CRS Options History — January 2015

In January 2015, CRS traded between $36.37 and $48.01. ATM implied volatility averaged 34.6%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 2.8% (HV 20d: 31.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2015-01-30: Highest Volume — 431 contracts
  • 2015-01-12: Largest IV spike — 89.2% change
  • 2015-01-12: Highest IV Rank — 89.3%
  • 2015-01-14: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.42$36.37$48.01$48.01$37.98
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV34.6%24.0%53.7%27.8%26.5%
Expected Move9.7%7.6%10.5%8.7%7.6%
HV 20d31.9%26.3%39.4%29.3%39.4%
HV 60d38.0%30.7%42.2%39.9%34.4%
IV Rank43.4%17.7%89.3%26.8%23.8%
IV Percentile93.1%55.6%99.6%90.9%79.8%
Term Structure-1.6%-4.2%2.2%2.2%-1.6%
VWIV34.0%29.4%37.3%32.3%37.3%
Skew 25d1.3%-11.0%6.1%2.8%6.1%
Skew 10d4.1%-8.8%14.6%2.2%14.6%
Call IV 25d33.4%28.1%38.7%28.9%30.8%
Put IV 25d34.8%25.5%38.4%31.7%36.9%
Bid-Ask Spread %93.6982.90104.0282.90100.62
Gamma HHI0.330.230.560.290.33
Net GEX-32.6K-55.7K7.4K7.4K-29.3K
Net DEX1.5M55.6K2.1M55.6K1.7M
Net VEX-5.7K-8.3K-2.8K-8.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.009.251.120.52
Total Volume241.950431303431
Total OI1,4931,3351,6351,3351,635

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$48.01$45.0027.8%8.7%29.3%26.8%32.3%2.8%2.2%7.4K55.6K-8.3K1.1282.90N/AN/A143160625710
2015-01-05$45.32$45.0033.1%9.8%35.1%39.6%34.4%4.4%-3.6%-14.1K713.1K-7.4K5.7183.47N/AN/A31177626713
2015-01-06$44.43$45.0031.9%10.0%35.3%36.8%0.0%2.5%-2.0%-48.1K1.2M-7.6K0.0087.30N/AN/A00653845
2015-01-07$44.41$45.0033.1%9.4%34.6%39.6%0.0%2.5%-1.3%-49.6K1.2M-8.1K0.0087.32N/AN/A280653845
2015-01-08$44.08$45.0024.0%9.8%33.6%17.7%34.6%-1.4%-1.5%-55.7K1.2M-7.8K1.4790.01N/AN/A152224625841
2015-01-09$43.22$45.0028.4%9.3%32.4%28.3%32.6%0.4%-0.6%-52.3K1.5M-6.9K1.0185.66N/AN/A199201613865
2015-01-12$42.76$45.0053.7%9.6%32.2%89.3%36.5%2.1%-1.1%-45.8K1.5M-6.9K0.9688.27N/AN/A161155660883
2015-01-13$42.68$45.0050.7%9.4%31.3%82.2%33.5%4.9%-1.0%-45.2K1.5M-7.2K0.8597.41N/AN/A184157663879
2015-01-14$41.90$45.0036.6%10.5%31.5%48.2%33.7%5.6%-2.5%-29.2K1.8M-6.3K0.8593.59N/AN/A184157701875
2015-01-15$41.25$45.0035.5%10.2%31.5%45.6%34.4%-2.5%0.2%-32.9K1.8M-5.6K0.8196.24N/AN/A193157697875
2015-01-16$39.83$45.0035.1%10.1%29.9%44.5%30.5%-11.0%-0.8%-26.2K2.1M-4.9K0.11100.36N/AN/A374697875
2015-01-20$39.58$45.0036.0%10.3%29.9%46.5%36.5%-1.8%-2.4%-25.0K1.6M-4.6K0.3291.87N/AN/A6220666719
2015-01-21$39.85$45.0034.9%10.0%29.2%44.0%34.5%0.5%-1.5%-23.9K1.6M-4.9K9.2595.00N/AN/A874719729
2015-01-22$40.16$45.0035.2%10.1%29.4%44.7%35.1%4.1%-1.5%-29.8K1.6M-5.0K0.9595.59N/AN/A192182724799
2015-01-23$39.94$45.0035.3%10.1%26.8%44.9%35.7%2.7%-2.0%-25.7K1.6M-4.6K0.9094.72N/AN/A193174726740
2015-01-26$40.01$45.0034.6%9.9%27.0%43.3%0.0%2.1%-2.9%-26.2K1.5M-4.7K0.00103.83N/AN/A60728742
2015-01-27$39.57$45.0035.5%10.2%26.3%45.4%34.3%-1.2%-3.0%-26.7K1.6M-4.4K1.17104.02N/AN/A1214734742
2015-01-28$36.37$45.0033.0%9.4%36.1%39.3%32.7%0.0%-1.4%-29.3K1.9M-3.2K0.7194.54N/AN/A204144743746
2015-01-29$37.06$45.0032.0%9.2%37.2%37.1%29.4%3.5%-4.2%-44.3K2.0M-2.8K0.49101.05N/AN/A281138763786
2015-01-30$37.98$45.0026.5%7.6%39.4%23.8%37.3%6.1%-1.6%-29.3K1.7M-3.6K0.52100.62N/AN/A283148818817