CRS Options History — June 2015

In June 2015, CRS traded between $38.67 and $42.84. ATM implied volatility averaged 27.9%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.0% (HV 20d: 19.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-06-11: Highest Volume — 650 contracts
  • 2015-06-17: Largest IV spike — 55.4% change
  • 2015-06-17: Highest IV Rank — 46.5%
  • 2015-06-17: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.63$38.67$42.84$40.34$38.67
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV27.9%21.7%36.0%28.5%28.9%
Expected Move7.8%6.2%10.3%8.2%8.3%
HV 20d19.9%16.6%24.8%16.6%24.8%
HV 60d28.1%22.3%29.4%29.4%22.6%
IV Rank27.0%12.3%46.5%28.6%29.6%
IV Percentile59.7%17.5%96.0%71.0%69.8%
Term Structure1.4%-7.6%9.2%-1.8%1.5%
VWIV27.1%22.4%30.8%28.5%29.1%
Skew 25d0.3%-10.7%10.5%0.7%-7.0%
Skew 10d6.8%-20.9%30.0%0.6%-20.9%
Call IV 25d27.1%20.8%39.3%26.3%33.5%
Put IV 25d27.5%25.0%31.3%27.0%26.5%
Bid-Ask Spread %98.1689.37108.60103.6693.77
Gamma HHI0.350.320.450.350.37
Net GEX37.1K4.3K66.9K28.7K4.3K
Net DEX-739.3K-1.5M582.8K36.5K582.8K
Net VEX-6.5K-7.7K-5.4K-7.6K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.001.620.521.19
Total Volume396.5456650576237
Total OI1,712.9551,2662,0571,8081,315

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$40.34$40.0028.5%8.2%16.6%28.6%28.5%0.7%-1.8%28.7K36.5K-7.6K0.52103.66N/AN/A380196893915
2015-06-02$41.26$40.0029.8%8.5%18.9%31.6%29.7%8.6%-2.0%21.6K-188.5K-7.2K0.00105.66N/AN/A60837914
2015-06-03$41.77$40.0029.1%8.4%19.7%30.1%25.9%7.0%-1.7%28.4K-352.5K-7.2K0.7194.52N/AN/A276196849914
2015-06-04$41.36$40.0030.2%7.9%19.9%32.7%27.4%2.3%1.1%23.2K-252.6K-7.1K0.7199.09N/AN/A276197849914
2015-06-05$41.46$40.0028.6%7.9%19.9%28.8%27.4%-0.2%1.1%25.5K-262.8K-6.9K0.7599.39N/AN/A276208850915
2015-06-08$41.04$40.0030.2%7.7%20.0%32.6%26.8%-1.4%1.7%27.8K-137.2K-6.7K0.5489.37N/AN/A416224850911
2015-06-09$40.90$40.0029.7%7.6%18.4%31.6%26.1%-1.7%2.6%66.9K-635.5K-7.7K0.5493.72N/AN/A4162241,060927
2015-06-10$41.74$40.0027.2%7.8%19.9%25.5%27.4%0.1%0.8%59.6K-1.1M-7.3K0.5497.86N/AN/A4162241,060927
2015-06-11$42.09$40.0027.1%7.8%20.3%25.2%26.5%1.8%2.9%58.5K-1.2M-7.0K0.5593.99N/AN/A4192311,060927
2015-06-12$42.33$40.0025.8%7.4%20.1%22.0%26.3%-0.0%4.2%56.2K-1.3M-7.1K1.0595.52N/AN/A2192311,059947
2015-06-15$41.93$40.0028.9%8.3%20.1%29.5%28.4%1.9%-1.0%53.8K-1.1M-6.8K1.0597.59N/AN/A2192311,059947
2015-06-16$42.46$40.0023.1%6.6%20.8%15.7%25.3%-0.8%9.2%52.0K-1.4M-6.3K1.0794.18N/AN/A2192341,059947
2015-06-17$42.51$40.0036.0%10.3%20.5%46.5%27.9%0.1%0.4%44.4K-1.4M-6.4K1.44100.80N/AN/A1582271,059947
2015-06-18$42.59$40.0023.5%6.7%20.4%16.5%26.1%-0.6%0.5%52.9K-1.4M-6.3K1.4497.78N/AN/A1582271,085972
2015-06-19$42.15$40.0028.3%8.1%20.4%28.1%27.9%-0.2%-1.8%29.0K-1.5M-6.1K1.6297.61N/AN/A1292091,085916
2015-06-22$42.16$40.0028.2%8.1%20.4%28.0%28.4%0.7%-0.2%30.8K-885.7K-5.9K1.3493.28N/AN/A99133612654
2015-06-23$42.71$40.0024.6%7.0%17.7%19.1%22.4%10.5%6.9%30.3K-1.2M-5.4K1.35108.60N/AN/A99134615655
2015-06-24$42.84$40.0021.7%6.2%17.6%12.3%22.6%-0.1%2.8%35.8K-1.1M-5.4K1.37102.80N/AN/A105144615656
2015-06-25$41.98$40.0032.2%9.2%18.5%37.5%28.3%-1.9%-7.6%29.1K-775.4K-5.7K1.37101.27N/AN/A105144631666
2015-06-26$41.72$40.0023.5%6.7%18.3%16.6%27.9%-2.1%8.8%33.5K-682.5K-5.9K1.37100.73N/AN/A105144640666
2015-06-29$39.88$40.0027.8%8.0%24.2%26.8%30.8%-10.7%3.2%24.3K-62.4K-5.9K0.8698.22N/AN/A125108640666
2015-06-30$38.67$40.0028.9%8.3%24.8%29.6%29.1%-7.0%1.5%4.3K582.8K-5.8K1.1993.77N/AN/A108129613702