CRS Options History — November 2015

In November 2015, CRS traded between $32.76 and $35.94. ATM implied volatility averaged 39.1%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 20.3% (HV 20d: 59.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2015-11-17: Highest Volume — 509 contracts
  • 2015-11-30: Largest IV spike — 15.3% change
  • 2015-11-30: Highest IV Rank — 60.8%
  • 2015-11-30: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.26$32.76$35.94$34.46$35.94
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV39.1%37.3%43.5%39.2%43.5%
Expected Move11.1%10.4%12.5%11.2%12.5%
HV 20d59.5%41.1%72.8%71.0%43.4%
HV 60d53.7%52.8%54.4%54.3%53.1%
IV Rank50.9%46.8%60.8%51.1%60.8%
IV Percentile76.3%69.4%86.5%78.6%86.5%
Term Structure-0.6%-5.7%1.5%-1.6%-5.7%
VWIV40.4%35.2%56.2%39.3%36.5%
Skew 25d8.6%-2.3%18.5%10.8%12.0%
Skew 10d12.9%-6.3%28.6%17.1%9.2%
Call IV 25d36.6%29.0%44.1%35.5%30.2%
Put IV 25d45.2%36.5%50.9%46.3%42.2%
Bid-Ask Spread %91.7376.95103.8495.05103.84
Gamma HHI0.400.230.560.380.47
Net GEX2.8K-26.9K37.2K-7.3K36.8K
Net DEX352.1K-379.8K833.5K317.1K-379.8K
Net VEX-4.4K-5.8K-3.5K-5.8K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.003.762.340.00
Total Volume298.225094982
Total OI2,191.151,3322,5542,4261,382

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$34.46$35.0039.2%11.2%71.0%51.1%39.3%10.8%-1.6%-7.3K317.1K-5.8K2.3495.05N/AN/A1493498241,602
2015-11-03$35.26$35.0040.7%11.7%71.2%54.5%40.8%16.6%-2.7%-1.7K95.3K-5.6K2.2894.26N/AN/A1533498241,602
2015-11-04$34.08$35.0039.7%11.4%72.0%52.2%39.7%-2.3%-2.4%-13.3K510.0K-5.1K2.6699.80N/AN/A1313498201,602
2015-11-05$33.65$35.0039.0%10.7%71.5%50.6%40.2%3.4%0.6%-15.4K642.4K-5.0K3.0685.86N/AN/A1143498221,602
2015-11-06$34.04$35.0038.2%10.4%71.5%48.7%36.0%13.4%1.1%-11.8K547.6K-4.7K0.0090.78N/AN/A088201,602
2015-11-09$33.42$35.0037.9%11.0%71.3%48.1%39.4%3.8%-0.7%-26.9K721.7K-4.3K0.0081.68N/AN/A708201,605
2015-11-10$33.95$35.0041.3%10.9%71.6%55.8%41.6%4.7%0.5%-10.4K578.6K-4.5K3.7676.95N/AN/A973658261,605
2015-11-11$34.00$35.0038.2%10.9%71.5%48.7%41.2%2.2%0.9%1.4K524.5K-4.3K3.7693.20N/AN/A973658291,605
2015-11-12$32.76$35.0039.0%11.2%71.9%50.5%40.7%3.5%-1.4%-17.1K833.5K-4.1K2.6485.20N/AN/A1383658691,605
2015-11-13$33.70$35.0039.0%11.2%72.8%50.6%41.2%9.7%0.9%-24.8K603.6K-4.7K2.1288.99N/AN/A1613428691,605
2015-11-16$34.43$35.0039.2%11.2%57.7%51.0%35.2%12.0%1.2%2.3K493.4K-3.9K0.0086.90N/AN/A10508381,605
2015-11-17$33.88$35.0039.1%11.2%56.9%50.7%44.3%5.8%0.7%-713479.0K-4.5K2.0388.62N/AN/A1683419491,605
2015-11-18$35.19$35.0038.9%11.1%56.6%50.3%36.6%18.5%0.4%10.2K-50.8K-4.8K0.5697.76N/AN/A166939491,603
2015-11-19$34.53$35.0038.0%10.9%41.4%48.3%43.3%1.5%1.5%6.5K291.5K-4.4K0.5793.40N/AN/A164939491,603
2015-11-20$33.02$35.0040.4%11.6%43.5%53.8%56.2%0.8%-1.0%15.4K826.0K-3.9K0.4791.44N/AN/A194929481,605
2015-11-23$33.12$35.0039.0%11.2%41.1%50.6%38.8%6.4%-1.5%15.0K339.1K-3.5K0.0091.33N/AN/A120791541
2015-11-24$35.24$35.0037.5%10.7%46.0%47.1%37.3%17.6%-0.6%27.0K-37.6K-3.8K0.0994.67N/AN/A10910792541
2015-11-25$35.09$35.0037.3%10.7%43.3%46.8%38.6%16.5%-0.6%33.4K-84.3K-3.7K0.4098.51N/AN/A19276831551
2015-11-27$35.51$35.0037.7%10.8%43.3%47.6%36.5%15.2%-1.2%37.2K-209.5K-3.9K0.4896.35N/AN/A17584831551
2015-11-30$35.94$35.0043.5%12.5%43.4%60.8%0.0%12.0%-5.7%36.8K-379.8K-4.0K0.00103.84N/AN/A20830552