CRS Options History — September 2015

In September 2015, CRS traded between $29.41 and $38.30. ATM implied volatility averaged 46.8%, placing in the 68.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 2.8% (HV 20d: 44.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2015-09-18: Highest Volume — 2,046 contracts
  • 2015-09-09: Largest IV drop — 18.4% change
  • 2015-09-08: Highest IV Rank — 84.7%
  • 2015-09-24: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.37$29.41$38.30$37.37$29.80
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV46.8%41.1%53.9%47.4%48.2%
Expected Move13.0%11.8%14.8%13.6%13.8%
HV 20d44.0%32.5%49.4%46.9%32.5%
HV 60d39.3%37.3%40.6%37.3%39.8%
IV Rank68.5%55.5%84.7%69.9%71.8%
IV Percentile94.5%89.7%98.4%97.2%94.4%
Term Structure-1.5%-6.9%8.8%8.8%-3.1%
VWIV43.7%38.6%50.9%38.6%45.4%
Skew 25d5.1%-0.7%9.4%8.4%0.9%
Skew 10d10.5%-0.9%29.6%15.0%2.0%
Call IV 25d44.4%39.0%52.0%47.0%44.2%
Put IV 25d49.6%43.3%58.3%55.3%45.1%
Bid-Ask Spread %92.0279.47101.70101.38100.23
Gamma HHI0.590.280.900.320.50
Net GEX-7.0K-115.0K72.0K72.0K15.7K
Net DEX832.8K-459.9K2.2M-459.9K673.4K
Net VEX-5.3K-10.0K-3.3K-10.0K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.320.061.32
Total Volume905.28612,0461,336351
Total OI2,480.7141,3473,2123,0401,615

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$37.37$40.0047.4%13.6%46.9%69.9%38.6%8.4%8.8%72.0K-459.9K-10.0K0.06101.38N/AN/A1,257792,152888
2015-09-02$38.30$40.0047.4%13.6%47.5%70.0%39.5%6.2%-6.9%59.2K-315.7K-9.1K0.0699.73N/AN/A1,263792,148890
2015-09-03$37.26$35.0051.6%12.3%47.0%79.6%41.0%5.4%-0.6%43.6K49.3K-8.8K0.0790.29N/AN/A1,234922,161890
2015-09-04$35.63$35.0053.5%12.7%49.4%83.8%43.5%5.1%0.2%16.2K551.7K-7.4K0.0688.19N/AN/A1,234792,151893
2015-09-08$35.78$35.0053.9%12.8%44.7%84.7%0.0%8.2%-1.3%-15.0K894.6K-6.5K0.0085.27N/AN/A102,149893
2015-09-09$34.61$35.0044.0%12.6%45.1%62.1%44.7%3.0%-1.1%-63.6K1.4M-5.7K0.1079.47N/AN/A1,2081212,151893
2015-09-10$34.54$35.0043.1%12.3%44.9%60.0%43.5%5.7%-1.3%-61.6K1.4M-5.5K0.0786.30N/AN/A1,208812,155845
2015-09-11$34.34$35.0043.9%12.6%44.7%62.0%43.9%4.2%-2.2%-70.7K1.5M-5.3K0.0782.75N/AN/A1,213812,155845
2015-09-14$33.65$35.0043.5%12.5%44.0%61.0%43.7%3.4%-2.1%-69.9K1.8M-4.4K0.0791.46N/AN/A1,338882,165847
2015-09-15$34.27$35.0042.2%12.1%44.9%58.0%42.2%6.7%-0.7%-73.8K1.6M-4.5K0.3288.80N/AN/A2272,260860
2015-09-16$34.56$35.0041.8%12.0%45.1%57.1%42.8%6.0%-1.4%-94.4K1.5M-4.4K0.0890.80N/AN/A1,4451102,284855
2015-09-17$34.21$35.0041.1%11.8%45.1%55.5%42.2%5.3%-1.8%-115.0K1.6M-4.3K0.07101.70N/AN/A1,4451042,329852
2015-09-18$32.70$35.0041.9%12.0%47.2%57.4%40.7%6.1%-1.4%1.3K2.2M-3.5K0.0592.34N/AN/A1,9401062,329883
2015-09-21$32.50$35.0049.1%14.1%46.8%73.7%39.0%9.0%0.1%50.4K75.3K-4.8K0.2688.26N/AN/A36294990357
2015-09-22$31.45$35.0046.7%13.4%47.6%68.3%43.4%6.2%-3.2%39.7K226.2K-4.5K0.2487.96N/AN/A371901,002357
2015-09-23$30.43$35.0044.2%12.7%47.4%62.6%48.2%3.4%-0.5%26.4K529.5K-3.3K0.4787.93N/AN/A2921371,062367
2015-09-24$30.53$35.0051.5%14.8%47.4%79.2%49.7%9.4%-5.3%31.6K411.9K-4.6K0.4796.14N/AN/A2921371,181420
2015-09-25$29.83$35.0049.6%14.2%36.8%74.9%50.9%4.6%-5.0%25.7K575.9K-3.7K0.4696.45N/AN/A2941351,181420
2015-09-28$29.41$35.0048.1%13.8%35.3%71.6%45.0%-0.7%-0.4%15.8K649.3K-3.4K0.6899.72N/AN/A2001351,183422
2015-09-29$29.55$35.0050.2%14.4%33.9%76.3%45.9%1.4%-3.0%18.5K645.5K-3.4K0.8997.27N/AN/A1511351,193422
2015-09-30$29.80$35.0048.2%13.8%32.5%71.8%45.4%0.9%-3.1%15.7K673.4K-3.3K1.32100.23N/AN/A1512001,193422