CRS Options History — April 2017

In April 2017, CRS traded between $34.64 and $40.73. ATM implied volatility averaged 39.5%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 7.4% (HV 20d: 32.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.47.

Notable Days

2017-04-25: Highest Volume — 479 contracts
2017-04-12: Largest IV spike — 48.2% change
2017-04-26: Highest IV Rank — 34.8%
2017-04-26: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.03	$34.64	$40.73	$37.00	$40.73
Max Pain	$37.63	$35.00	$40.00	$40.00	$40.00
ATM IV	39.5%	28.6%	45.6%	36.5%	35.0%
Expected Move	11.8%	9.5%	13.1%	10.5%	10.0%
HV 20d	32.1%	28.3%	38.2%	30.8%	38.2%
HV 60d	38.5%	37.5%	39.5%	38.4%	39.5%
IV Rank	23.5%	3.4%	34.8%	18.1%	15.2%
IV Percentile	49.1%	0.8%	88.9%	21.8%	11.1%
Term Structure	-1.6%	-6.7%	5.9%	5.0%	0.5%
VWIV	40.2%	34.8%	44.4%	36.4%	34.8%
Skew 25d	3.6%	1.5%	6.8%	1.5%	4.7%
Skew 10d	9.4%	1.5%	25.4%	25.4%	8.7%
Call IV 25d	39.2%	33.4%	42.9%	34.5%	33.4%
Put IV 25d	42.8%	35.4%	47.3%	35.9%	38.1%
Bid-Ask Spread %	82.24	74.82	96.32	91.70	84.84
Gamma HHI	0.36	0.30	0.48	0.34	0.47
Net GEX	56.8K	-8.2K	148.3K	53.6K	148.3K
Net DEX	-1.2M	-3.2M	-212.6K	-1.0M	-3.2M
Net VEX	-11.7K	-14.4K	-9.5K	-11.8K	-14.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.25	0.78	0.37	0.78
Total Volume	310.632	195	479	310	203
Total OI	2,160.158	1,860	2,282	2,031	2,239

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
2017-04-03	$37.00	$40.00	36.5%	10.5%	30.8%	18.1%	36.4%	1.5%	5.0%	53.6K	-1.0M	-11.8K	0.37	91.70	N/A	N/A	227	83	1,599	432
2017-04-04	$37.59	$40.00	33.2%	9.5%	28.3%	11.9%	35.4%	1.8%	5.9%	68.4K	-1.4M	-13.1K	0.43	89.71	N/A	N/A	223	96	1,703	432
2017-04-05	$36.30	$40.00	37.3%	10.7%	31.0%	19.5%	36.9%	1.5%	4.1%	53.5K	-985.0K	-12.1K	0.49	96.32	N/A	N/A	256	125	1,721	419
2017-04-06	$36.45	$35.00	35.3%	11.8%	29.3%	15.8%	39.9%	2.3%	-2.0%	46.6K	-925.6K	-11.9K	0.45	76.66	N/A	N/A	269	120	1,701	466
2017-04-07	$36.91	$35.00	33.4%	11.8%	29.4%	12.2%	38.7%	4.2%	-1.7%	52.1K	-1.1M	-12.4K	0.45	79.07	N/A	N/A	269	120	1,696	469
2017-04-10	$36.64	$35.00	36.6%	12.0%	29.6%	18.1%	41.4%	4.8%	-2.2%	48.4K	-964.4K	-11.6K	0.48	76.96	N/A	N/A	270	129	1,696	469
2017-04-11	$37.51	$35.00	28.6%	11.2%	30.6%	3.4%	40.3%	4.2%	-0.8%	64.3K	-1.3M	-12.5K	0.38	75.33	N/A	N/A	274	104	1,698	476
2017-04-12	$35.81	$35.00	42.4%	12.2%	33.4%	28.9%	42.2%	3.5%	-1.9%	31.2K	-714.7K	-10.8K	0.63	75.21	N/A	N/A	178	112	1,708	476
2017-04-13	$34.79	$35.00	41.9%	12.0%	29.4%	27.9%	41.4%	2.3%	-2.1%	12.9K	-212.6K	-10.0K	0.55	82.82	N/A	N/A	168	92	1,709	527
2017-04-17	$34.64	$35.00	44.0%	12.6%	29.2%	31.8%	43.6%	3.1%	-3.6%	8.5K	-235.0K	-9.9K	0.55	81.40	N/A	N/A	168	92	1,719	563
2017-04-18	$34.94	$35.00	43.6%	12.5%	29.3%	31.1%	43.6%	3.9%	-3.9%	3.2K	-242.7K	-9.7K	0.41	82.68	N/A	N/A	194	79	1,705	563
2017-04-19	$34.94	$35.00	43.1%	12.3%	28.5%	30.1%	39.6%	3.4%	-2.7%	-8.2K	-263.1K	-9.5K	0.46	82.54	N/A	N/A	200	92	1,703	554
2017-04-20	$36.62	$40.00	43.7%	12.5%	33.5%	31.3%	42.3%	4.3%	-3.2%	35.8K	-943.5K	-10.8K	0.50	86.00	N/A	N/A	169	85	1,703	565
2017-04-21	$36.65	$40.00	43.7%	12.5%	33.4%	31.2%	41.9%	4.8%	-2.8%	57.8K	-1.1M	-11.0K	0.49	87.39	N/A	N/A	176	86	1,718	555
2017-04-24	$37.33	$40.00	44.5%	12.8%	33.8%	32.7%	39.9%	6.8%	-5.5%	67.2K	-1.2M	-10.9K	0.43	74.82	N/A	N/A	136	59	1,492	368
2017-04-25	$39.17	$40.00	44.8%	12.8%	37.6%	33.2%	44.4%	3.2%	-5.4%	85.0K	-1.9M	-12.2K	0.25	84.56	N/A	N/A	383	96	1,501	366
2017-04-26	$39.81	$40.00	45.6%	13.1%	37.7%	34.8%	44.2%	4.6%	-6.7%	115.1K	-2.4M	-13.7K	0.46	75.51	N/A	N/A	170	79	1,718	398
2017-04-27	$39.83	$40.00	37.6%	10.8%	37.7%	20.1%	36.3%	3.9%	-1.3%	136.1K	-2.7M	-14.0K	0.39	78.99	N/A	N/A	230	90	1,818	398
2017-04-28	$40.73	$40.00	35.0%	10.0%	38.2%	15.2%	34.8%	4.7%	0.5%	148.3K	-3.2M	-14.4K	0.78	84.84	N/A	N/A	114	89	1,842	397