CRS Options History — February 2015

In February 2015, CRS traded between $38.82 and $43.30. ATM implied volatility averaged 29.1%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 9.6% (HV 20d: 38.7%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.67.

Notable Days

2015-02-04: Highest Volume — 549 contracts
2015-02-26: Largest IV drop — 13.4% change
2015-02-02: Highest IV Rank — 40.2%
2015-02-02: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.40	$38.82	$43.30	$38.82	$42.50
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	29.1%	23.6%	33.3%	33.3%	26.3%
Expected Move	8.3%	6.8%	9.6%	9.6%	7.5%
HV 20d	38.7%	23.7%	42.1%	41.0%	23.9%
HV 60d	34.6%	34.0%	35.3%	34.8%	34.0%
IV Rank	30.1%	16.7%	40.2%	40.2%	23.2%
IV Percentile	81.3%	46.0%	93.3%	93.3%	71.8%
Term Structure	1.3%	-5.1%	13.6%	-5.1%	1.1%
VWIV	30.9%	24.7%	52.8%	35.6%	29.9%
Skew 25d	2.5%	-2.8%	12.0%	0.5%	3.6%
Skew 10d	9.2%	-12.1%	41.8%	3.0%	5.4%
Call IV 25d	29.3%	26.5%	36.2%	36.2%	28.3%
Put IV 25d	31.8%	27.1%	40.6%	36.7%	31.9%
Bid-Ask Spread %	100.34	95.19	115.45	98.87	102.25
Gamma HHI	0.31	0.27	0.41	0.29	0.27
Net GEX	8.2K	-28.0K	40.1K	-28.0K	32.1K
Net DEX	767.2K	55.9K	1.6M	1.6M	343.2K
Net VEX	-5.4K	-6.2K	-4.0K	-4.0K	-5.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	1.45	0.00	1.07
Total Volume	343.895	45	549	98	309
Total OI	1,865	1,651	1,976	1,651	1,843

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-02-02	$38.82	$45.00	33.3%	9.6%	41.0%	40.2%	35.6%	0.5%	-5.1%	-28.0K	1.6M	-4.0K	0.00	98.87	N/A	N/A	98	0	824	827
2015-02-03	$39.95	$45.00	32.8%	9.4%	39.3%	38.9%	37.3%	12.0%	-3.3%	-13.7K	1.3M	-4.7K	0.58	98.07	N/A	N/A	288	166	917	827
2015-02-04	$39.29	$45.00	30.4%	8.7%	39.2%	33.2%	52.8%	-1.8%	-1.9%	-19.3K	1.5M	-4.6K	0.43	115.45	N/A	N/A	383	166	920	880
2015-02-05	$40.40	$45.00	32.9%	8.3%	41.0%	39.1%	29.0%	5.8%	2.3%	-9.3K	1.0M	-5.8K	0.43	102.45	N/A	N/A	383	166	1,015	880
2015-02-06	$40.24	$45.00	32.9%	8.3%	40.9%	39.2%	29.5%	5.0%	2.1%	-9.3K	1.2M	-5.5K	0.58	95.66	N/A	N/A	288	166	976	880
2015-02-09	$40.49	$45.00	30.5%	8.6%	40.7%	33.4%	29.9%	-2.8%	3.1%	-6.3K	1.0M	-5.8K	0.60	95.19	N/A	N/A	276	165	998	875
2015-02-10	$39.86	$45.00	29.3%	8.8%	40.9%	30.4%	34.0%	-1.6%	1.5%	-9.3K	1.2M	-5.6K	0.60	97.48	N/A	N/A	276	165	1,063	875
2015-02-11	$40.22	$45.00	29.4%	8.4%	41.1%	30.7%	30.9%	2.4%	2.4%	-6.9K	1.1M	-5.5K	0.57	100.58	N/A	N/A	276	157	1,063	875
2015-02-12	$41.25	$45.00	29.5%	8.5%	41.8%	31.0%	28.4%	0.3%	2.7%	3.0K	832.5K	-5.8K	0.58	99.23	N/A	N/A	279	161	1,063	876
2015-02-13	$42.08	$45.00	30.2%	8.7%	42.1%	32.7%	28.9%	3.6%	3.7%	10.7K	530.6K	-6.2K	0.58	101.30	N/A	N/A	279	161	1,066	878
2015-02-17	$42.19	$45.00	29.7%	8.5%	39.9%	31.5%	28.5%	2.9%	3.1%	12.4K	561.3K	-5.6K	0.83	97.95	N/A	N/A	195	161	1,066	878
2015-02-18	$42.22	$45.00	28.5%	8.2%	39.7%	28.5%	29.0%	-1.2%	1.3%	17.3K	615.0K	-5.2K	1.32	99.15	N/A	N/A	123	162	1,066	879
2015-02-19	$42.49	$45.00	25.2%	7.2%	39.7%	20.7%	27.9%	2.6%	13.6%	17.6K	486.0K	-5.6K	0.02	99.54	N/A	N/A	65	1	1,071	883
2015-02-20	$42.91	$45.00	27.9%	8.0%	39.8%	27.0%	26.1%	4.1%	2.5%	27.0K	463.6K	-5.3K	0.00	99.07	N/A	N/A	45	0	1,093	883
2015-02-23	$42.40	$45.00	26.3%	7.5%	40.0%	23.3%	24.7%	0.7%	0.8%	29.2K	383.9K	-5.1K	1.45	98.65	N/A	N/A	103	149	1,031	730
2015-02-24	$43.30	$45.00	27.9%	8.0%	40.5%	27.2%	28.8%	5.6%	-1.0%	35.1K	55.9K	-5.5K	1.07	104.07	N/A	N/A	146	156	1,032	732
2015-02-25	$43.16	$45.00	27.2%	7.8%	40.2%	25.5%	29.2%	2.2%	-1.5%	40.1K	123.6K	-5.5K	1.07	101.62	N/A	N/A	150	160	1,086	741
2015-02-26	$42.75	$45.00	23.6%	6.8%	23.7%	16.7%	26.9%	3.2%	-2.6%	33.5K	248.3K	-5.5K	1.07	99.80	N/A	N/A	150	160	1,086	757
2015-02-27	$42.50	$45.00	26.3%	7.5%	23.9%	23.2%	29.9%	3.6%	1.1%	32.1K	343.2K	-5.2K	1.07	102.25	N/A	N/A	149	160	1,085	758