CRS Options History — April 2015

In April 2015, CRS traded between $35.72 and $43.14. ATM implied volatility averaged 31.8%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 9.2% (HV 20d: 41.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2015-04-10: Highest Volume — 602 contracts
  • 2015-04-28: Largest IV spike — 19.6% change
  • 2015-04-28: Highest IV Rank — 55.8%
  • 2015-04-28: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.32$35.72$43.14$35.72$43.14
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV31.8%27.1%39.8%28.7%28.7%
Expected Move9.3%8.2%11.4%8.2%8.2%
HV 20d41.1%24.8%43.8%37.0%24.8%
HV 60d34.7%30.3%36.4%33.8%30.3%
IV Rank36.6%25.2%55.8%29.0%29.2%
IV Percentile86.4%69.0%98.0%80.2%73.8%
Term Structure-3.3%-12.7%2.8%2.8%-2.3%
VWIV33.7%29.8%38.6%29.8%32.6%
Skew 25d2.8%-6.8%10.5%-6.8%4.6%
Skew 10d8.2%-4.9%42.6%-4.9%5.3%
Call IV 25d32.4%24.3%39.5%39.5%29.3%
Put IV 25d35.2%31.9%39.4%32.7%33.8%
Bid-Ask Spread %95.2088.70102.1095.1593.48
Gamma HHI0.380.280.490.470.28
Net GEX-3.2K-53.0K21.5K-9.4K21.5K
Net DEX-81.5K-943.5K608.7K560.6K-943.5K
Net VEX-8.2K-9.6K-3.9K-3.9K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.354.021.321.23
Total Volume356.61931602258236
Total OI1,628.7149961,9499961,742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$35.72$40.0028.7%8.2%37.0%29.0%29.8%-6.8%2.8%-9.4K560.6K-3.9K1.3295.15N/AN/A111147585411
2015-04-02$36.26$40.0030.0%9.3%37.1%32.3%32.1%5.5%-2.7%-11.2K608.7K-4.1K4.0288.70N/AN/A110442596460
2015-04-06$38.27$40.0027.1%8.9%41.3%25.2%35.3%7.6%-1.6%-17.0K561.9K-6.8K3.3188.96N/AN/A110364601792
2015-04-07$38.64$40.0028.2%8.9%41.4%27.8%32.0%7.6%-1.8%-4.3K468.0K-6.8K3.1090.43N/AN/A120372601811
2015-04-08$39.69$40.0030.4%8.7%42.0%33.1%30.4%10.5%-1.3%10.3K178.5K-7.0K0.3591.61N/AN/A238619822
2015-04-09$40.14$40.0030.5%8.7%42.1%33.4%31.1%3.2%-1.5%17.8K-21.8K-7.0K1.0594.64N/AN/A283297634826
2015-04-10$40.66$40.0031.4%9.0%42.2%35.5%32.8%4.1%-2.5%-14.8K-235.9K-9.5K0.99100.84N/AN/A3032998171,052
2015-04-13$39.79$40.0031.6%9.1%42.6%36.1%34.6%1.5%-2.6%-27.1K357.5K-9.2K1.0693.08N/AN/A2742918121,050
2015-04-14$40.30$40.0031.9%9.1%42.7%36.8%32.8%2.7%-2.6%-22.4K16.4K-9.2K2.4298.44N/AN/A1263058141,052
2015-04-15$40.89$40.0032.5%9.3%42.9%38.1%33.3%5.2%-3.6%-20.1K-265.3K-9.2K1.8494.22N/AN/A1352498221,076
2015-04-16$40.00$40.0031.8%9.1%43.8%36.5%34.5%0.9%-3.0%-53.0K271.1K-9.6K2.0090.74N/AN/A1262528231,126
2015-04-17$40.11$40.0032.1%9.2%43.1%37.3%32.9%3.4%-1.7%-8.9K-129.8K-9.5K2.0592.56N/AN/A1232528241,125
2015-04-20$40.72$40.0033.7%9.7%43.1%41.1%37.5%4.8%-4.9%812-60.3K-9.1K2.24100.24N/AN/A102228725877
2015-04-21$40.72$40.0033.8%9.7%42.8%41.2%36.5%3.0%-4.5%-2.9K-32.4K-9.0K2.6394.18N/AN/A86226732887
2015-04-22$41.06$40.0034.0%9.7%42.3%41.8%33.7%-1.2%-4.8%-125-145.3K-9.0K1.34102.10N/AN/A98131743894
2015-04-23$41.76$40.0033.0%9.4%42.3%39.3%32.8%0.8%-3.3%8.5K-463.9K-8.9K1.0594.77N/AN/A116122757895
2015-04-24$41.89$40.0032.3%9.3%42.3%37.7%33.2%-0.6%-4.2%13.0K-514.0K-9.0K1.12100.04N/AN/A111124783895
2015-04-27$41.96$40.0033.3%9.5%42.3%40.1%33.2%1.3%-1.8%14.8K-528.0K-8.8K1.1098.31N/AN/A131144786900
2015-04-28$42.24$40.0039.8%11.4%42.0%55.8%38.6%-1.2%-12.7%16.4K-641.4K-8.8K1.0297.05N/AN/A122125807908
2015-04-29$42.66$40.0033.8%9.7%42.1%41.3%38.5%2.4%-8.4%20.4K-751.9K-8.7K1.4599.70N/AN/A108157808913
2015-04-30$43.14$40.0028.7%8.2%24.8%29.2%32.6%4.6%-2.3%21.5K-943.5K-8.7K1.2393.48N/AN/A106130810932