CRS Options History — October 2016

In October 2016, CRS traded between $31.62 and $41.41. ATM implied volatility averaged 44.0%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 3.6% (HV 20d: 40.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-10-18: Highest Volume — 419 contracts
  • 2016-10-12: Largest IV drop — 13.0% change
  • 2016-10-31: Highest IV Rank — 25.2%
  • 2016-10-31: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.42$31.62$41.41$40.73$31.62
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV44.0%41.8%49.0%41.9%49.0%
Expected Move12.4%11.9%14.1%12.0%14.1%
HV 20d40.4%25.6%74.9%42.6%74.7%
HV 60d37.0%33.6%53.8%34.6%53.6%
IV Rank19.5%17.0%25.2%17.2%25.2%
IV Percentile57.1%41.7%78.6%44.0%78.6%
Term Structure-1.9%-3.5%0.2%-0.0%-2.4%
VWIV42.7%39.5%49.0%41.2%49.0%
Skew 25d6.5%4.6%15.7%5.6%7.8%
Skew 10d16.1%7.9%28.8%11.4%20.5%
Call IV 25d41.5%38.6%44.7%40.7%44.7%
Put IV 25d48.0%44.7%55.3%46.2%52.5%
Bid-Ask Spread %81.2565.1291.2890.4186.37
Gamma HHI0.380.290.540.430.37
Net GEX20.4K-3.2K44.7K36.6K-3.1K
Net DEX-305.1K-843.4K619.8K-722.0K599.2K
Net VEX-4.2K-5.1K-1.9K-4.9K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.391.540.421.54
Total Volume346.048152419373239
Total OI1,361.6677391,6341,527843

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$40.73$35.0041.9%12.0%42.6%17.2%41.2%5.6%-0.0%36.6K-722.0K-4.9K0.4290.41N/AN/A263110639888
2016-10-04$40.16$35.0042.7%12.2%42.1%18.0%43.1%4.7%0.2%31.4K-612.5K-4.9K0.4291.28N/AN/A263110639893
2016-10-05$40.96$35.0043.9%12.6%42.4%19.4%43.1%7.4%-1.6%40.4K-790.4K-4.9K0.4487.19N/AN/A257113639893
2016-10-06$41.41$40.0043.3%12.1%42.2%18.7%39.5%6.3%-2.3%43.2K-831.6K-5.0K0.4065.12N/AN/A286113650908
2016-10-07$41.05$40.0043.9%11.9%36.3%19.4%39.7%6.1%-1.5%41.0K-780.6K-5.1K0.4465.75N/AN/A287125680908
2016-10-10$41.20$40.0045.6%12.1%36.0%21.3%40.4%5.1%-1.6%44.7K-843.4K-4.9K0.4376.62N/AN/A287122684923
2016-10-11$39.72$40.0048.7%12.2%32.8%24.9%41.7%6.2%-1.3%24.8K-486.6K-4.7K0.4279.74N/AN/A292122684923
2016-10-12$39.48$40.0042.4%12.2%32.8%17.7%40.8%6.2%-2.0%24.0K-470.9K-4.7K0.3979.37N/AN/A292115689923
2016-10-13$38.27$40.0042.5%12.2%35.3%17.8%42.7%5.3%-0.9%13.8K-223.0K-4.4K0.4078.11N/AN/A291116689923
2016-10-14$38.15$40.0042.0%12.0%35.2%17.3%42.1%6.5%-0.9%10.6K-177.1K-4.3K0.3981.95N/AN/A295116690924
2016-10-17$38.40$40.0043.9%12.6%33.6%19.4%42.8%4.7%-2.7%14.1K-253.9K-4.2K0.3979.82N/AN/A295116700924
2016-10-18$38.45$40.0042.9%12.3%33.6%18.3%42.5%6.2%-2.4%13.3K-242.8K-4.2K0.4279.49N/AN/A295124700924
2016-10-19$39.26$40.0042.7%12.2%32.1%18.1%41.9%5.1%-2.2%19.0K-356.0K-4.3K0.4279.92N/AN/A295124700934
2016-10-20$39.11$40.0042.7%12.2%30.4%18.0%42.2%5.4%-2.5%19.6K-355.6K-4.2K0.4278.88N/AN/A295124700934
2016-10-21$39.09$40.0041.8%12.0%30.4%17.0%41.2%4.6%-1.2%13.6K-263.8K-4.2K0.3980.67N/AN/A295116688934
2016-10-24$39.28$40.0043.9%12.6%30.5%19.4%42.8%7.2%-2.8%15.6K-337.8K-4.1K1.0583.07N/AN/A7478438301
2016-10-25$38.43$40.0044.6%12.8%30.8%20.2%44.1%6.1%-3.5%14.5K-228.1K-4.0K1.0586.29N/AN/A7478443301
2016-10-26$38.73$40.0042.2%12.1%25.6%17.5%42.5%6.7%-3.0%14.5K-249.9K-3.9K1.3079.87N/AN/A7192444301
2016-10-27$31.63$40.0046.4%13.3%74.9%22.2%46.5%15.7%-2.0%-240619.8K-1.9K1.0390.38N/AN/A128132445321
2016-10-28$31.71$40.0046.7%13.4%74.6%22.6%46.5%6.6%-3.0%-3.2K599.9K-2.3K1.2586.06N/AN/A110137459372
2016-10-31$31.62$40.0049.0%14.1%74.7%25.2%49.0%7.8%-2.4%-3.1K599.2K-2.3K1.5486.37N/AN/A94145467376