CRS Options History — May 2016

In May 2016, CRS traded between $29.19 and $35.60. ATM implied volatility averaged 45.1%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 0.5% (HV 20d: 44.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2016-05-20: Highest Volume — 390 contracts
  • 2016-05-27: Largest IV spike — 103.6% change
  • 2016-05-27: Highest IV Rank — 63.5%
  • 2016-05-27: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.59$29.19$35.60$35.60$32.12
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV45.1%35.4%80.9%40.9%43.2%
Expected Move12.8%9.8%23.2%11.7%12.4%
HV 20d44.6%34.4%49.5%34.4%49.5%
HV 60d49.3%45.6%54.4%52.0%45.7%
IV Rank25.1%14.7%63.5%20.6%23.0%
IV Percentile57.2%24.6%99.2%44.4%51.2%
Term Structure-1.6%-31.3%14.7%-1.5%8.6%
VWIV42.4%30.1%57.2%38.8%47.2%
Skew 25d2.9%-10.2%27.9%-10.2%4.7%
Skew 10d4.5%-16.8%38.8%-16.8%7.9%
Call IV 25d44.8%38.4%58.4%46.2%42.9%
Put IV 25d47.8%32.6%86.3%36.1%47.5%
Bid-Ask Spread %92.3678.64125.3189.0197.57
Gamma HHI0.350.290.720.410.33
Net GEX507-66.5K34.7K34.7K6.9K
Net DEX-99.5K-778.4K322.6K-778.4K-287.3K
Net VEX-3.6K-4.0K-3.2K-4.0K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.292.622.621.33
Total Volume304.19216390380386
Total OI1,357.3331,0871,5541,3441,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$35.60$35.0040.9%11.7%34.4%20.6%38.8%-10.2%-1.5%34.7K-778.4K-4.0K2.6289.01N/AN/A105275784560
2016-05-03$33.63$35.0040.5%11.6%40.4%20.1%34.6%-7.5%-2.5%16.7K-404.0K-3.6K1.7097.77N/AN/A135230787560
2016-05-04$33.42$35.0042.3%12.1%40.5%22.1%46.1%5.7%-4.0%15.3K-382.6K-4.0K1.59100.43N/AN/A145230823578
2016-05-05$32.78$35.0035.4%11.3%39.6%14.7%43.1%-4.9%-1.4%10.5K-276.3K-3.8K1.6588.64N/AN/A139230823578
2016-05-06$33.34$35.0039.8%11.1%35.8%19.4%40.0%3.0%0.2%12.9K-356.7K-3.8K1.4783.02N/AN/A157230829578
2016-05-09$30.45$35.0044.7%12.7%46.8%24.6%44.1%1.8%-3.4%-5.4K179.0K-3.3K0.7293.73N/AN/A176127833578
2016-05-10$31.61$35.0046.5%9.8%48.7%26.6%30.1%8.2%14.7%-8.8K5.7K-3.2K0.5197.85N/AN/A17488851596
2016-05-11$31.11$35.0042.4%12.2%45.3%22.2%39.1%4.3%-0.9%-2.2K41.5K-3.6K0.5683.81N/AN/A15788848606
2016-05-12$30.83$35.0044.2%12.7%44.4%24.2%36.4%5.3%-1.9%-3.2K78.6K-3.5K0.4383.92N/AN/A18378858606
2016-05-13$30.70$35.0044.7%12.8%44.0%24.6%38.5%4.1%-2.4%35545.7K-4.0K0.4392.61N/AN/A18378931613
2016-05-16$30.54$35.0044.5%12.8%43.3%24.5%37.2%-4.6%-1.9%-3.8K85.1K-3.7K0.4395.48N/AN/A18379931613
2016-05-17$30.49$35.0046.4%13.3%43.1%26.5%38.8%7.5%-1.0%-2.9K51.4K-3.9K0.4389.70N/AN/A18379941613
2016-05-18$29.19$35.0046.0%13.2%44.4%26.0%48.2%2.7%-3.4%-9.8K322.6K-3.4K0.3387.40N/AN/A29295899616
2016-05-19$30.02$35.0048.0%13.8%46.6%28.2%53.0%3.0%-4.2%-11.5K215.4K-3.4K0.3291.22N/AN/A29293899624
2016-05-20$29.97$35.0046.3%13.3%46.6%26.4%47.2%2.6%-2.7%-66.5K183.0K-3.5K0.2978.64N/AN/A30288899637
2016-05-23$30.74$35.0044.0%12.6%48.2%23.8%44.8%5.7%-1.6%2.3K-10.5K-3.4K0.3686.46N/AN/A16259577528
2016-05-24$30.94$35.0042.7%12.2%48.3%22.5%43.1%-0.9%-1.1%3.6K-64.1K-3.4K0.3493.47N/AN/A17159569518
2016-05-25$32.00$35.0044.5%12.8%48.7%24.5%43.8%-0.1%-3.6%6.6K-240.1K-3.6K0.3690.38N/AN/A16459581518
2016-05-26$32.23$35.0039.8%11.4%48.9%19.3%38.4%3.6%11.1%7.5K-312.1K-3.6K0.3293.23N/AN/A16452586518
2016-05-27$31.66$35.0080.9%23.2%49.1%63.5%57.2%27.9%-31.3%7.4K-184.9K-3.6K0.31125.31N/AN/A16652586521
2016-05-31$32.12$35.0043.2%12.4%49.5%23.0%47.2%4.7%8.6%6.9K-287.3K-3.4K1.3397.57N/AN/A166220589521