CRS Options History — August 2016

In August 2016, CRS traded between $36.40 and $38.91. ATM implied volatility averaged 37.0%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 7.3% (HV 20d: 29.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.91.

Notable Days

  • 2016-08-31: Highest Volume — 310 contracts
  • 2016-08-09: Largest IV spike — 41.0% change
  • 2016-08-30: Highest IV Rank — 22.5%
  • 2016-08-30: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.39$36.40$38.91$38.91$36.40
Max Pain$32.39$30.00$35.00$35.00$35.00
ATM IV37.0%26.8%46.6%36.9%36.4%
Expected Move10.7%7.7%13.4%10.6%10.4%
HV 20d29.7%23.1%35.2%35.2%32.7%
HV 60d38.7%37.6%43.0%42.8%38.8%
IV Rank10.4%0.0%22.5%13.5%10.9%
IV Percentile15.5%0.0%68.7%7.9%6.0%
Term Structure2.0%-4.1%6.2%-0.7%4.7%
VWIV38.9%36.5%42.8%40.9%38.0%
Skew 25d3.6%-3.0%12.3%8.3%0.3%
Skew 10d6.9%-10.9%47.8%13.3%-1.1%
Call IV 25d35.8%24.2%41.0%35.2%37.5%
Put IV 25d39.4%36.3%43.9%43.5%37.8%
Bid-Ask Spread %93.4178.56104.3496.5597.09
Gamma HHI0.480.400.570.570.41
Net GEX50.7K30.5K71.9K70.5K32.4K
Net DEX-957.7K-1.4M-645.2K-1.4M-662.6K
Net VEX-3.6K-4.5K-3.1K-4.5K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.001.190.851.14
Total Volume216.4350310213310
Total OI913.304728993953856

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$38.91$35.0036.9%10.6%35.2%13.5%40.9%8.3%-0.7%70.5K-1.4M-4.5K0.8596.55N/AN/A11598765188
2016-08-02$38.10$35.0041.1%11.8%34.3%17.3%39.2%4.3%-3.9%63.3K-1.2M-4.3K0.8493.43N/AN/A120101766193
2016-08-03$38.28$35.0035.1%10.1%34.2%10.5%36.5%2.4%-4.1%65.4K-1.2M-4.3K0.8498.32N/AN/A120101766197
2016-08-04$37.52$30.0032.3%10.4%34.0%7.3%37.9%5.0%2.5%63.7K-1.1M-4.2K0.8483.46N/AN/A120101766197
2016-08-05$37.89$30.0030.2%10.0%27.4%5.1%36.8%5.8%3.0%67.4K-1.1M-4.1K0.8478.56N/AN/A120101766197
2016-08-08$38.04$30.0033.0%10.5%23.1%8.2%36.6%3.5%2.2%71.4K-1.2M-4.0K0.9784.34N/AN/A120116766197
2016-08-09$36.86$30.0046.5%10.9%24.5%19.2%38.7%2.8%2.5%62.2K-979.4K-3.8K0.9684.74N/AN/A120115766207
2016-08-10$37.03$30.0038.8%11.1%24.5%10.1%38.3%1.3%1.0%57.1K-923.0K-3.7K0.9691.75N/AN/A120115766211
2016-08-11$37.57$30.0035.3%10.1%23.5%6.0%39.5%1.6%1.7%65.5K-1.0M-3.6K0.9688.90N/AN/A120115766211
2016-08-12$36.68$30.0036.7%10.5%24.6%7.6%41.5%4.2%5.1%50.3K-859.7K-3.4K0.9690.03N/AN/A120115766211
2016-08-15$38.16$30.0035.2%10.1%29.0%5.8%39.8%3.4%3.6%71.9K-1.1M-3.5K0.8793.74N/AN/A132115766211
2016-08-16$37.53$30.0033.1%9.5%29.2%3.4%39.2%2.9%2.4%61.7K-1.0M-3.4K0.8790.03N/AN/A132115782211
2016-08-17$37.10$30.0039.6%11.3%29.3%11.0%0.0%4.1%1.1%37.5K-845.1K-3.3K0.0095.15N/AN/A00772211
2016-08-18$37.69$30.0036.7%10.5%29.9%7.6%0.0%1.0%0.3%45.8K-932.4K-3.2K0.0093.11N/AN/A00772211
2016-08-19$36.67$30.0037.4%10.7%31.3%8.4%39.6%0.3%4.5%36.1K-805.9K-3.2K0.8793.63N/AN/A132115763211
2016-08-22$37.37$35.0037.8%10.8%32.2%8.9%39.8%0.8%2.4%39.8K-822.3K-3.1K0.6794.23N/AN/A13490543185
2016-08-23$37.54$35.0026.8%7.7%28.6%0.0%38.9%4.3%4.4%40.2K-914.4K-3.2K1.1093.95N/AN/A134148569185
2016-08-24$36.45$35.0036.9%10.6%30.0%11.5%0.0%12.1%1.8%30.5K-645.2K-3.3K0.00104.34N/AN/A40559247
2016-08-25$36.61$35.0038.6%11.1%30.2%13.4%37.9%1.0%-0.1%31.7K-689.9K-3.3K1.1998.56N/AN/A124148569247
2016-08-26$36.61$35.0036.3%10.4%30.2%10.8%38.6%-3.0%6.2%32.0K-696.7K-3.2K1.19103.42N/AN/A124148569247
2016-08-29$37.77$35.0043.5%12.5%32.5%19.0%38.4%4.9%1.3%35.9K-873.8K-3.1K1.0398.64N/AN/A144148569247
2016-08-30$37.09$35.0046.6%13.4%32.3%22.5%42.8%12.3%3.0%34.8K-887.5K-3.2K1.14102.52N/AN/A144164589247
2016-08-31$36.40$35.0036.4%10.4%32.7%10.9%38.0%0.3%4.7%32.4K-662.6K-3.2K1.1497.09N/AN/A145165589267