CRS Options History — December 2015

In December 2015, CRS traded between $27.96 and $36.58. ATM implied volatility averaged 42.3%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 5.2% (HV 20d: 47.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2015-12-15: Highest Volume — 557 contracts
  • 2015-12-11: Largest IV spike — 34.9% change
  • 2015-12-11: Highest IV Rank — 75.6%
  • 2015-12-11: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.83$27.96$36.58$36.58$30.36
Max Pain$32.50$30.00$35.00$35.00$30.00
ATM IV42.3%37.0%49.9%43.5%41.9%
Expected Move11.8%10.3%14.3%12.5%12.0%
HV 20d47.5%40.1%53.7%42.4%47.6%
HV 60d54.7%52.1%56.8%52.4%54.8%
IV Rank57.1%46.1%75.6%60.9%52.1%
IV Percentile81.0%65.1%94.8%86.5%77.8%
Term Structure2.1%-3.0%21.5%-3.0%0.1%
VWIV41.1%30.5%52.3%43.4%42.7%
Skew 25d6.8%-1.7%17.4%15.0%-1.7%
Skew 10d11.4%-1.0%33.5%11.3%-1.0%
Call IV 25d40.8%28.4%48.3%28.4%45.2%
Put IV 25d47.7%40.0%54.8%43.4%43.5%
Bid-Ask Spread %89.0770.59101.67101.6790.73
Gamma HHI0.410.210.670.470.25
Net GEX8.8K-22.8K41.8K37.2K-3.1K
Net DEX390.9K-478.0K1.5M-478.0K233.9K
Net VEX-3.0K-3.9K-2.2K-3.8K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.006.606.601.45
Total Volume273.091155738316
Total OI1,311.5459081,8381,382969

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$36.58$35.0043.5%12.5%42.4%60.9%43.4%15.0%-3.0%37.2K-478.0K-3.8K6.60101.67N/AN/A533830552
2015-12-02$36.20$35.0041.0%11.7%42.0%55.1%39.2%2.1%-2.0%37.5K-380.8K-3.8K0.7394.66N/AN/A143105832578
2015-12-03$35.70$35.0044.3%10.8%40.3%62.7%37.7%2.1%1.1%37.1K-281.2K-3.9K0.7486.60N/AN/A143106833578
2015-12-04$35.47$35.0037.4%10.3%40.1%46.9%35.9%4.1%2.9%41.8K-128.2K-3.5K0.6585.29N/AN/A14393828579
2015-12-07$34.05$35.0042.3%10.6%42.7%58.2%0.0%3.5%2.1%32.8K235.6K-2.9K0.0087.06N/AN/A10826580
2015-12-08$33.40$35.0044.9%10.7%42.8%64.1%37.5%7.3%2.1%24.3K351.5K-2.8K0.6586.01N/AN/A14293827580
2015-12-09$33.50$35.0039.5%11.3%42.4%51.7%39.5%5.8%1.1%31.5K314.5K-2.8K0.6385.41N/AN/A14893827580
2015-12-10$34.43$35.0037.0%10.6%43.6%46.1%37.0%8.0%3.6%37.6K131.5K-3.0K0.6389.46N/AN/A14893827580
2015-12-11$31.58$35.0049.9%14.3%51.9%75.6%39.7%8.2%-2.1%6.1K622.5K-2.4K1.9477.98N/AN/A148287827580
2015-12-14$30.88$35.0040.8%11.7%51.1%54.6%30.5%6.1%9.5%-17.9K1.1M-2.9K1.0985.37N/AN/A148162827792
2015-12-15$29.22$35.0044.6%12.8%53.2%63.4%44.0%6.0%-0.4%-22.8K1.2M-2.2K1.0987.84N/AN/A266291827738
2015-12-16$28.36$30.0043.2%12.4%53.7%60.3%44.1%2.2%0.5%-16.0K1.3M-2.8K0.6092.92N/AN/A265159990832
2015-12-17$27.96$30.0042.6%12.2%50.8%58.8%42.4%8.9%2.0%-4.6K1.5M-2.5K0.6470.59N/AN/A265169989839
2015-12-18$28.48$30.0043.1%12.3%51.8%59.9%42.1%4.6%0.6%-4.5K1.5M-2.7K1.5979.96N/AN/A106169989849
2015-12-21$29.00$30.0041.6%11.9%50.9%56.6%46.8%12.3%21.5%-4.7K510.3K-2.7K2.3594.11N/AN/A62146471437
2015-12-22$30.23$30.0040.1%11.5%53.6%53.0%52.3%17.4%1.6%-4.8K311.2K-2.9K1.5997.68N/AN/A93148473437
2015-12-23$31.12$30.0040.3%11.5%49.3%53.5%42.5%4.7%2.7%-2.5K68.9K-3.2K1.6096.11N/AN/A98157506439
2015-12-24$31.00$30.0041.6%11.9%49.3%55.2%32.8%8.3%1.8%-2.9K104.6K-3.1K1.6088.81N/AN/A98157506439
2015-12-28$30.88$30.0044.9%12.9%48.9%59.7%49.2%3.9%-1.3%-2.9K145.9K-3.0K1.6292.34N/AN/A97157506439
2015-12-29$30.97$30.0043.3%12.4%48.5%55.5%41.2%4.9%0.6%-3.0K117.5K-2.9K1.7194.03N/AN/A97166508439
2015-12-30$30.81$30.0042.0%12.0%47.6%52.2%41.9%17.0%1.4%-3.6K164.5K-3.0K1.5694.92N/AN/A114178510459
2015-12-31$30.36$30.0041.9%12.0%47.6%52.1%42.7%-1.7%0.1%-3.1K233.9K-3.0K1.4590.73N/AN/A129187510459