CRS Options History — May 2017

In May 2017, CRS traded between $35.37 and $40.25. ATM implied volatility averaged 37.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 0.9% (HV 20d: 36.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-05-30: Highest Volume — 349 contracts
  • 2017-05-04: Largest IV spike — 10.6% change
  • 2017-05-31: Highest IV Rank — 39.3%
  • 2017-05-30: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.78$35.37$40.25$40.25$36.59
Max Pain$35.68$35.00$40.00$40.00$35.00
ATM IV37.1%34.4%40.2%35.7%38.1%
Expected Move10.5%9.9%11.2%10.2%10.9%
HV 20d36.2%29.5%42.4%38.2%29.6%
HV 60d35.9%33.1%37.3%35.1%33.1%
IV Rank19.9%14.0%39.3%16.4%39.3%
IV Percentile32.4%9.9%54.8%17.5%46.4%
Term Structure1.1%-2.8%3.0%0.1%-1.2%
VWIV36.1%32.3%40.1%36.7%32.8%
Skew 25d2.9%-1.2%5.1%2.0%3.4%
Skew 10d4.5%-3.7%10.8%4.0%1.4%
Call IV 25d35.5%33.8%37.4%37.4%34.2%
Put IV 25d38.3%34.0%40.9%39.4%37.6%
Bid-Ask Spread %33.1612.2486.3886.3849.39
Gamma HHI0.390.300.480.480.40
Net GEX72.7K28.7K147.4K147.4K65.5K
Net DEX-1.1M-3.0M-448.4K-3.0M-909.6K
Net VEX-10.3K-13.7K-8.6K-13.7K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.511.310.870.66
Total Volume301.318198349198335
Total OI2,315.2272,0912,4862,2532,218

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$40.25$40.0035.7%10.2%38.2%16.4%36.7%2.0%0.1%147.4K-3.0M-13.7K0.8786.38N/AN/A106921,841412
2017-05-02$39.35$40.0034.4%9.9%38.9%14.0%36.3%3.2%0.6%140.9K-2.4M-13.3K1.3179.07N/AN/A1151511,867444
2017-05-03$37.54$40.0035.6%10.2%42.4%16.4%37.9%4.7%0.2%100.1K-1.4M-12.3K0.6546.93N/AN/A1681101,849491
2017-05-04$37.15$35.0039.4%10.8%40.6%23.3%34.8%4.1%2.3%92.3K-1.2M-11.5K0.5827.08N/AN/A2021181,848489
2017-05-05$37.16$35.0038.1%10.6%40.6%20.9%35.2%3.0%2.6%95.2K-1.3M-11.4K0.6148.97N/AN/A1951181,858468
2017-05-08$36.82$35.0040.2%10.4%40.5%24.8%35.9%2.4%2.0%83.8K-1.0M-10.5K0.6835.30N/AN/A1771211,857482
2017-05-09$36.39$35.0038.4%10.5%40.6%21.4%37.7%3.1%3.0%67.9K-814.3K-10.4K0.8124.25N/AN/A1661351,859512
2017-05-10$36.76$35.0036.9%10.6%39.9%18.8%37.7%4.3%1.8%77.3K-941.9K-10.4K1.1823.54N/AN/A1141351,860521
2017-05-11$35.95$35.0036.9%10.6%37.0%18.7%37.6%3.3%1.9%53.1K-563.2K-9.7K0.7251.98N/AN/A1841321,863540
2017-05-12$35.41$35.0036.5%10.5%35.9%18.1%37.6%3.9%1.9%41.8K-519.9K-9.4K1.0019.30N/AN/A1291291,913543
2017-05-15$36.38$35.0036.8%10.6%37.0%18.5%35.6%4.5%2.2%57.5K-849.8K-9.8K0.7421.36N/AN/A1751291,923548
2017-05-16$36.84$35.0036.4%10.4%37.1%17.7%36.2%3.9%2.5%68.2K-1.0M-10.2K0.6836.58N/AN/A1801231,921548
2017-05-17$35.70$35.0037.6%10.8%39.1%20.0%40.1%4.6%1.5%40.7K-590.4K-9.5K0.5317.37N/AN/A2251201,931555
2017-05-18$35.37$35.0037.1%10.6%35.2%19.0%38.1%3.9%1.6%28.7K-448.4K-8.9K0.5532.89N/AN/A2151181,895554
2017-05-19$35.80$35.0036.7%10.5%35.5%18.4%36.1%3.0%2.5%52.7K-709.8K-9.4K0.5437.47N/AN/A2101131,901548
2017-05-22$35.93$35.0036.1%10.3%34.8%17.2%37.0%5.1%0.6%51.0K-692.0K-8.6K0.6222.87N/AN/A1631011,607484
2017-05-23$37.00$35.0037.0%10.6%31.8%18.9%33.9%1.4%-0.7%69.8K-1.1M-9.8K0.6013.40N/AN/A1681001,613485
2017-05-24$36.58$35.0037.4%10.7%31.1%19.6%34.3%-1.2%-0.3%61.5K-956.4K-9.3K0.5112.24N/AN/A2191111,609494
2017-05-25$36.61$35.0036.3%10.4%31.1%17.7%33.2%-0.8%0.8%67.5K-1.0M-9.4K0.8013.51N/AN/A1881511,661495
2017-05-26$36.47$35.0035.8%10.2%29.5%16.6%32.3%-1.1%0.5%63.0K-859.5K-9.9K0.8014.31N/AN/A1881511,675545
2017-05-30$37.02$35.0039.2%11.2%30.2%23.0%37.5%2.1%-2.8%72.6K-1.1M-9.9K0.7415.36N/AN/A2001491,675533
2017-05-31$36.59$35.0038.1%10.9%29.6%39.3%32.8%3.4%-1.2%65.5K-909.6K-9.4K0.6649.39N/AN/A2021331,683535