CRS Options History — October 2015

In October 2015, CRS traded between $29.62 and $35.90. ATM implied volatility averaged 43.4%, placing in the 60.6% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 9.1% (HV 20d: 52.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2015-10-21: Highest Volume — 1,663 contracts
  • 2015-10-12: Largest IV spike — 29.4% change
  • 2015-10-02: Highest IV Rank — 92.2%
  • 2015-10-02: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.04$29.62$35.90$29.68$33.36
Max Pain$32.95$30.00$35.00$35.00$35.00
ATM IV43.4%35.3%57.2%51.8%39.2%
Expected Move12.4%10.8%16.4%14.8%11.2%
HV 20d52.5%29.8%74.3%29.8%72.8%
HV 60d46.1%39.6%54.4%39.6%53.8%
IV Rank60.6%42.2%92.2%79.8%51.1%
IV Percentile86.7%75.8%98.4%97.2%78.2%
Term Structure-2.2%-12.1%0.3%-6.0%-0.9%
VWIV44.1%30.6%58.0%47.7%39.2%
Skew 25d7.3%-8.5%24.9%1.6%8.5%
Skew 10d15.0%-14.0%48.4%3.0%13.6%
Call IV 25d40.3%34.9%48.1%45.8%38.0%
Put IV 25d47.6%39.5%66.8%47.4%46.4%
Bid-Ask Spread %91.2380.16108.76101.9092.97
Gamma HHI0.630.270.900.480.50
Net GEX44.2K-48.5K250.7K16.2K-22.4K
Net DEX283.7K-1.5M1.6M703.5K735.7K
Net VEX-5.2K-6.3K-3.5K-3.5K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.084.150.872.34
Total Volume478.591131,663298498
Total OI1,880.1361,3832,4201,6802,420

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$29.68$35.0051.8%14.8%29.8%79.8%47.7%1.6%-6.0%16.2K703.5K-3.5K0.87101.90N/AN/A1591391,193487
2015-10-02$31.05$35.0057.2%16.4%35.6%92.2%46.4%24.9%-12.1%32.9K457.7K-4.5K1.02108.76N/AN/A1411441,203485
2015-10-05$32.85$30.0048.1%11.7%40.0%71.5%0.0%12.0%0.3%63.5K102.8K-5.1K0.0887.85N/AN/A1211,203488
2015-10-06$33.42$30.0042.1%11.8%40.6%57.6%44.6%5.6%-1.7%81.3K-108.5K-5.5K0.7986.51N/AN/A1451141,213489
2015-10-07$34.16$30.0040.2%11.9%40.0%53.3%48.7%5.5%-1.4%114.8K-374.9K-5.8K1.0291.38N/AN/A1211241,211489
2015-10-08$35.02$30.0042.3%12.0%41.0%58.1%45.6%10.8%-1.1%130.5K-867.8K-6.3K1.1483.78N/AN/A1131291,212500
2015-10-09$35.38$30.0035.6%11.5%41.0%42.8%47.3%4.7%-1.4%161.2K-1.1M-6.3K0.4286.48N/AN/A3061291,222514
2015-10-12$34.58$30.0046.1%11.8%41.2%66.8%46.8%7.2%-1.7%119.0K-421.0K-5.2K0.4380.16N/AN/A3061321,081510
2015-10-13$34.74$30.0035.3%11.6%40.8%42.2%44.7%9.8%-1.4%177.3K-473.9K-5.4K1.2991.86N/AN/A1171511,081510
2015-10-14$35.10$30.0040.2%11.5%40.8%53.3%45.5%9.9%-0.5%250.7K-566.4K-5.0K1.4287.53N/AN/A1061511,074525
2015-10-15$35.90$30.0040.9%11.7%41.3%54.9%44.9%10.7%-1.7%117.0K-1.1M-5.2K0.9187.79N/AN/A1691541,070515
2015-10-16$35.42$35.0039.4%11.3%37.8%51.4%39.6%6.7%-0.8%13.9K-1.5M-4.9K0.8688.65N/AN/A4623991,093518
2015-10-19$31.34$35.0047.1%13.5%58.7%69.1%46.8%6.2%-1.7%-16.1K1.2M-3.9K1.2985.70N/AN/A293379658725
2015-10-20$30.45$35.0042.2%12.1%58.4%58.0%44.9%4.3%-1.1%-28.8K1.6M-3.7K0.8090.45N/AN/A323259738901
2015-10-21$29.62$35.0043.7%12.5%58.1%61.4%46.6%3.4%-3.3%-24.1K1.6M-3.7K4.1590.80N/AN/A3231,340763906
2015-10-22$33.20$35.0051.1%14.7%71.1%78.3%58.0%3.8%-2.4%-42.4K995.5K-6.2K3.8290.45N/AN/A1174477631,636
2015-10-23$32.35$35.0046.5%13.3%71.3%67.8%38.9%7.4%-4.0%-37.2K1.0M-6.1K3.0690.81N/AN/A1464477641,599
2015-10-26$31.17$35.0044.1%12.7%72.5%62.3%30.6%-8.5%-1.5%-48.5K1.4M-5.4K2.4291.52N/AN/A1463537901,599
2015-10-27$31.68$35.0043.8%12.6%72.7%61.6%41.9%13.5%-2.0%-39.5K1.3M-5.1K2.5399.49N/AN/A1453677901,610
2015-10-28$33.22$35.0037.7%10.8%74.3%47.6%37.4%8.0%-0.6%-23.6K776.1K-5.7K2.5594.41N/AN/A1443678201,593
2015-10-29$33.08$35.0039.9%11.4%74.3%52.7%40.1%4.5%-1.5%-23.0K743.6K-5.8K2.5597.72N/AN/A1443678201,582
2015-10-30$33.36$35.0039.2%11.2%72.8%51.1%39.2%8.5%-0.9%-22.4K735.7K-5.6K2.3492.97N/AN/A1493498201,600