CRS Options History — August 2015

In August 2015, CRS traded between $35.03 and $40.01. ATM implied volatility averaged 39.9%, placing in the 54.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.7% (HV 20d: 39.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2015-08-10: Highest Volume — 1,780 contracts
  • 2015-08-24: Largest IV spike — 39.3% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-26: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.85$35.03$40.01$36.82$39.14
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV39.9%25.7%60.6%30.7%46.4%
Expected Move11.1%7.7%17.4%8.8%13.3%
HV 20d39.2%34.0%43.8%38.3%43.5%
HV 60d31.7%28.2%36.2%28.4%36.2%
IV Rank54.6%21.8%100.0%33.9%67.8%
IV Percentile86.4%32.9%100.0%72.6%97.2%
Term Structure-3.6%-20.8%3.4%3.4%-8.6%
VWIV33.8%22.1%63.7%23.8%34.8%
Skew 25d9.9%-0.7%50.9%13.9%19.6%
Skew 10d18.4%-2.7%71.3%11.0%34.2%
Call IV 25d34.8%21.4%52.1%21.4%41.4%
Put IV 25d44.7%30.6%100.6%35.3%61.0%
Bid-Ask Spread %96.0387.50102.2699.91102.26
Gamma HHI0.340.300.390.350.33
Net GEX86.1K29.5K184.2K51.2K92.7K
Net DEX-211.1K-1.7M824.9K197.4K-961.5K
Net VEX-10.3K-13.2K-7.1K-7.7K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.044.000.040.09
Total Volume1,260.95221,78021,369
Total OI3,087.8572,6803,4362,6803,039

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$36.82$40.0030.7%8.8%38.3%33.9%0.0%13.9%3.4%51.2K197.4K-7.7K0.0099.91N/AN/A022,067613
2015-08-04$36.68$40.0032.1%9.2%38.3%37.3%23.8%12.7%1.3%46.9K279.3K-7.1K0.04100.20N/AN/A1,700632,067613
2015-08-05$37.10$40.0033.0%9.5%37.6%39.4%33.9%1.0%-2.8%56.5K204.7K-7.4K0.0491.79N/AN/A1,700632,067617
2015-08-06$38.36$40.0039.2%7.7%39.4%54.4%23.5%7.8%3.4%102.3K-338.2K-8.2K0.0493.91N/AN/A1,702662,067617
2015-08-07$37.92$40.0025.7%8.5%39.5%21.8%23.5%3.3%0.8%94.0K-343.1K-8.6K0.0691.41N/AN/A1,247762,072622
2015-08-10$40.01$40.0032.3%8.7%42.4%37.8%22.1%10.6%1.1%184.2K-1.7M-10.3K0.2493.41N/AN/A1,4323482,109645
2015-08-11$38.91$40.0044.4%9.2%43.3%66.8%37.6%4.0%0.7%126.9K-764.9K-13.1K4.0093.36N/AN/A411642,352893
2015-08-12$39.15$40.0030.4%8.7%38.0%33.2%35.2%3.5%1.6%124.6K-632.2K-12.7K0.3691.66N/AN/A1,2034302,3531,029
2015-08-13$38.39$40.0032.9%9.4%38.7%39.2%26.9%5.3%-0.3%96.2K-143.9K-12.1K0.1187.50N/AN/A1,2391392,3731,029
2015-08-14$39.10$40.0037.5%10.7%38.9%50.2%25.3%9.0%-6.0%117.9K-954.2K-13.2K0.1297.17N/AN/A1,2311522,3711,028
2015-08-17$39.10$40.0033.5%9.6%38.6%40.6%37.3%2.4%-1.3%135.9K-518.7K-11.9K0.1399.86N/AN/A1,2021522,3951,041
2015-08-18$38.55$40.0032.8%9.4%39.0%38.9%37.7%-0.7%-0.2%120.9K-176.8K-11.1K0.1496.34N/AN/A1,2001722,3901,033
2015-08-19$38.30$40.0033.9%9.7%38.6%41.7%33.5%3.5%-1.2%88.0K140.1K-10.3K0.0092.72N/AN/A032,3911,016
2015-08-20$37.77$40.0039.8%11.4%39.0%55.9%29.4%3.5%-2.1%68.1K400.6K-10.7K0.1095.50N/AN/A1,1851142,3911,031
2015-08-21$36.87$40.0043.3%12.4%36.0%64.3%33.1%1.8%-8.4%43.4K824.9K-10.1K0.0996.35N/AN/A1,1891122,4011,031
2015-08-24$36.33$40.0060.4%17.3%36.5%100.0%37.9%13.9%-10.8%52.4K-101.1K-10.6K0.08100.89N/AN/A1,190952,112832
2015-08-25$35.03$40.0058.8%16.9%35.8%96.4%63.7%50.9%-13.4%29.8K502.6K-9.1K0.08101.97N/AN/A1,2691072,146852
2015-08-26$35.09$40.0060.6%17.4%34.0%100.0%44.7%8.7%-20.8%29.5K562.1K-9.4K0.0996.78N/AN/A1,2691122,189857
2015-08-27$37.78$40.0045.9%13.1%43.7%66.5%37.6%15.3%-7.4%60.0K-282.1K-10.7K0.1095.18N/AN/A1,2431222,180857
2015-08-28$38.39$40.0043.3%12.4%43.8%60.6%33.9%17.5%-5.0%86.2K-642.5K-10.9K0.1098.52N/AN/A1,2551222,170887
2015-08-31$39.14$40.0046.4%13.3%43.5%67.8%34.8%19.6%-8.6%92.7K-961.5K-10.3K0.09102.26N/AN/A1,2551142,152887