CRS Options History — May 2015

In May 2015, CRS traded between $40.86 and $44.61. ATM implied volatility averaged 28.2%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.5% (HV 20d: 18.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2015-05-28: Highest Volume — 546 contracts
  • 2015-05-08: Largest IV spike — 79.9% change
  • 2015-05-08: Highest IV Rank — 62.3%
  • 2015-05-28: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.37$40.86$44.61$44.34$40.86
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV28.2%21.7%42.5%27.2%27.9%
Expected Move7.4%6.2%8.2%7.8%8.0%
HV 20d18.7%15.6%25.6%25.6%19.8%
HV 60d29.8%29.4%30.6%30.6%29.8%
IV Rank27.9%12.2%62.3%25.3%27.2%
IV Percentile59.4%19.8%98.4%63.1%66.3%
Term Structure0.4%-2.5%2.9%-1.8%-2.0%
VWIV27.0%21.3%32.6%27.2%27.8%
Skew 25d3.3%-5.4%34.4%-0.6%3.7%
Skew 10d10.2%-7.5%52.4%-1.6%4.2%
Call IV 25d25.0%20.8%30.5%28.0%23.2%
Put IV 25d28.3%19.2%56.2%27.4%26.9%
Bid-Ask Spread %96.4885.76104.9894.59104.98
Gamma HHI0.330.250.580.290.34
Net GEX44.5K30.8K107.1K34.1K34.8K
Net DEX-938.7K-1.5M-237.2K-1.3M-237.2K
Net VEX-7.4K-8.2K-6.7K-8.2K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.112.101.020.31
Total Volume298.7510546236502
Total OI1,712.91,4631,8141,7591,776

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$44.34$40.0027.2%7.8%25.6%25.3%27.2%-0.6%-1.8%34.1K-1.3M-8.2K1.0294.59N/AN/A117119827932
2015-05-04$44.61$40.0026.1%7.2%19.7%22.9%0.0%1.9%2.4%42.8K-1.5M-7.9K2.1086.05N/AN/A1021837926
2015-05-05$44.40$40.0027.8%7.3%20.1%26.9%27.1%-1.0%1.4%37.8K-1.4M-7.9K1.5085.76N/AN/A103154842943
2015-05-06$44.15$40.0029.3%7.3%19.2%30.6%27.9%-1.2%1.8%39.3K-1.3M-7.4K1.8197.58N/AN/A85154846924
2015-05-07$43.77$40.0023.6%7.4%19.6%16.8%29.1%-0.5%1.8%39.7K-1.2M-7.5K1.5297.24N/AN/A101154846924
2015-05-08$43.79$40.0042.5%7.0%19.4%62.3%24.5%3.0%2.9%35.7K-898.5K-7.3K0.11101.02N/AN/A91754924
2015-05-11$44.58$40.0034.6%7.3%17.5%43.4%28.8%7.7%2.3%45.0K-1.1M-7.1K0.4098.86N/AN/A10642759923
2015-05-12$43.96$40.0042.5%7.3%18.6%62.3%23.7%3.5%1.9%75.9K-1.0M-7.8K0.7095.50N/AN/A178124864927
2015-05-13$44.07$40.0025.2%7.2%18.3%20.6%25.8%2.8%2.3%78.8K-1.0M-7.2K0.70103.32N/AN/A178124854927
2015-05-14$44.44$40.0024.2%6.9%15.6%18.2%28.4%34.4%2.5%107.1K-1.1M-7.3K1.1190.56N/AN/A112124854930
2015-05-15$44.06$40.0025.1%7.2%16.3%20.4%21.3%-2.7%1.8%30.8K-825.9K-7.4K1.3196.36N/AN/A102134884930
2015-05-18$43.93$40.0024.6%7.0%16.0%19.1%29.3%-5.4%0.1%31.4K-899.8K-6.7K0.47104.44N/AN/A212100734729
2015-05-19$43.41$40.0027.8%8.0%16.9%26.9%28.8%2.9%-2.3%32.7K-893.9K-7.0K0.2294.47N/AN/A419763804
2015-05-20$43.12$40.0027.1%7.8%17.2%25.1%32.6%4.5%-0.3%30.9K-927.8K-7.5K0.2295.40N/AN/A38785808803
2015-05-21$42.67$40.0021.7%6.2%16.9%12.2%25.7%4.6%0.2%40.1K-924.0K-7.6K0.2398.79N/AN/A36385869803
2015-05-22$42.78$40.0022.3%6.4%16.9%13.6%21.8%-0.4%-2.5%42.3K-901.7K-7.4K0.3787.26N/AN/A334123864803
2015-05-26$41.51$40.0028.1%8.1%20.2%27.6%27.6%-2.2%-1.4%35.9K-455.8K-7.3K0.3694.17N/AN/A344123874840
2015-05-27$41.79$40.0028.1%8.1%20.2%27.7%27.8%5.5%-0.5%41.6K-527.0K-7.4K0.32100.74N/AN/A354115884840
2015-05-28$41.23$40.0028.6%8.2%20.3%28.9%28.1%5.9%-1.8%33.3K-252.4K-7.3K0.39102.46N/AN/A394152845842
2015-05-29$40.86$40.0027.9%8.0%19.8%27.2%27.8%3.7%-2.0%34.8K-237.2K-7.4K0.31104.98N/AN/A383119895881