CRS Options History — February 2017

In February 2017, CRS traded between $40.06 and $43.70. ATM implied volatility averaged 36.8%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 5.2% (HV 20d: 42.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.37.

Notable Days

2017-02-23: Highest Volume — 704 contracts
2017-02-02: Largest IV drop — 24.6% change
2017-02-01: Highest IV Rank — 37.6%
2017-02-01: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.82	$40.06	$43.70	$40.06	$40.65
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	36.8%	33.6%	48.3%	48.3%	38.4%
Expected Move	10.6%	9.9%	13.8%	13.8%	11.0%
HV 20d	42.1%	37.0%	46.1%	38.5%	39.7%
HV 60d	39.2%	38.0%	41.8%	38.2%	38.1%
IV Rank	17.7%	12.0%	37.6%	37.6%	20.5%
IV Percentile	19.2%	5.6%	82.9%	82.9%	31.7%
Term Structure	1.4%	-6.8%	4.2%	-6.8%	-1.1%
VWIV	37.2%	33.7%	48.5%	48.5%	40.9%
Skew 25d	3.4%	-0.8%	6.9%	3.8%	6.9%
Skew 10d	7.9%	-3.2%	16.1%	6.1%	10.5%
Call IV 25d	36.0%	33.9%	48.5%	48.5%	35.9%
Put IV 25d	39.5%	33.6%	52.3%	52.3%	42.7%
Bid-Ask Spread %	82.31	73.00	89.19	84.47	89.19
Gamma HHI	0.53	0.35	0.71	0.71	0.69
Net GEX	74.9K	30.2K	121.6K	58.8K	56.6K
Net DEX	-2.2M	-3.0M	-857.2K	-1.0M	-1.7M
Net VEX	-6.9K	-13.7K	-4.3K	-6.1K	-13.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.10	0.67	0.36	0.30
Total Volume	493.895	123	704	308	275
Total OI	1,565.684	734	1,876	1,300	1,783

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$40.06	$40.00	48.3%	13.8%	38.5%	37.6%	48.5%	3.8%	-6.8%	58.8K	-1.0M	-6.1K	0.36	84.47	N/A	N/A	226	82	879	421
2017-02-02	$43.70	$40.00	36.4%	10.3%	45.9%	16.8%	37.0%	3.6%	2.0%	80.1K	-2.8M	-5.5K	0.18	78.06	N/A	N/A	397	71	1,014	426
2017-02-03	$43.10	$40.00	33.6%	9.9%	46.1%	12.0%	34.9%	3.5%	3.2%	99.3K	-2.8M	-6.1K	0.44	78.92	N/A	N/A	397	174	1,294	426
2017-02-06	$42.99	$40.00	34.9%	10.1%	45.4%	14.3%	37.5%	4.0%	2.8%	115.8K	-2.9M	-6.1K	0.39	78.21	N/A	N/A	430	166	1,325	332
2017-02-07	$42.29	$40.00	37.6%	10.8%	45.3%	19.0%	35.0%	3.3%	2.3%	121.6K	-2.7M	-6.0K	0.10	79.87	N/A	N/A	455	46	1,356	332
2017-02-08	$41.56	$40.00	37.2%	10.7%	44.9%	18.3%	36.4%	4.1%	2.3%	121.3K	-2.4M	-6.1K	0.13	80.64	N/A	N/A	360	46	1,290	330
2017-02-09	$42.13	$40.00	37.3%	10.7%	43.8%	18.5%	37.4%	3.5%	2.1%	109.5K	-2.7M	-5.9K	0.67	81.30	N/A	N/A	366	245	1,290	330
2017-02-10	$41.93	$40.00	36.2%	10.4%	42.9%	16.5%	33.7%	3.4%	2.9%	105.7K	-2.5M	-6.0K	0.40	73.00	N/A	N/A	367	145	1,300	395
2017-02-13	$42.60	$40.00	35.2%	10.1%	43.1%	14.8%	37.2%	2.6%	2.3%	75.8K	-2.9M	-5.4K	0.49	77.53	N/A	N/A	413	204	1,302	495
2017-02-14	$42.20	$40.00	36.6%	10.5%	42.3%	17.2%	36.5%	3.0%	2.7%	79.6K	-2.8M	-5.2K	0.49	76.43	N/A	N/A	413	204	1,338	485
2017-02-15	$41.99	$40.00	36.4%	10.4%	41.7%	16.8%	36.4%	3.3%	3.5%	64.2K	-2.9M	-4.8K	0.49	85.81	N/A	N/A	413	204	1,338	485
2017-02-16	$41.74	$40.00	35.2%	10.1%	41.0%	14.7%	34.9%	3.5%	4.2%	92.5K	-2.6M	-5.0K	0.37	84.50	N/A	N/A	394	145	1,368	485
2017-02-17	$41.11	$40.00	35.6%	10.2%	41.6%	15.6%	34.6%	-0.8%	3.1%	30.2K	-3.0M	-4.6K	0.38	85.20	N/A	N/A	385	145	1,391	485
2017-02-21	$41.60	$40.00	35.9%	10.3%	41.5%	16.0%	36.9%	6.2%	1.8%	33.5K	-857.2K	-4.5K	0.43	87.84	N/A	N/A	86	37	541	193
2017-02-22	$42.57	$40.00	34.6%	9.9%	37.0%	13.8%	36.8%	0.6%	-0.4%	39.5K	-983.1K	-4.3K	0.40	87.55	N/A	N/A	474	188	543	193
2017-02-23	$41.00	$40.00	37.0%	10.6%	39.4%	18.0%	37.0%	4.7%	-0.4%	32.5K	-1.1M	-8.4K	0.27	82.65	N/A	N/A	554	150	826	353
2017-02-24	$40.39	$40.00	36.1%	10.4%	39.6%	16.4%	36.6%	3.2%	-0.1%	49.5K	-1.6M	-13.1K	0.55	85.97	N/A	N/A	268	148	1,290	396
2017-02-27	$40.98	$40.00	37.4%	10.7%	39.7%	18.6%	38.3%	3.1%	-0.1%	57.4K	-1.8M	-13.4K	0.25	86.84	N/A	N/A	248	63	1,320	398
2017-02-28	$40.65	$40.00	38.4%	11.0%	39.7%	20.5%	40.9%	6.9%	-1.1%	56.6K	-1.7M	-13.7K	0.30	89.19	N/A	N/A	212	63	1,377	406