CRS Options History — January 2016

In January 2016, CRS traded between $25.14 and $29.39. ATM implied volatility averaged 58.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 15.8% (HV 20d: 42.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.12.

Notable Days

2016-01-05: Highest Volume — 270 contracts
2016-01-08: Largest IV spike — 49.1% change
2016-01-08: Highest IV Rank — 100.0%
2016-01-15: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.40	$25.14	$29.39	$29.33	$27.19
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	58.4%	44.7%	115.0%	52.1%	56.1%
Expected Move	14.8%	12.7%	17.0%	13.1%	16.1%
HV 20d	42.6%	33.1%	50.0%	48.5%	45.0%
HV 60d	50.0%	43.7%	56.4%	54.9%	45.0%
IV Rank	50.4%	30.9%	100.0%	78.2%	36.9%
IV Percentile	95.8%	87.7%	100.0%	97.2%	96.8%
Term Structure	-3.5%	-9.8%	0.1%	-1.4%	-8.2%
VWIV	49.5%	45.4%	55.3%	46.5%	52.4%
Skew 25d	5.2%	-0.3%	14.8%	2.6%	3.9%
Skew 10d	11.9%	0.5%	23.4%	4.2%	17.9%
Call IV 25d	50.8%	43.6%	54.8%	49.2%	51.4%
Put IV 25d	56.0%	50.9%	67.5%	51.9%	55.3%
Bid-Ask Spread %	82.34	72.37	95.12	72.37	91.52
Gamma HHI	0.38	0.32	0.42	0.32	0.39
Net GEX	-4.8K	-5.7K	-3.7K	-3.7K	-5.4K
Net DEX	613.2K	409.5K	948.7K	440.5K	409.5K
Net VEX	-1.4K	-2.6K	-957	-2.6K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.63	1.62	1.34	0.63
Total Volume	187.632	112	270	269	130
Total OI	829.421	632	1,000	988	657

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-01-04	$29.33	$30.00	52.1%	13.1%	48.5%	78.2%	46.5%	2.6%	-1.4%	-3.7K	440.5K	-2.6K	1.34	72.37	N/A	N/A	115	154	526	462
2016-01-05	$29.39	$30.00	51.0%	12.7%	48.7%	75.4%	45.4%	7.2%	-0.5%	-4.2K	495.4K	-2.4K	1.31	73.92	N/A	N/A	117	153	526	464
2016-01-06	$29.09	$30.00	44.7%	13.1%	47.2%	59.1%	46.5%	6.6%	-1.4%	-3.8K	535.4K	-2.4K	1.43	82.21	N/A	N/A	107	153	534	466
2016-01-07	$27.79	$30.00	51.9%	14.0%	49.0%	77.6%	49.1%	2.1%	0.1%	-4.5K	727.7K	-2.1K	1.53	80.00	N/A	N/A	94	144	534	466
2016-01-08	$27.23	$30.00	77.3%	16.1%	48.9%	100.0%	48.2%	3.4%	-9.8%	-5.2K	663.2K	-2.0K	1.53	79.64	N/A	N/A	94	144	532	466
2016-01-11	$25.60	$30.00	115.0%	14.5%	50.0%	100.0%	45.9%	2.3%	-2.5%	-4.8K	838.1K	-1.5K	1.53	74.36	N/A	N/A	94	144	532	466
2016-01-12	$25.56	$30.00	75.7%	14.3%	42.4%	57.9%	47.1%	3.8%	-2.2%	-5.7K	948.7K	-1.1K	1.48	74.68	N/A	N/A	97	144	532	464
2016-01-13	$25.15	$30.00	51.0%	14.6%	42.2%	31.4%	49.5%	-0.3%	-1.6%	-5.3K	935.3K	-1.1K	1.48	84.09	N/A	N/A	97	144	535	464
2016-01-14	$25.98	$30.00	55.5%	15.9%	41.3%	36.3%	49.1%	4.5%	-6.1%	-5.6K	929.0K	-1.2K	1.62	72.61	N/A	N/A	89	144	535	464
2016-01-15	$25.23	$30.00	59.2%	17.0%	41.2%	40.1%	50.1%	14.8%	-8.6%	-4.3K	919.3K	-1.1K	1.53	90.49	N/A	N/A	94	144	536	464
2016-01-19	$25.21	$30.00	52.2%	15.0%	41.2%	32.7%	49.6%	5.6%	-3.0%	-4.6K	480.1K	-1.0K	0.67	85.81	N/A	N/A	76	51	359	273
2016-01-20	$25.20	$30.00	52.7%	15.1%	40.3%	33.2%	53.0%	6.3%	-1.7%	-4.3K	469.3K	-1.0K	0.74	84.74	N/A	N/A	70	52	367	273
2016-01-21	$25.34	$30.00	52.3%	15.0%	39.5%	32.8%	48.6%	5.8%	-2.6%	-4.6K	470.8K	-1.0K	0.76	82.47	N/A	N/A	70	53	367	274
2016-01-22	$25.61	$30.00	50.5%	14.5%	35.8%	30.9%	47.0%	6.1%	-1.9%	-4.7K	475.8K	-1.0K	0.83	81.79	N/A	N/A	66	55	367	274
2016-01-25	$25.14	$30.00	53.3%	15.3%	33.1%	33.8%	55.2%	5.0%	-3.3%	-4.6K	478.6K	-989	0.70	83.81	N/A	N/A	66	46	368	275
2016-01-26	$26.22	$30.00	53.5%	15.3%	38.0%	34.0%	52.7%	7.9%	-4.7%	-5.1K	462.1K	-1.1K	0.74	88.43	N/A	N/A	68	50	368	276
2016-01-27	$25.47	$30.00	52.7%	15.1%	38.7%	33.2%	55.3%	3.6%	-4.2%	-4.9K	488.0K	-957	0.74	95.12	N/A	N/A	68	50	370	276
2016-01-28	$25.79	$30.00	53.0%	15.2%	39.2%	33.6%	49.6%	6.5%	-3.4%	-5.1K	484.1K	-981	0.64	86.41	N/A	N/A	78	50	371	276
2016-01-29	$27.19	$30.00	56.1%	16.1%	45.0%	36.9%	52.4%	3.9%	-8.2%	-5.4K	409.5K	-1.2K	0.63	91.52	N/A	N/A	80	50	381	276