CRS Options History — June 2017

In June 2017, CRS traded between $35.71 and $39.23. ATM implied volatility averaged 37.0%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.1% (HV 20d: 32.9%). 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 20 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-06-08: Highest Volume — 414 contracts
  • 2017-06-14: Largest IV drop — 15.4% change
  • 2017-06-13: Highest IV Rank — 51.9%
  • 2017-06-01: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.34$35.71$39.23$37.27$37.62
Max Pain$35.23$35.00$40.00$35.00$35.00
ATM IV37.0%33.5%41.7%39.1%33.5%
Expected Move10.3%9.6%11.2%11.2%9.6%
HV 20d32.9%25.5%37.7%25.7%37.5%
HV 60d33.8%32.1%35.3%32.4%34.6%
IV Rank35.7%23.3%51.9%42.8%23.3%
IV Percentile34.9%7.1%70.6%54.4%7.1%
Term Structure2.8%-3.4%5.7%-3.4%4.7%
VWIV35.7%33.9%38.1%37.8%35.3%
Skew 25d2.9%-1.0%4.5%3.8%3.5%
Skew 10d7.9%-3.4%25.5%25.5%6.0%
Call IV 25d34.7%33.6%35.8%34.5%33.7%
Put IV 25d37.6%33.9%40.1%38.3%37.2%
Bid-Ask Spread %24.3212.4956.6117.5344.23
Gamma HHI0.410.340.550.410.38
Net GEX78.6K36.7K164.7K77.7K67.7K
Net DEX-1.3M-2.2M-630.5K-1.2M-1.5M
Net VEX-9.0K-10.4K-7.4K-9.8K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.270.660.660.54
Total Volume319.136188414337379
Total OI2,070.0451,6392,4142,2231,924

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$37.27$35.0039.1%11.2%25.7%42.8%37.8%3.8%-3.4%77.7K-1.2M-9.8K0.6617.53N/AN/A2031341,684539
2017-06-02$37.39$35.0038.5%11.0%25.5%40.7%35.0%3.2%-1.1%82.9K-1.3M-9.9K0.5318.21N/AN/A2451291,684552
2017-06-05$38.15$35.0036.8%9.8%26.4%34.9%38.1%2.3%2.8%104.7K-1.6M-10.3K0.6633.03N/AN/A2011331,702547
2017-06-06$37.93$35.0035.9%9.8%26.3%31.7%37.7%1.9%3.4%99.4K-1.4M-9.8K0.6132.80N/AN/A2161311,697553
2017-06-07$36.87$35.0039.3%10.3%28.0%43.4%36.9%3.5%2.2%66.6K-1.1M-8.9K0.5621.67N/AN/A2111191,722552
2017-06-08$38.86$40.0034.4%9.7%33.4%26.5%34.9%3.6%2.8%128.5K-1.9M-10.4K0.4722.51N/AN/A2811331,729564
2017-06-09$38.63$35.0035.8%9.8%32.3%31.3%35.7%3.0%3.2%126.9K-1.9M-10.1K0.6535.45N/AN/A2171401,771572
2017-06-12$39.19$35.0040.0%9.9%31.7%46.1%36.9%2.7%2.3%157.6K-2.2M-10.2K0.6019.91N/AN/A2301391,771565
2017-06-13$39.23$35.0041.7%9.9%30.6%51.9%35.0%2.8%2.6%164.7K-2.2M-10.2K0.5829.54N/AN/A1911111,784593
2017-06-14$38.56$35.0035.3%10.1%31.3%29.6%34.9%2.4%1.8%131.3K-1.8M-9.7K0.6056.61N/AN/A1881131,812595
2017-06-15$36.60$35.0036.4%10.4%34.9%33.6%36.3%4.0%2.9%43.5K-1.1M-8.5K0.5117.49N/AN/A196991,814586
2017-06-16$36.00$35.0036.1%10.3%35.3%32.3%35.4%4.5%2.0%41.9K-981.8K-7.6K0.6015.84N/AN/A1971181,830584
2017-06-19$36.69$35.0037.9%10.9%35.7%38.6%35.4%3.4%3.5%45.0K-852.6K-8.0K0.3820.05N/AN/A147561,276363
2017-06-20$36.03$35.0037.0%10.6%36.3%35.5%35.9%4.2%3.0%40.7K-698.5K-7.5K0.4716.80N/AN/A132621,288365
2017-06-21$35.71$35.0037.4%10.7%34.7%36.9%36.5%4.3%2.7%36.7K-630.5K-7.4K0.5518.57N/AN/A121671,290373
2017-06-22$36.38$35.0036.8%10.6%35.3%34.9%33.9%3.8%3.5%43.8K-826.3K-8.0K0.4421.49N/AN/A152671,305386
2017-06-23$36.95$35.0034.6%9.9%35.7%27.3%34.2%1.6%5.7%48.2K-921.2K-8.0K0.2814.02N/AN/A261731,304386
2017-06-26$36.99$35.0037.8%10.8%35.7%38.5%34.8%2.4%3.4%56.3K-1.2M-8.7K0.3712.49N/AN/A210771,432398
2017-06-27$36.12$35.0036.2%10.4%36.3%32.7%34.6%-1.0%4.6%45.8K-942.3K-8.0K0.3620.08N/AN/A245881,449404
2017-06-28$37.23$35.0037.6%10.8%37.7%37.5%35.5%2.7%4.9%60.6K-1.3M-9.0K0.2929.62N/AN/A308881,471421
2017-06-29$37.06$35.0036.8%10.5%37.2%34.8%35.3%1.9%3.2%58.0K-1.3M-9.0K0.2717.04N/AN/A325881,483421
2017-06-30$37.62$35.0033.5%9.6%37.5%23.3%35.3%3.5%4.7%67.7K-1.5M-9.4K0.5444.23N/AN/A2461331,503421