CRS Options History — June 2016

In June 2016, CRS traded between $30.40 and $34.95. ATM implied volatility averaged 41.5%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 6.2% (HV 20d: 35.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-06-08: Highest Volume — 251 contracts
  • 2016-06-24: Largest IV spike — 43.0% change
  • 2016-06-24: Highest IV Rank — 33.0%
  • 2016-06-24: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.07$30.40$34.95$32.08$32.79
Max Pain$30.23$30.00$35.00$35.00$30.00
ATM IV41.5%36.9%53.7%39.5%40.9%
Expected Move11.8%10.5%15.4%11.3%11.7%
HV 20d35.2%24.0%46.8%45.6%46.8%
HV 60d39.9%37.4%43.7%43.0%43.7%
IV Rank20.7%16.3%33.0%19.1%17.9%
IV Percentile39.5%17.9%88.9%31.3%34.9%
Term Structure1.8%-5.0%11.7%11.7%4.7%
VWIV47.8%40.7%67.9%44.4%42.1%
Skew 25d6.5%-8.4%17.2%-0.7%4.0%
Skew 10d12.6%-12.1%33.4%32.2%0.6%
Call IV 25d41.1%30.8%58.2%46.7%39.8%
Put IV 25d47.6%40.5%69.3%46.0%43.8%
Bid-Ask Spread %96.3785.35112.0092.20106.95
Gamma HHI0.350.300.420.330.30
Net GEX11.9K5.8K19.8K5.8K13.3K
Net DEX-466.1K-756.3K-222.8K-235.1K-457.3K
Net VEX-3.2K-3.8K-2.7K-3.4K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.310.820.470.60
Total Volume211.773153251248168
Total OI926.3185071,1401,120686

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$32.08$35.0039.5%11.3%45.6%19.1%44.4%-0.7%11.7%5.8K-235.1K-3.4K0.4792.20N/AN/A16979589531
2016-06-02$32.48$30.0040.5%12.0%45.9%20.2%41.1%5.5%0.6%8.2K-317.6K-3.5K0.4786.49N/AN/A16979589521
2016-06-03$32.60$30.0037.5%11.1%45.4%16.9%40.7%1.0%1.9%7.5K-331.2K-3.3K0.4687.37N/AN/A17079589521
2016-06-06$33.62$30.0042.5%10.5%46.4%22.3%44.9%11.1%3.3%9.5K-535.6K-3.1K0.5087.79N/AN/A15779590521
2016-06-07$34.04$30.0038.8%10.8%31.6%18.3%45.8%16.0%2.6%10.1K-600.9K-3.1K0.4892.15N/AN/A16479587521
2016-06-08$34.66$30.0037.2%10.7%29.7%16.6%43.2%3.9%2.2%13.0K-756.3K-3.2K0.5391.99N/AN/A16487593521
2016-06-09$34.15$30.0036.9%10.6%29.6%16.3%44.1%5.9%3.1%11.3K-601.4K-3.1K0.5385.35N/AN/A16487593530
2016-06-10$33.51$30.0039.7%11.4%30.4%19.3%45.5%2.2%0.9%10.2K-504.9K-3.1K0.5489.02N/AN/A16187593530
2016-06-13$33.30$30.0042.2%12.1%30.5%22.0%48.7%4.5%1.8%11.3K-545.1K-3.2K0.5486.31N/AN/A16187600530
2016-06-14$32.94$30.0043.5%12.5%30.8%23.4%49.0%7.4%1.2%12.4K-604.1K-3.0K0.5293.69N/AN/A16083600530
2016-06-15$33.41$30.0043.1%12.4%30.9%23.0%52.4%13.1%-1.1%11.6K-544.0K-2.9K0.77102.40N/AN/A10581602530
2016-06-16$33.78$30.0037.3%10.7%25.2%16.6%46.6%12.0%2.7%12.0K-541.2K-2.9K0.7996.64N/AN/A10583602538
2016-06-17$34.06$30.0038.5%11.0%24.0%18.0%48.6%12.8%2.2%12.4K-409.5K-2.7K0.82104.75N/AN/A10183602538
2016-06-20$34.95$30.0038.7%11.1%24.7%18.2%48.2%13.8%3.4%14.7K-530.4K-2.7K0.31105.07N/AN/A18657359148
2016-06-21$33.80$30.0040.1%11.5%27.8%19.7%67.9%17.2%-0.6%18.1K-545.9K-3.6K0.31105.67N/AN/A18657482150
2016-06-22$33.25$30.0041.0%11.8%28.7%20.7%48.8%5.4%1.7%17.3K-489.5K-3.5K0.5497.95N/AN/A10657482150
2016-06-23$34.20$30.0037.6%10.8%28.0%17.0%50.0%13.5%3.8%19.8K-603.7K-3.8K0.54102.36N/AN/A10657502152
2016-06-24$31.33$30.0053.7%15.4%42.7%33.0%56.1%0.5%-5.0%13.7K-344.1K-3.3K0.44112.00N/AN/A10647502152
2016-06-27$30.40$30.0051.9%14.9%43.5%31.0%53.0%-8.4%-3.0%9.6K-236.9K-3.1K0.5598.51N/AN/A10658502162
2016-06-28$30.75$30.0045.0%12.9%43.4%22.4%45.3%-3.8%2.0%9.7K-222.8K-3.0K0.5994.95N/AN/A10663502175
2016-06-29$31.34$30.0046.4%13.3%44.0%24.0%45.1%7.2%-0.4%11.4K-295.8K-3.2K0.59100.46N/AN/A10763502180
2016-06-30$32.79$30.0040.9%11.7%46.8%17.9%42.1%4.0%4.7%13.3K-457.3K-3.5K0.60106.95N/AN/A10563506180