CRS Options History — September 2016

In September 2016, CRS traded between $34.66 and $42.07. ATM implied volatility averaged 40.4%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 1.6% (HV 20d: 38.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 9.06.

Notable Days

  • 2016-09-13: Highest Volume — 1,023 contracts
  • 2016-09-08: Largest IV spike — 32.5% change
  • 2016-09-13: Highest IV Rank — 32.6%
  • 2016-09-20: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.93$34.66$42.07$35.88$41.49
Max Pain$34.05$30.00$35.00$35.00$35.00
ATM IV40.4%28.8%55.5%36.0%41.0%
Expected Move11.7%9.8%13.2%10.3%11.8%
HV 20d38.8%32.4%42.6%32.4%41.9%
HV 60d38.9%35.9%42.3%38.8%36.3%
IV Rank15.5%2.3%32.6%10.5%16.1%
IV Percentile35.2%0.4%92.1%5.2%40.1%
Term Structure0.2%-3.2%5.9%4.6%-0.4%
VWIV46.7%35.2%57.6%37.5%38.3%
Skew 25d5.0%-5.5%11.2%-4.3%4.8%
Skew 10d13.8%-6.9%59.9%-6.9%14.1%
Call IV 25d39.3%33.2%44.6%41.3%38.1%
Put IV 25d44.3%34.9%50.6%37.1%42.9%
Bid-Ask Spread %87.8773.5798.2298.2288.17
Gamma HHI0.400.320.520.400.46
Net GEX15.9K-17.8K44.1K31.6K44.1K
Net DEX-555.2K-1.0M31.2K-574.2K-919.7K
Net VEX-4.0K-5.3K-3.1K-3.1K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.060.4226.830.910.42
Total Volume666.7623131,023314373
Total OI1,190.4298581,5518581,513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$35.88$35.0036.0%10.3%32.4%10.5%37.5%-4.3%4.6%31.6K-574.2K-3.1K0.9198.22N/AN/A164150590268
2016-09-02$36.53$35.0034.1%9.8%32.9%8.3%35.2%-5.5%5.9%34.6K-713.3K-3.3K1.0294.50N/AN/A164167610265
2016-09-06$37.67$30.0030.5%10.8%34.9%4.2%39.1%5.3%0.8%36.6K-901.6K-3.3K1.1473.57N/AN/A146167610283
2016-09-07$38.17$30.0028.8%10.5%33.2%2.3%38.0%4.7%1.6%38.7K-1.0M-3.2K1.2284.52N/AN/A147179612283
2016-09-08$37.82$30.0038.2%10.5%33.4%12.9%38.2%4.0%2.4%36.2K-939.7K-3.4K1.3189.36N/AN/A137179609295
2016-09-09$35.80$30.0040.6%11.9%38.4%15.7%41.3%3.1%-1.2%32.5K-572.1K-3.2K1.4783.68N/AN/A137201610295
2016-09-12$36.53$35.0042.1%12.6%38.3%17.4%51.8%8.4%-2.3%30.7K-689.6K-3.2K6.7684.85N/AN/A127858610317
2016-09-13$34.66$35.0055.5%12.7%39.5%32.6%51.7%7.6%-0.9%-1.1K31.2K-4.5K6.7582.82N/AN/A132891612878
2016-09-14$35.33$35.0044.4%12.7%40.1%20.0%53.6%8.9%-1.2%871-90.2K-4.5K7.3485.25N/AN/A122896626913
2016-09-15$35.60$35.0043.8%12.6%40.2%19.3%51.4%7.2%-1.3%-17.8K-472.7K-4.3K7.0889.98N/AN/A118836627920
2016-09-16$35.97$35.0042.7%12.2%39.9%18.0%50.9%6.3%-1.1%-17.6K-543.5K-4.0K8.8991.98N/AN/A94836631920
2016-09-19$37.13$35.0045.3%13.0%40.5%21.0%53.0%6.0%-2.8%-7.9K-140.8K-3.9K22.0090.76N/AN/A37814337751
2016-09-20$37.24$35.0045.9%13.2%39.9%21.7%51.8%8.7%-3.2%-5.6K-150.1K-4.3K21.4487.37N/AN/A39836352781
2016-09-21$38.56$35.0038.8%11.1%41.8%13.6%52.3%11.2%1.1%-871-275.0K-4.4K13.7093.56N/AN/A61836358833
2016-09-22$39.67$35.0037.8%10.8%41.2%12.5%55.2%5.2%1.4%10.8K-501.8K-4.4K16.1487.73N/AN/A50807383833
2016-09-23$39.65$35.0038.8%11.1%41.2%13.6%53.6%4.2%-0.2%10.6K-504.2K-4.4K22.4280.02N/AN/A36807391834
2016-09-26$39.60$35.0038.6%11.1%41.3%13.5%57.6%5.9%2.8%12.1K-507.4K-4.4K22.3690.59N/AN/A36805391834
2016-09-27$40.20$35.0039.2%11.2%40.2%14.1%46.0%5.3%2.2%15.0K-546.0K-4.3K26.8386.72N/AN/A30805391854
2016-09-28$42.07$35.0042.5%12.2%42.1%17.8%38.4%6.2%-0.9%13.4K-743.3K-4.4K0.5088.94N/AN/A257128393874
2016-09-29$41.05$35.0044.3%12.7%42.6%19.9%45.1%2.0%-3.1%37.5K-882.5K-5.3K0.4992.67N/AN/A267130638874
2016-09-30$41.49$35.0041.0%11.8%41.9%16.1%38.3%4.8%-0.4%44.1K-919.7K-5.1K0.4288.17N/AN/A263110637876