CRS Options History — July 2015

In July 2015, CRS traded between $35.26 and $40.61. ATM implied volatility averaged 33.2%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.3% (HV 20d: 31.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2015-07-29: Highest Volume — 2,009 contracts
  • 2015-07-20: Largest IV spike — 23.7% change
  • 2015-07-20: Highest IV Rank — 55.9%
  • 2015-07-20: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.03$35.26$40.61$39.07$37.57
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV33.2%24.7%39.9%28.6%24.7%
Expected Move9.5%7.1%11.4%8.2%7.1%
HV 20d31.9%24.7%38.2%24.7%37.9%
HV 60d24.6%21.9%28.2%22.6%28.2%
IV Rank39.9%19.5%55.9%28.9%19.5%
IV Percentile82.5%27.4%97.2%67.5%27.4%
Term Structure-3.7%-12.2%1.7%1.7%1.2%
VWIV33.1%26.3%37.1%28.8%26.3%
Skew 25d4.1%-6.9%34.6%-1.9%4.4%
Skew 10d9.7%-10.5%61.1%-5.4%5.9%
Call IV 25d32.7%24.8%41.1%31.8%26.1%
Put IV 25d36.8%29.8%64.8%29.8%30.5%
Bid-Ask Spread %94.5462.91107.02104.03103.01
Gamma HHI0.400.340.540.390.36
Net GEX6.9K-29.7K96.4K-4.0K91.0K
Net DEX584.3K-454.1K1.2M557.5K-294.9K
Net VEX-6.3K-9.5K-3.9K-5.9K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.041.381.380.04
Total Volume990.2732052,0092121,772
Total OI1,871.6361,3652,6771,3652,677

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$39.07$40.0028.6%8.2%24.7%28.9%28.8%-1.9%1.7%-4.0K557.5K-5.9K1.38104.03N/AN/A89123608757
2015-07-02$39.56$40.0030.3%8.7%25.2%32.8%30.4%34.6%-0.2%-3.9K463.4K-6.0K0.58107.02N/AN/A14182610776
2015-07-06$39.11$40.0031.0%8.9%25.3%34.5%31.1%2.3%-2.2%-1.6K611.6K-5.9K0.5685.28N/AN/A14280658785
2015-07-07$39.20$40.0032.0%9.0%25.2%37.1%32.5%10.3%-2.1%-3.1K587.2K-6.0K0.5590.17N/AN/A15485664805
2015-07-08$38.17$40.0029.4%9.4%26.6%30.7%33.6%6.3%-4.1%-11.7K947.9K-5.9K0.7198.77N/AN/A12085676819
2015-07-09$38.56$40.0030.0%9.4%25.7%32.1%33.7%7.8%-2.5%-9.4K901.5K-5.8K0.5699.97N/AN/A15285675819
2015-07-10$38.86$40.0032.6%9.2%25.6%38.5%33.2%-6.1%-3.8%3.5K731.8K-5.8K0.5899.06N/AN/A14483697819
2015-07-13$40.17$40.0034.1%8.8%28.7%42.0%33.0%1.7%-1.8%22.5K3.2K-5.7K0.5186.36N/AN/A14473710829
2015-07-14$40.61$40.0034.6%9.1%28.9%43.2%32.7%5.5%-2.9%20.3K-314.6K-5.5K0.0792.82N/AN/A1,19178710827
2015-07-15$38.33$40.0033.7%9.7%34.6%41.2%33.9%1.1%-2.9%39.9K592.8K-8.5K0.0893.53N/AN/A1,191901,572841
2015-07-16$38.26$40.0032.6%9.4%34.5%38.5%33.2%4.4%-3.7%30.9K735.3K-7.6K0.0796.69N/AN/A1,199841,572853
2015-07-17$37.77$40.0032.2%9.2%34.5%37.5%33.5%5.1%-2.9%2771.2M-6.9K0.0893.52N/AN/A1,1991011,581858
2015-07-20$37.37$40.0039.9%11.4%34.5%55.9%36.3%5.6%-12.2%-10.7K738.2K-6.1K0.0895.29N/AN/A1,143871,219676
2015-07-21$37.17$40.0038.0%10.9%34.5%51.5%34.6%3.7%-10.2%-14.9K800.2K-5.8K0.0862.91N/AN/A1,143871,220676
2015-07-22$36.63$40.0035.0%10.0%33.8%44.2%32.7%0.6%-3.8%-21.9K966.1K-5.6K0.0895.62N/AN/A1,144881,220676
2015-07-23$36.94$40.0038.8%11.1%34.1%53.3%34.7%4.1%-7.4%-13.9K830.0K-5.9K0.0893.15N/AN/A1,149881,226676
2015-07-24$35.26$40.0036.2%10.4%36.6%47.0%37.1%-6.9%-5.1%-29.7K1.2M-4.6K0.1597.79N/AN/A1,1491721,235676
2015-07-27$35.34$40.0035.9%10.3%36.8%46.3%34.0%-4.0%-4.2%-29.1K1.1M-3.9K0.1388.35N/AN/A1,3221741,235599
2015-07-28$36.79$40.0037.1%10.6%37.9%49.3%35.8%3.6%-4.8%-8.3K620.1K-6.3K0.1295.44N/AN/A1,3111621,399603
2015-07-29$37.86$40.0036.2%10.4%38.2%47.2%36.9%2.1%-5.4%10.2K334.5K-6.7K0.0999.92N/AN/A1,8381711,402605
2015-07-30$38.07$40.0028.1%8.0%38.1%27.5%29.4%5.7%-1.3%96.4K-454.1K-9.5K0.10101.22N/AN/A1,7001712,025610
2015-07-31$37.57$40.0024.7%7.1%37.9%19.5%26.3%4.4%1.2%91.0K-294.9K-8.8K0.04103.01N/AN/A1,700722,067610