CRS Options History — March 2016

In March 2016, CRS traded between $29.81 and $35.59. ATM implied volatility averaged 47.4%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 16.6% (HV 20d: 64.0%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2016-03-14: Highest Volume — 901 contracts
  • 2016-03-08: Largest IV spike — 54.6% change
  • 2016-03-08: Highest IV Rank — 66.6%
  • 2016-03-11: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.30$29.81$35.59$29.81$34.37
Max Pain$33.64$25.00$35.00$35.00$35.00
ATM IV47.4%38.3%83.8%45.0%41.7%
Expected Move13.1%11.0%15.1%12.9%12.0%
HV 20d64.0%51.4%76.0%72.1%51.4%
HV 60d59.2%56.2%62.4%56.2%58.8%
IV Rank27.5%17.8%66.6%25.0%21.5%
IV Percentile71.3%49.2%99.6%75.0%54.8%
Term Structure1.8%-6.8%17.1%-0.8%2.7%
VWIV44.5%32.6%55.7%47.6%43.6%
Skew 25d9.0%-4.3%22.2%18.7%-1.4%
Skew 10d16.5%-21.8%37.5%29.8%-1.2%
Call IV 25d41.0%27.3%59.8%42.5%39.6%
Put IV 25d50.0%38.2%61.2%61.2%38.2%
Bid-Ask Spread %94.2481.21102.4996.91101.05
Gamma HHI0.610.310.740.400.74
Net GEX28.0K-1.2K49.3K2.4K49.3K
Net DEX-669.1K-1.7M1.2K1.2K-910.7K
Net VEX-4.7K-5.6K-2.4K-2.4K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.262.180.260.89
Total Volume485.727169901234178
Total OI1,261.5458761,6148951,148

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$29.81$35.0045.0%12.9%72.1%25.0%47.6%18.7%-0.8%2.4K1.2K-2.4K0.2696.91N/AN/A18549595300
2016-03-02$32.33$35.0038.3%11.0%75.6%17.8%32.6%20.5%17.1%4.2K-299.6K-2.5K0.32101.63N/AN/A14346594300
2016-03-03$31.77$25.0045.6%14.2%76.0%25.6%47.4%11.4%-3.8%3.2K-227.9K-2.6K1.2588.95N/AN/A156195578298
2016-03-04$31.72$25.0051.3%13.5%66.8%31.7%49.0%5.5%1.7%-1.2K-58.1K-3.4K1.2394.97N/AN/A158195600416
2016-03-07$34.17$25.0054.2%13.1%67.9%34.9%45.4%22.2%0.5%6.2K-416.2K-3.2K0.5190.32N/AN/A581296602416
2016-03-08$31.51$35.0083.8%15.1%72.5%66.6%46.8%-4.3%-2.2%22.1K-409.6K-5.6K0.5191.31N/AN/A5812961,042516
2016-03-09$31.48$35.0049.5%14.2%72.5%29.8%42.8%5.3%-0.8%19.9K-259.5K-5.4K0.5286.96N/AN/A5802991,042516
2016-03-10$32.56$35.0050.7%14.5%71.4%31.1%47.9%9.7%1.8%23.4K-478.2K-5.6K0.5389.48N/AN/A5873091,042516
2016-03-11$32.20$35.0052.6%15.1%71.6%33.1%45.7%4.8%-6.8%22.7K-406.1K-5.5K0.5384.45N/AN/A5873091,056526
2016-03-14$31.98$35.0050.7%14.5%64.4%31.0%47.5%6.3%-1.8%21.6K-292.5K-5.1K0.5281.21N/AN/A5923091,056526
2016-03-15$31.92$35.0049.5%14.2%62.1%29.8%55.7%7.8%-1.8%21.5K-273.2K-5.0K1.0989.86N/AN/A2833091,064526
2016-03-16$33.13$35.0040.4%11.6%63.1%20.0%40.0%8.6%5.1%34.0K-554.3K-5.1K1.17102.49N/AN/A2643101,064525
2016-03-17$34.46$35.0042.4%12.2%57.8%22.2%42.1%10.2%3.4%41.4K-1.1M-5.3K1.1894.68N/AN/A2643121,065526
2016-03-18$35.59$35.0043.2%12.4%57.8%23.1%43.1%6.8%2.0%39.3K-1.7M-5.3K0.8790.78N/AN/A2592251,085529
2016-03-21$35.57$35.0044.0%12.6%57.8%23.9%43.7%5.7%4.0%40.5K-1.2M-5.4K0.7996.36N/AN/A186147745333
2016-03-22$35.20$35.0043.1%12.3%56.0%22.9%43.1%4.6%3.9%42.5K-1.2M-5.4K0.8094.94N/AN/A184147749334
2016-03-23$33.91$35.0041.7%11.9%58.5%21.4%47.8%7.4%3.2%40.2K-844.7K-5.1K0.8099.84N/AN/A183147749335
2016-03-24$34.39$35.0044.5%12.8%58.5%24.4%40.3%15.2%3.8%41.0K-925.5K-5.1K1.8496.65N/AN/A80147749335
2016-03-28$34.48$35.0043.7%12.5%58.4%23.6%43.0%12.7%2.4%46.0K-985.9K-5.0K2.1899.78N/AN/A83181756335
2016-03-29$34.99$35.0043.1%12.4%57.5%23.0%42.1%16.1%2.6%46.7K-1.1M-5.1K1.08101.53N/AN/A8491756379
2016-03-30$35.12$35.0042.6%12.2%57.4%22.4%42.5%3.7%2.4%49.0K-1.1M-5.0K0.9999.03N/AN/A8584756374
2016-03-31$34.37$35.0041.7%12.0%51.4%21.5%43.6%-1.4%2.7%49.3K-910.7K-4.9K0.89101.05N/AN/A9484767381