CRS Options History — November 2016

In November 2016, CRS traded between $31.26 and $38.30. ATM implied volatility averaged 40.9%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 30.2% (HV 20d: 71.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-11-08: Highest Volume — 348 contracts
  • 2016-11-07: Largest IV drop — 28.2% change
  • 2016-11-04: Highest IV Rank — 31.1%
  • 2016-11-01: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.45$31.26$38.30$31.37$35.87
Max Pain$35.48$35.00$40.00$40.00$35.00
ATM IV40.9%33.9%54.2%52.2%40.0%
Expected Move11.5%9.7%15.0%15.0%11.5%
HV 20d71.1%33.3%82.4%74.7%39.7%
HV 60d54.5%52.7%55.6%53.6%55.2%
IV Rank16.1%8.1%31.1%28.9%15.0%
IV Percentile32.5%3.2%90.5%86.9%25.4%
Term Structure0.4%-3.0%11.9%-3.0%-3.0%
VWIV41.6%31.9%54.6%54.6%42.4%
Skew 25d6.0%3.1%12.5%12.5%6.5%
Skew 10d17.7%9.4%33.0%22.8%15.8%
Call IV 25d38.6%32.3%49.8%46.6%41.2%
Put IV 25d44.6%37.6%59.2%59.2%47.7%
Bid-Ask Spread %84.4465.8195.0490.5487.07
Gamma HHI0.470.270.680.390.45
Net GEX11.1K-9.5K31.2K-4.0K10.9K
Net DEX84.7K-479.2K630.6K625.2K-56.0K
Net VEX-3.0K-3.6K-2.2K-2.2K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.501.431.160.50
Total Volume239.571141348272172
Total OI931.198321,039843869

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$31.37$40.0052.2%15.0%74.7%28.9%54.6%12.5%-3.0%-4.0K625.2K-2.2K1.1690.54N/AN/A126146467376
2016-11-02$31.26$40.0050.9%14.6%73.8%27.3%53.9%6.9%-2.4%-2.7K574.9K-2.5K0.6995.04N/AN/A12788501377
2016-11-03$31.30$35.0050.0%13.2%73.5%26.4%46.0%7.3%-1.9%-2.6K574.3K-2.5K1.4365.81N/AN/A130186504376
2016-11-04$31.86$35.0054.2%13.2%74.3%31.1%47.0%5.6%-0.1%-9.5K630.6K-3.0K1.4369.61N/AN/A130186500489
2016-11-07$32.59$35.0038.9%12.1%75.2%13.8%45.7%4.6%-1.5%-8.1K582.1K-3.0K1.3080.75N/AN/A143186500489
2016-11-08$33.00$35.0045.9%11.5%75.0%21.7%47.1%7.0%0.8%-6.3K544.2K-2.9K1.1573.18N/AN/A162186504489
2016-11-09$35.60$35.0041.0%11.8%80.9%16.1%43.5%6.6%0.2%11.1K181.7K-3.3K1.1979.49N/AN/A156186499489
2016-11-10$36.35$35.0040.6%11.6%80.8%15.6%42.4%5.4%0.9%13.8K30.1K-3.5K1.1582.88N/AN/A156179516489
2016-11-11$37.16$35.0040.6%11.7%81.3%15.7%41.0%6.0%0.5%13.8K-55.2K-3.6K1.1790.78N/AN/A156182516491
2016-11-14$37.72$35.0036.9%10.6%81.4%11.5%35.5%7.5%2.4%9.2K-177.5K-3.5K0.5982.13N/AN/A15391516494
2016-11-15$37.53$35.0037.5%10.8%81.4%12.2%37.8%5.5%1.0%12.8K-110.4K-3.4K0.7183.19N/AN/A12891516489
2016-11-16$36.56$35.0039.5%11.3%81.4%14.4%39.4%3.5%1.3%20.7K65.6K-3.2K0.9287.91N/AN/A125115525489
2016-11-17$36.14$35.0038.6%11.1%81.5%13.4%38.9%3.3%2.6%17.4K147.0K-3.2K0.9286.47N/AN/A125115525514
2016-11-18$36.07$35.0038.5%11.0%81.5%13.3%38.4%5.8%1.5%13.4K159.9K-3.1K0.7387.69N/AN/A12994525514
2016-11-21$36.93$35.0036.8%10.6%82.0%11.4%35.3%3.1%1.1%20.3K-243.0K-3.0K0.6485.87N/AN/A8655471361
2016-11-22$37.98$35.0033.9%9.7%82.4%8.1%31.9%3.6%-1.1%28.5K-401.0K-3.1K0.6384.60N/AN/A8755471362
2016-11-23$38.19$35.0034.2%9.8%82.4%8.4%35.7%6.4%-0.0%30.2K-449.6K-3.1K0.6390.23N/AN/A8855473362
2016-11-25$38.30$35.0034.2%9.8%33.3%8.4%36.4%8.0%0.7%31.2K-479.2K-3.0K0.6193.65N/AN/A8854473361
2016-11-28$37.12$35.0035.0%10.0%36.3%9.4%39.0%6.8%11.9%24.7K-331.0K-2.9K0.6489.19N/AN/A8655473361
2016-11-29$35.64$35.0040.2%11.5%40.1%15.2%42.3%4.9%-2.8%8.7K-35.1K-2.6K0.5087.22N/AN/A11558474365
2016-11-30$35.87$35.0040.0%11.5%39.7%15.0%42.4%6.5%-3.0%10.9K-56.0K-2.5K0.5087.07N/AN/A11557504365