CRS Options History — February 2016

In February 2016, CRS traded between $25.94 and $30.55. ATM implied volatility averaged 55.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 9.3% (HV 20d: 64.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2016-02-25: Highest Volume — 320 contracts
  • 2016-02-08: Largest IV spike — 24.9% change
  • 2016-02-08: Highest IV Rank — 54.3%
  • 2016-02-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.08$25.94$30.55$26.77$29.81
Max Pain$34.25$30.00$35.00$30.00$35.00
ATM IV55.6%45.2%72.4%63.4%45.2%
Expected Move15.4%12.9%18.2%18.2%12.9%
HV 20d64.9%44.6%75.6%45.0%72.4%
HV 60d53.0%44.6%57.2%44.7%56.2%
IV Rank36.3%25.1%54.3%44.7%25.1%
IV Percentile90.3%75.4%98.8%98.8%75.4%
Term Structure-4.9%-13.8%0.3%-9.9%-0.6%
VWIV52.7%45.9%59.1%55.7%47.3%
Skew 25d9.1%1.8%21.4%8.5%21.4%
Skew 10d16.4%-2.2%34.1%17.7%34.1%
Call IV 25d51.1%40.5%59.5%56.9%40.5%
Put IV 25d60.2%56.0%66.5%65.4%61.9%
Bid-Ask Spread %89.5981.4798.2394.3598.23
Gamma HHI0.320.260.380.370.38
Net GEX-2.1K-4.8K1.9K-4.7K1.9K
Net DEX266.9K13.0K456.3K397.1K13.0K
Net VEX-1.6K-2.5K-1.1K-1.3K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.260.900.630.26
Total Volume181.05128320129234
Total OI744.9667894667894

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$26.77$30.0063.4%18.2%45.0%44.7%55.7%8.5%-9.9%-4.7K397.1K-1.3K0.6394.35N/AN/A7950391276
2016-02-02$26.00$30.0057.4%16.5%44.6%38.3%57.1%4.7%-5.7%-4.7K456.3K-1.1K0.6388.32N/AN/A7950391276
2016-02-03$26.73$30.0062.5%17.9%46.1%43.7%58.4%2.5%-11.1%-4.8K410.7K-1.2K0.6092.33N/AN/A8350391276
2016-02-04$29.71$35.0060.8%14.5%60.4%41.8%45.9%7.9%-2.5%-3.3K209.8K-1.6K0.9081.86N/AN/A7870398276
2016-02-05$28.19$35.0057.9%14.9%61.2%38.8%50.0%5.1%-3.6%-4.3K329.7K-1.6K0.7684.46N/AN/A10378404297
2016-02-08$26.86$35.0072.4%16.8%63.2%54.3%54.6%1.8%-9.1%-4.0K391.1K-1.5K0.6486.26N/AN/A10366430298
2016-02-09$26.93$35.0063.1%16.8%59.0%44.4%51.3%6.4%-7.6%-3.6K392.6K-1.4K0.6481.47N/AN/A10366430282
2016-02-10$26.07$35.0057.1%16.4%60.3%38.0%48.5%5.7%-4.3%-4.0K382.9K-1.3K0.4785.88N/AN/A14066430276
2016-02-11$25.94$35.0062.3%17.9%60.0%43.6%53.5%12.3%-10.1%-2.4K398.7K-1.3K0.4783.11N/AN/A14066469276
2016-02-12$28.55$35.0060.2%17.3%68.0%41.3%56.7%14.5%-13.8%-365244.1K-1.7K0.4998.23N/AN/A13465469276
2016-02-16$30.05$35.0049.8%14.3%68.7%30.1%52.0%15.5%-0.9%844102.3K-1.7K0.4587.78N/AN/A10949472276
2016-02-17$30.55$35.0049.0%14.0%68.6%29.2%53.3%7.8%0.3%1.1K31.6K-1.7K0.2988.19N/AN/A9929479272
2016-02-18$28.48$35.0050.3%14.4%74.2%30.6%59.1%7.8%-0.7%1.0K229.4K-1.5K0.3192.55N/AN/A9830492273
2016-02-19$28.17$35.0050.0%14.3%74.5%30.3%53.5%3.7%-1.6%-2.8K322.6K-1.4K0.3087.46N/AN/A10331492272
2016-02-22$28.86$35.0047.5%13.6%74.7%27.6%48.2%13.6%-1.2%-3.3K223.4K-1.4K0.4788.52N/AN/A11052447251
2016-02-23$27.90$35.0048.3%13.9%75.6%28.5%52.3%10.7%-0.6%-3.2K286.6K-1.6K0.4890.58N/AN/A10852471273
2016-02-24$28.47$35.0054.9%15.7%74.6%35.5%54.3%7.0%-6.0%-3.6K271.6K-1.6K0.3595.69N/AN/A20071471273
2016-02-25$28.78$35.0053.0%15.2%73.6%33.5%51.6%9.5%-7.5%515123.5K-2.5K0.2991.21N/AN/A24971588301
2016-02-26$28.72$35.0047.0%13.5%73.6%27.1%49.9%16.6%-1.6%994121.4K-2.4K0.3895.24N/AN/A18671588301
2016-02-29$29.81$35.0045.2%12.9%72.4%25.1%47.3%21.4%-0.6%1.9K13.0K-2.5K0.2698.23N/AN/A18549592302