CRS Options History — December 2016

In December 2016, CRS traded between $34.41 and $39.66. ATM implied volatility averaged 37.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 2.4% (HV 20d: 39.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2016-12-08: Highest Volume — 347 contracts
  • 2016-12-12: Largest IV spike — 20.9% change
  • 2016-12-07: Highest IV Rank — 22.6%
  • 2016-12-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.44$34.41$39.66$35.40$36.11
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV37.5%31.8%46.7%38.4%36.7%
Expected Move10.2%9.1%11.1%11.0%10.5%
HV 20d39.9%37.2%43.7%40.2%37.5%
HV 60d54.5%53.9%55.5%55.2%53.9%
IV Rank12.1%5.6%22.6%13.2%11.2%
IV Percentile19.6%2.0%72.6%17.5%13.1%
Term Structure3.3%-2.3%6.7%-2.0%4.6%
VWIV37.6%29.9%46.1%41.8%37.6%
Skew 25d4.2%-1.3%9.0%5.0%-0.4%
Skew 10d9.4%-2.5%31.9%11.0%-2.5%
Call IV 25d35.0%28.3%45.1%41.6%35.4%
Put IV 25d39.2%34.8%46.9%46.6%35.0%
Bid-Ask Spread %87.6976.2599.0588.6492.51
Gamma HHI0.490.280.740.380.50
Net GEX18.4K-9.0K88.7K6.7K-9.0K
Net DEX-176.7K-820.4K147.5K2.0K141.4K
Net VEX-2.7K-3.1K-2.3K-2.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.492.080.500.63
Total Volume238.095168347173171
Total OI762.0484491,061873511

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$35.40$35.0038.4%11.0%40.2%13.2%41.8%5.0%-2.0%6.7K2.0K-2.5K0.5088.64N/AN/A11558504369
2016-12-02$34.41$35.0038.7%11.1%42.0%13.6%46.1%1.7%-2.3%-1.8K147.5K-2.4K0.4999.05N/AN/A11858504370
2016-12-05$34.87$35.0041.7%10.6%41.9%17.0%30.7%4.9%2.7%2.0K85.3K-2.3K0.5481.24N/AN/A11663507366
2016-12-06$35.56$35.0039.4%10.5%41.7%14.3%29.9%6.3%2.9%6.8K-17.7K-2.3K0.5480.31N/AN/A12568509371
2016-12-07$37.07$35.0046.7%10.7%43.7%22.6%37.0%4.8%1.8%24.1K-293.7K-2.5K1.2077.78N/AN/A127152514366
2016-12-08$39.17$35.0038.1%10.5%39.7%12.8%38.7%4.4%2.5%46.0K-602.7K-2.8K0.8676.25N/AN/A187160506430
2016-12-09$39.66$35.0037.6%9.9%39.4%12.3%38.7%4.2%3.6%69.9K-820.4K-3.1K1.4582.10N/AN/A120174578438
2016-12-12$39.33$35.0045.5%10.0%39.0%21.2%38.9%4.2%3.9%71.0K-696.0K-3.1K1.5378.80N/AN/A116177588455
2016-12-13$39.45$35.0042.9%10.1%38.8%18.3%40.1%3.9%3.2%88.7K-719.2K-3.1K2.0882.51N/AN/A90187603450
2016-12-14$38.25$35.0035.4%10.2%40.5%9.8%39.5%4.2%2.3%58.0K-433.1K-2.9K1.6384.65N/AN/A112182602450
2016-12-15$38.68$35.0034.1%9.8%39.3%8.3%39.3%5.1%3.3%57.8K-552.8K-2.9K1.7388.33N/AN/A105182620440
2016-12-16$37.85$35.0035.5%10.2%40.0%9.9%37.9%2.4%3.0%-4.3K-213.5K-2.6K1.7088.95N/AN/A107182621440
2016-12-19$37.59$35.0031.8%9.1%40.1%5.6%37.0%3.0%4.9%-6.2K97.1K-2.5K1.4589.82N/AN/A93135207242
2016-12-20$38.40$35.0032.9%9.4%39.9%7.0%37.4%7.8%4.4%-1.1K-24.0K-2.8K1.4290.70N/AN/A95135238242
2016-12-21$38.62$35.0033.0%9.4%38.8%7.0%37.7%9.0%3.9%442-56.9K-2.8K1.3589.90N/AN/A100135245242
2016-12-22$37.29$35.0036.6%10.5%40.7%11.1%37.7%4.8%6.0%-3.0K31.8K-2.7K1.3593.79N/AN/A100135250242
2016-12-23$37.21$35.0036.7%10.5%40.7%11.3%37.5%4.9%6.1%-3.7K50.1K-2.7K1.3291.42N/AN/A102135252242
2016-12-27$37.71$35.0032.4%9.3%39.4%6.4%35.2%-1.3%2.0%-4.0K16.8K-2.7K1.3294.44N/AN/A102135252242
2016-12-28$36.94$35.0036.7%10.5%37.2%11.3%35.7%5.0%6.7%-5.0K51.9K-2.6K0.6293.59N/AN/A10464252242
2016-12-29$36.75$35.0036.6%10.5%37.2%11.2%35.8%4.0%5.7%-6.2K96.2K-2.6K0.6396.69N/AN/A10969257244
2016-12-30$36.11$35.0036.7%10.5%37.5%11.2%37.6%-0.4%4.6%-9.0K141.4K-2.5K0.6392.51N/AN/A10566262249