CRS Options History — January 2017

In January 2017, CRS traded between $36.41 and $40.84. ATM implied volatility averaged 40.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 3.2% (HV 20d: 37.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2017-01-24: Highest Volume — 468 contracts
  • 2017-01-11: Largest IV spike — 38.7% change
  • 2017-01-31: Highest IV Rank — 33.8%
  • 2017-01-31: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.58$36.41$40.84$36.41$40.09
Max Pain$37.75$35.00$40.00$35.00$40.00
ATM IV40.2%28.0%46.1%37.8%46.1%
Expected Move12.0%10.1%13.2%10.8%13.2%
HV 20d37.0%31.4%39.7%35.9%38.4%
HV 60d50.9%38.0%56.9%53.9%38.2%
IV Rank22.2%1.4%33.8%12.5%33.8%
IV Percentile41.3%0.4%76.2%20.6%76.2%
Term Structure-2.5%-5.2%4.5%4.5%-5.2%
VWIV41.7%35.5%46.7%37.4%45.6%
Skew 25d5.3%0.7%10.9%1.2%8.4%
Skew 10d12.8%0.6%30.5%0.6%13.1%
Call IV 25d39.9%34.9%43.8%36.3%41.9%
Put IV 25d45.3%37.6%51.6%37.6%50.3%
Bid-Ask Spread %87.0075.4497.7493.0988.73
Gamma HHI0.610.410.770.500.70
Net GEX34.5K-9.5K62.0K-9.5K56.5K
Net DEX-611.4K-1.3M132.6K132.6K-992.3K
Net VEX-4.6K-6.5K-2.5K-2.5K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.214.220.340.79
Total Volume223.6149468259188
Total OI906.15171,2815171,281

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$36.41$35.0037.8%10.8%35.9%12.5%37.4%1.2%4.5%-9.5K132.6K-2.5K0.3493.09N/AN/A19366261256
2017-01-04$38.23$35.0035.2%10.1%39.3%9.6%35.5%4.0%3.6%6.4K-212.6K-3.6K0.7797.74N/AN/A8666371256
2017-01-05$37.83$35.0028.0%11.1%39.3%1.4%42.9%5.7%-1.2%6.4K-199.5K-3.6K0.7975.44N/AN/A8466372256
2017-01-06$37.20$35.0038.3%11.9%37.1%13.1%39.2%4.9%-2.8%2.5K-138.9K-3.5K0.6179.67N/AN/A10966374256
2017-01-09$36.53$35.0036.2%12.2%31.4%10.7%40.1%6.1%-3.0%-1.9K-46.9K-3.3K0.6179.77N/AN/A10966379256
2017-01-10$37.82$35.0029.5%11.2%33.8%3.2%39.7%5.8%-0.7%5.8K-182.7K-3.4K0.6179.91N/AN/A10966379256
2017-01-11$39.07$35.0041.0%11.7%35.9%24.9%41.1%6.4%-3.4%15.3K-355.5K-3.5K0.2185.11N/AN/A35173379256
2017-01-12$38.24$35.0039.9%11.4%36.6%22.9%40.0%4.3%-1.1%39.1K-642.4K-4.8K0.2187.78N/AN/A35273665263
2017-01-13$38.52$35.0040.4%11.6%35.0%23.8%40.8%4.7%-2.5%44.4K-722.2K-4.8K0.5485.29N/AN/A13573665263
2017-01-17$37.68$40.0040.7%11.7%35.6%24.3%45.0%2.9%-1.3%43.3K-609.6K-4.6K0.8491.80N/AN/A8168710267
2017-01-18$38.71$40.0042.1%12.1%36.1%26.8%42.5%10.9%-3.5%56.7K-831.3K-4.8K0.6988.78N/AN/A9868710268
2017-01-19$37.98$40.0041.8%12.0%36.7%26.4%42.2%1.4%-3.7%49.4K-636.9K-4.6K0.6987.08N/AN/A9868726263
2017-01-20$38.08$40.0041.6%11.9%35.9%26.0%41.7%0.7%-3.3%50.2K-676.3K-4.6K0.5586.24N/AN/A11865726263
2017-01-23$37.92$40.0042.9%12.3%35.9%28.3%43.4%5.6%-5.0%51.6K-648.8K-4.5K0.4893.60N/AN/A11254674180
2017-01-24$40.22$40.0043.8%12.6%39.3%29.9%43.8%9.8%-4.2%62.0K-1.2M-4.9K1.4089.08N/AN/A195273684182
2017-01-25$40.84$40.0044.1%12.6%39.5%30.3%44.0%6.5%-3.5%51.6K-1.3M-6.4K4.2287.45N/AN/A65274823410
2017-01-26$40.43$40.0044.4%12.7%39.7%30.8%44.1%4.9%-4.5%52.4K-1.1M-6.3K1.3587.79N/AN/A6892821412
2017-01-27$40.07$40.0044.4%12.7%38.9%30.8%38.9%4.3%-4.4%53.1K-1.0M-6.5K0.8787.87N/AN/A9280856422
2017-01-30$39.64$40.0046.1%13.2%39.2%33.8%46.7%8.3%-5.1%53.9K-823.2K-6.2K0.8787.73N/AN/A9280860421
2017-01-31$40.09$40.0046.1%13.2%38.4%33.8%45.6%8.4%-5.2%56.5K-992.3K-6.1K0.7988.73N/AN/A10583860421