CRS Options History — March 2015

In March 2015, CRS traded between $37.06 and $41.60. ATM implied volatility averaged 28.4%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.2% (HV 20d: 22.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-03-04: Highest Volume — 546 contracts
  • 2015-03-27: Largest IV spike — 47.2% change
  • 2015-03-27: Highest IV Rank — 45.4%
  • 2015-03-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.60$37.06$41.60$41.60$38.94
Max Pain$40.68$40.00$45.00$45.00$40.00
ATM IV28.4%22.9%35.5%27.7%27.1%
Expected Move8.1%6.6%10.2%7.9%7.8%
HV 20d22.2%19.3%24.9%24.9%22.3%
HV 60d32.1%31.1%34.3%34.3%31.2%
IV Rank28.3%15.2%45.4%26.6%25.1%
IV Percentile76.8%36.5%96.8%79.4%69.4%
Term Structure1.6%-5.2%8.0%3.6%3.6%
VWIV29.0%22.5%32.9%30.7%27.2%
Skew 25d0.8%-7.4%7.3%1.4%-0.0%
Skew 10d2.8%-11.7%12.8%3.2%-0.6%
Call IV 25d28.6%24.6%31.7%30.5%27.4%
Put IV 25d29.4%20.5%33.4%32.0%27.4%
Bid-Ask Spread %99.8788.77111.24106.27107.24
Gamma HHI0.480.290.750.310.45
Net GEX32.2K-4.4K113.7K23.7K16.6K
Net DEX692.2K87.3K1.2M597.6K87.3K
Net VEX-4.2K-5.6K-3.2K-4.2K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.007.570.971.07
Total Volume189.7734546368283
Total OI1,723.6367672,3091,847983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$41.60$45.0027.7%7.9%24.9%26.6%30.7%1.4%3.6%23.7K597.6K-4.2K0.97106.27N/AN/A1871811,089758
2015-03-03$41.45$45.0028.9%8.3%24.2%29.6%29.7%-0.4%0.1%29.8K484.3K-5.6K0.95101.62N/AN/A1911811,141778
2015-03-04$40.91$45.0028.3%8.1%22.9%28.1%28.4%-1.3%-0.9%23.0K760.7K-4.5K0.41100.31N/AN/A3871591,141772
2015-03-05$39.89$40.0027.4%7.6%24.0%25.9%27.9%2.5%4.8%74.8K525.2K-5.2K0.4197.30N/AN/A3871591,333776
2015-03-06$38.72$40.0027.2%7.5%24.0%25.4%28.2%-1.9%2.4%101.3K796.8K-4.7K0.4197.05N/AN/A3871591,533776
2015-03-09$38.70$40.0027.5%7.9%24.0%26.2%27.9%0.9%2.5%113.7K759.6K-4.8K0.0089.49N/AN/A051,533762
2015-03-10$38.07$40.0027.9%8.0%24.4%27.2%0.0%2.7%1.7%101.1K870.7K-4.4K0.0096.01N/AN/A40101,533767
2015-03-11$38.23$40.0027.9%8.0%24.0%27.0%32.0%4.1%2.5%37.8K1.1M-3.9K1.2788.77N/AN/A11141,340766
2015-03-12$38.64$40.0027.5%7.9%24.1%26.1%27.3%7.3%2.9%65.0K997.7K-4.0K0.0093.49N/AN/A1201,350774
2015-03-13$38.07$40.0029.0%8.3%22.2%29.7%29.6%3.4%1.9%24.5K970.1K-4.4K0.0090.67N/AN/A0131,352774
2015-03-16$37.97$40.0029.4%8.4%20.4%30.7%30.3%3.9%1.6%29.6K1.1M-3.8K0.0097.87N/AN/A041,352787
2015-03-17$37.86$40.0027.1%7.8%20.2%25.1%0.0%3.8%1.5%27.6K1.2M-3.5K2.46103.55N/AN/A13321,352789
2015-03-18$38.00$40.0029.9%8.6%20.3%32.0%31.7%-2.3%-2.8%36.3K997.1K-3.2K7.57104.12N/AN/A7531,349704
2015-03-19$37.29$40.0032.1%9.2%20.4%37.4%29.2%3.0%-1.8%-3.5K1.2M-3.3K0.5698.86N/AN/A36201,356753
2015-03-20$37.06$40.0034.1%9.8%19.5%42.2%32.5%6.5%-5.2%-3.7K1.1M-3.3K0.00104.16N/AN/A0141,366750
2015-03-23$37.80$40.0026.8%7.7%21.6%24.6%30.6%3.9%2.1%-3.0K278.6K-3.4K1.6698.74N/AN/A85141431336
2015-03-24$37.32$40.0028.2%8.1%19.3%27.8%32.9%4.4%8.0%-4.4K378.2K-3.8K0.0097.20N/AN/A020480382
2015-03-25$37.99$40.0022.9%6.6%21.2%15.2%25.3%-7.4%2.4%-2.1K300.0K-4.1K0.95105.58N/AN/A4240480401
2015-03-26$37.97$40.0024.1%6.9%21.3%18.0%22.5%-7.2%2.9%4.8K275.9K-4.2K1.08103.48N/AN/A130141521388
2015-03-27$38.04$40.0035.5%10.2%21.5%45.4%0.0%-7.4%-0.8%4.1K235.3K-4.4K0.00111.24N/AN/A020555391
2015-03-30$38.70$40.0028.3%8.1%22.0%28.2%27.5%-1.8%2.4%11.8K118.4K-4.6K1.28104.14N/AN/A114146555411
2015-03-31$38.94$40.0027.1%7.8%22.3%25.1%27.2%-0.0%3.6%16.6K87.3K-4.6K1.07107.24N/AN/A137146572411