CRS Options History — March 2017

In March 2017, CRS traded between $35.22 and $42.11. ATM implied volatility averaged 37.2%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.1% (HV 20d: 39.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.68.

Notable Days

  • 2017-03-07: Highest Volume — 352 contracts
  • 2017-03-13: Largest IV spike — 14.5% change
  • 2017-03-13: Highest IV Rank — 27.5%
  • 2017-03-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.12$35.22$42.11$42.11$37.49
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV37.2%32.9%41.6%39.4%36.7%
Expected Move10.5%9.4%11.3%11.3%10.5%
HV 20d39.4%30.3%48.5%41.3%30.8%
HV 60d39.8%38.4%41.0%38.6%38.4%
IV Rank19.0%11.3%27.5%22.2%18.4%
IV Percentile26.1%4.0%56.0%37.7%25.0%
Term Structure3.3%-2.6%5.6%-2.6%3.0%
VWIV36.3%32.9%39.2%39.2%35.8%
Skew 25d2.6%-1.8%7.7%2.3%3.1%
Skew 10d5.9%-5.5%17.0%13.8%6.5%
Call IV 25d35.7%32.6%40.0%37.3%32.6%
Put IV 25d38.3%33.0%41.5%39.6%35.7%
Bid-Ask Spread %83.6071.4197.3384.0188.99
Gamma HHI0.410.330.730.730.35
Net GEX50.6K30.3K89.2K78.3K61.3K
Net DEX-1.0M-2.4M-237.8K-2.4M-1.2M
Net VEX-12.7K-14.6K-11.6K-14.6K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.291.020.440.67
Total Volume258.043134352192236
Total OI2,078.7391,8282,2891,8282,022

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$42.11$40.0039.4%11.3%41.3%22.2%39.2%2.3%-2.6%78.3K-2.4M-14.6K0.4484.01N/AN/A133591,422406
2017-03-02$39.30$40.0035.4%10.1%48.5%15.1%36.2%1.5%1.0%45.4K-1.5M-13.7K0.3785.70N/AN/A171631,463413
2017-03-03$38.54$40.0034.6%9.9%36.1%13.7%34.5%7.7%1.5%43.1K-1.2M-13.7K0.2991.16N/AN/A221631,536416
2017-03-06$38.05$40.0036.8%10.5%36.0%17.6%37.2%2.2%2.2%40.7K-1.0M-12.9K0.9171.41N/AN/A70641,555423
2017-03-07$36.68$40.0040.4%10.8%37.6%23.8%37.6%2.6%3.5%30.9K-574.7K-11.7K0.8972.59N/AN/A1861661,545427
2017-03-08$36.41$40.0040.8%10.7%37.4%24.5%37.7%2.9%3.7%36.0K-597.4K-12.5K0.6774.73N/AN/A1551041,673504
2017-03-09$35.42$40.0036.2%10.6%38.0%17.4%39.0%2.8%3.7%32.7K-270.2K-11.8K0.6676.26N/AN/A1571031,713522
2017-03-10$35.22$40.0036.4%10.5%37.1%17.8%38.9%4.2%3.8%32.0K-237.8K-11.6K0.6079.52N/AN/A1761061,732513
2017-03-13$35.31$40.0041.6%10.3%37.3%27.5%38.5%2.0%3.7%31.4K-272.3K-11.6K0.5578.29N/AN/A176961,760525
2017-03-14$35.35$40.0041.6%10.3%36.4%27.4%38.4%3.0%4.2%30.3K-248.2K-11.6K0.3681.29N/AN/A245891,758527
2017-03-15$36.46$40.0037.8%10.8%39.1%20.3%38.3%4.1%2.3%54.6K-1.3M-13.2K0.5386.24N/AN/A163861,868420
2017-03-16$38.25$40.0035.1%10.1%43.7%15.4%36.4%1.8%2.5%89.2K-2.0M-14.3K0.6075.05N/AN/A2111271,868421
2017-03-17$38.41$40.0032.9%9.4%43.9%11.3%33.3%3.8%4.2%74.8K-1.7M-14.1K0.7684.25N/AN/A1471121,817454
2017-03-20$37.78$40.0036.0%10.3%43.9%17.0%36.6%1.6%3.9%67.4K-1.4M-13.7K0.7884.31N/AN/A1411101,574366
2017-03-21$36.94$40.0037.9%10.9%43.9%20.5%35.9%2.2%3.6%57.4K-1.2M-12.9K0.9990.78N/AN/A1371361,573391
2017-03-22$36.86$40.0037.8%10.8%42.6%20.3%33.7%1.2%2.8%54.5K-1.1M-13.0K1.0279.86N/AN/A1111131,581428
2017-03-23$36.57$40.0036.1%10.4%41.1%17.3%33.1%-0.1%4.5%50.6K-962.5K-12.7K0.8897.33N/AN/A1291131,601426
2017-03-24$36.21$40.0035.5%10.2%41.0%16.1%33.8%-1.8%5.6%47.1K-864.9K-12.1K0.8692.02N/AN/A1401211,601426
2017-03-27$36.23$40.0037.3%10.7%40.4%19.4%38.1%5.2%5.0%47.2K-850.5K-11.9K0.7187.54N/AN/A1461041,599426
2017-03-28$36.71$40.0037.1%10.6%40.9%19.1%36.2%5.0%3.8%53.0K-997.1K-12.2K0.7286.33N/AN/A1451041,614429
2017-03-29$36.73$40.0036.9%10.6%38.1%18.8%32.9%2.4%4.2%54.1K-1.0M-11.9K0.7386.91N/AN/A1431041,606429
2017-03-30$36.73$40.0035.7%10.2%30.3%16.5%34.5%0.3%5.4%51.8K-959.5K-11.8K0.7088.13N/AN/A1491041,609429
2017-03-31$37.49$40.0036.7%10.5%30.8%18.4%35.8%3.1%3.0%61.3K-1.2M-12.3K0.6788.99N/AN/A141951,593429