CRS Options History — April 2016

In April 2016, CRS traded between $32.63 and $37.31. ATM implied volatility averaged 47.8%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 9.0% (HV 20d: 38.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2016-04-04: Highest Volume — 479 contracts
  • 2016-04-13: Largest IV drop — 29.9% change
  • 2016-04-11: Highest IV Rank — 48.2%
  • 2016-04-19: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.37$32.63$37.31$34.70$35.45
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV47.8%40.4%66.7%41.0%42.6%
Expected Move13.0%11.6%14.4%11.7%12.2%
HV 20d38.8%33.6%52.3%50.9%36.4%
HV 60d57.5%56.1%59.1%58.8%56.1%
IV Rank28.0%20.0%48.2%20.6%22.4%
IV Percentile70.1%42.9%98.0%52.0%54.0%
Term Structure-2.0%-7.3%5.0%5.0%-1.8%
VWIV45.8%38.5%49.5%40.3%39.3%
Skew 25d5.4%-4.6%16.0%16.0%-4.5%
Skew 10d11.7%-8.1%28.4%24.9%-7.7%
Call IV 25d44.9%38.9%49.5%38.9%43.5%
Put IV 25d50.4%38.0%60.6%54.9%39.0%
Bid-Ask Spread %84.0371.54100.2497.2690.53
Gamma HHI0.570.370.740.740.43
Net GEX38.5K20.5K53.5K53.5K33.6K
Net DEX-936.1K-1.8M-394.3K-971.1K-763.9K
Net VEX-4.2K-5.0K-3.6K-5.0K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.213.650.892.89
Total Volume255146479178370
Total OI1,106.0951,0091,3101,1581,302

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$34.70$35.0041.0%11.7%50.9%20.6%40.3%16.0%5.0%53.5K-971.1K-5.0K0.8997.26N/AN/A9484777381
2016-04-04$33.66$35.0043.0%13.0%52.3%22.8%47.8%1.8%-1.5%48.9K-654.5K-4.6K0.2172.87N/AN/A39584777381
2016-04-05$33.72$35.0047.7%13.2%45.0%27.8%48.0%6.1%-1.8%32.2K-583.6K-4.3K0.8571.54N/AN/A9278673381
2016-04-06$33.62$35.0045.9%12.8%33.6%25.9%45.5%6.1%-1.4%30.5K-500.8K-4.3K0.7680.72N/AN/A10278673385
2016-04-07$32.63$35.0046.2%13.5%35.6%26.3%49.5%3.4%-3.3%30.2K-394.3K-4.2K0.6877.12N/AN/A11578688385
2016-04-08$34.28$35.0054.3%12.6%37.8%34.9%44.9%9.9%0.0%33.4K-686.3K-4.3K0.6786.64N/AN/A11678683385
2016-04-11$35.00$35.0066.7%13.2%38.0%48.2%46.8%6.6%-1.6%38.6K-930.7K-4.2K0.5378.41N/AN/A14678680385
2016-04-12$34.07$35.0065.5%13.2%39.4%46.9%48.3%3.3%-1.6%39.6K-692.8K-4.1K0.5882.68N/AN/A14685689385
2016-04-13$35.64$35.0045.9%13.2%42.0%25.9%46.6%4.9%-2.0%45.6K-1.2M-4.0K0.6488.86N/AN/A13285689399
2016-04-14$36.27$35.0045.6%13.1%40.6%25.6%45.3%7.0%-1.4%45.6K-1.5M-3.7K0.4478.74N/AN/A19485691399
2016-04-15$36.58$35.0045.9%13.2%38.5%25.9%43.5%10.1%-1.9%20.5K-1.8M-3.8K0.2581.71N/AN/A32681758399
2016-04-18$37.03$35.0049.0%14.0%37.1%29.2%44.1%11.2%-4.6%41.7K-1.2M-4.4K0.2881.13N/AN/A26675705306
2016-04-19$37.14$35.0050.1%14.4%37.1%30.5%48.2%3.6%-7.3%42.0K-1.2M-4.3K1.1280.40N/AN/A6977703306
2016-04-20$37.31$35.0049.3%14.1%36.8%29.6%47.3%11.1%-2.0%43.8K-1.2M-4.7K1.1285.94N/AN/A6977718310
2016-04-21$36.85$35.0049.1%14.1%34.2%29.3%46.3%6.5%-5.4%44.1K-1.1M-4.3K1.1282.88N/AN/A6977718310
2016-04-22$36.24$35.0046.7%13.4%34.7%26.8%48.1%3.1%-1.5%40.2K-964.2K-4.3K1.4685.84N/AN/A70102721310
2016-04-25$35.65$35.0047.6%13.6%35.4%27.7%48.8%2.9%-4.5%37.7K-870.4K-4.0K1.8183.84N/AN/A72130729317
2016-04-26$35.08$35.0041.2%11.8%35.6%20.9%46.5%2.7%-2.4%33.4K-725.5K-3.6K2.5784.45N/AN/A105270738390
2016-04-27$36.12$35.0040.4%11.6%37.0%20.0%48.0%6.8%-0.3%37.8K-882.4K-4.0K2.97100.24N/AN/A91270747545
2016-04-28$35.75$35.0040.6%11.6%36.3%20.2%38.5%-4.6%-0.2%34.7K-800.7K-4.1K3.6592.92N/AN/A74270765545
2016-04-29$35.45$35.0042.6%12.2%36.4%22.4%39.3%-4.5%-1.8%33.6K-763.9K-4.1K2.8990.53N/AN/A95275757545