311,454
2014-12-19$47.96$55.0026.8%8.5%32.8%24.6%31.8%4.7%2.5%-2.5K1.2M-9.0K0.7090.15N/AN/A1071,4301,454
2014-12-22$46.95$0.0025.1%7.6%33.0%20.4%0.0%1.7%1.1%8.6K198.1K-8.4K1.44114.55N/AN/A117169608652
2014-12-23$48.13$0.0016.9%7.8%34.5%0.6%31.3%6.9%8.4%4.6K280.7K-8.1K1.4780.53N/AN/A124182610667
2014-12-24$48.03$45.0018.3%7.0%34.3%4.0%26.9%5.1%3.5%9.5K156.5K-8.1K1.2494.06N/AN/A127157617678
2014-12-26$48.37$45.0026.1%6.4%34.6%22.9%32.1%4.5%1.1%7.8K111.6K-8.1K1.07102.66N/AN/A147157620677
2014-12-29$48.92$45.0027.4%8.8%33.1%25.9%31.7%16.7%2.2%16.4K-69.3K-8.3K1.1097.97N/AN/A147161622677
2014-12-30$49.27$45.0025.7%8.4%32.1%21.7%0.0%-0.7%4.3%18.3K-197.9K-8.4K10.0092.51N/AN/A110622690
2014-12-31$49.25$45.0023.7%8.6%32.1%17.0%29.7%-1.7%6.0%17.7K-130.8K-8.5K8.0094.84N/AN/A216623694