CRS Options History — July 2016

In July 2016, CRS traded between $32.91 and $39.92. ATM implied volatility averaged 40.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 7.9% (HV 20d: 48.3%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2016-07-26: Highest Volume — 341 contracts
2016-07-11: Largest IV spike — 64.6% change
2016-07-11: Highest IV Rank — 29.4%
2016-07-27: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.84	$32.91	$39.92	$33.85	$39.30
Max Pain	$32.00	$25.00	$35.00	$30.00	$35.00
ATM IV	40.4%	31.1%	51.2%	36.7%	36.5%
Expected Move	11.6%	10.4%	12.5%	10.5%	10.5%
HV 20d	48.3%	35.6%	54.2%	48.1%	35.6%
HV 60d	44.1%	42.9%	44.7%	43.8%	43.0%
IV Rank	17.3%	7.1%	29.4%	13.3%	13.1%
IV Percentile	31.8%	2.4%	81.7%	11.9%	7.1%
Term Structure	-1.4%	-4.6%	5.7%	5.7%	-0.4%
VWIV	43.3%	37.1%	68.0%	42.7%	40.8%
Skew 25d	5.6%	2.6%	12.7%	12.7%	8.4%
Skew 10d	10.5%	-7.8%	62.6%	16.5%	14.1%
Call IV 25d	40.3%	32.6%	44.1%	37.5%	32.6%
Put IV 25d	45.9%	41.0%	54.2%	50.2%	41.0%
Bid-Ask Spread %	86.65	78.10	105.61	105.61	100.58
Gamma HHI	0.43	0.34	0.56	0.35	0.56
Net GEX	38.1K	17.8K	70.8K	19.3K	70.7K
Net DEX	-1.1M	-1.6M	-476.3K	-572.7K	-1.5M
Net VEX	-4.0K	-4.7K	-3.4K	-3.7K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.29	0.88	0.56	0.82
Total Volume	183.95	129	341	175	208
Total OI	772.3	687	943	687	935

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-07-01	$33.85	$30.00	36.7%	10.5%	48.1%	13.3%	42.7%	12.7%	5.7%	19.3K	-572.7K	-3.7K	0.56	105.61	N/A	N/A	112	63	507	180
2016-07-05	$32.91	$25.00	49.1%	12.3%	48.0%	27.0%	68.0%	10.6%	-2.0%	17.8K	-476.3K	-3.5K	0.56	94.94	N/A	N/A	112	63	515	180
2016-07-06	$33.36	$25.00	34.2%	11.8%	48.0%	10.5%	44.2%	6.7%	-0.3%	19.9K	-513.9K	-3.4K	0.66	78.10	N/A	N/A	95	63	515	180
2016-07-07	$34.50	$25.00	40.0%	11.9%	49.2%	16.9%	40.2%	6.1%	-0.6%	25.0K	-632.1K	-3.5K	0.50	81.57	N/A	N/A	131	66	520	180
2016-07-08	$36.58	$30.00	31.1%	12.5%	53.0%	7.1%	44.2%	7.8%	-2.5%	30.5K	-944.0K	-4.0K	0.64	82.14	N/A	N/A	103	66	556	183
2016-07-11	$38.13	$30.00	51.2%	11.2%	54.0%	29.4%	40.6%	5.2%	-1.1%	33.6K	-1.1M	-3.9K	0.86	83.84	N/A	N/A	77	66	553	183
2016-07-12	$38.85	$30.00	38.3%	11.4%	53.9%	15.0%	41.9%	4.9%	-1.1%	35.0K	-1.3M	-4.0K	0.72	78.58	N/A	N/A	79	57	571	183
2016-07-13	$39.00	$30.00	40.1%	11.5%	53.5%	17.1%	39.0%	3.0%	-1.8%	37.0K	-1.3M	-4.0K	0.79	82.95	N/A	N/A	72	57	576	179
2016-07-14	$39.92	$30.00	40.7%	11.7%	53.7%	17.7%	44.0%	6.7%	-1.6%	36.6K	-1.4M	-3.9K	0.82	79.58	N/A	N/A	100	82	576	179
2016-07-15	$39.71	$35.00	40.7%	11.7%	53.9%	17.7%	37.2%	4.2%	-0.8%	37.4K	-1.3M	-4.3K	0.75	86.06	N/A	N/A	110	82	589	197
2016-07-18	$39.44	$35.00	41.3%	11.8%	54.2%	18.3%	41.0%	3.8%	-1.9%	38.1K	-1.3M	-4.2K	0.77	88.72	N/A	N/A	91	70	586	164
2016-07-19	$38.94	$35.00	40.5%	11.6%	54.2%	17.5%	42.5%	3.9%	-2.5%	37.9K	-1.2M	-4.2K	0.88	83.49	N/A	N/A	83	73	586	170
2016-07-20	$38.52	$35.00	40.5%	11.6%	52.6%	17.4%	43.4%	3.7%	-2.2%	37.7K	-1.2M	-4.2K	0.88	88.81	N/A	N/A	83	73	588	173
2016-07-21	$38.41	$35.00	41.0%	11.8%	52.0%	18.1%	48.2%	2.6%	-1.5%	36.8K	-1.1M	-4.2K	0.88	88.07	N/A	N/A	83	73	589	173
2016-07-22	$38.45	$35.00	40.2%	11.5%	51.5%	17.2%	39.8%	2.9%	-1.6%	37.3K	-1.1M	-4.2K	0.83	86.04	N/A	N/A	83	69	589	178
2016-07-25	$38.28	$35.00	42.5%	12.2%	38.2%	19.7%	44.7%	8.6%	-3.6%	37.6K	-1.1M	-4.0K	0.88	87.64	N/A	N/A	86	76	589	179
2016-07-26	$39.82	$35.00	42.8%	12.3%	36.4%	20.0%	42.7%	3.2%	-3.5%	40.3K	-1.3M	-4.0K	0.29	83.76	N/A	N/A	265	76	593	169
2016-07-27	$39.46	$35.00	43.7%	12.5%	37.3%	21.0%	43.7%	4.2%	-4.6%	63.5K	-1.6M	-4.7K	0.29	84.46	N/A	N/A	265	76	774	169
2016-07-28	$39.40	$35.00	36.3%	10.4%	37.5%	12.8%	37.1%	2.6%	-1.2%	70.8K	-1.5M	-4.6K	0.67	88.01	N/A	N/A	114	76	771	169
2016-07-29	$39.30	$35.00	36.5%	10.5%	35.6%	13.1%	40.8%	8.4%	-0.4%	70.7K	-1.5M	-4.5K	0.82	100.58	N/A	N/A	114	94	765	170