CRS Options History — July 2017

In July 2017, CRS traded between $36.88 and $40.74. ATM implied volatility averaged 40.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 7.6% (HV 20d: 32.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2017-07-10: Highest Volume — 483 contracts
  • 2017-07-27: Largest IV drop — 16.9% change
  • 2017-07-26: Highest IV Rank — 60.0%
  • 2017-07-26: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.39$36.88$40.74$38.21$40.52
Max Pain$36.75$35.00$40.00$35.00$40.00
ATM IV40.1%36.2%44.0%36.2%38.0%
Expected Move11.7%10.4%12.6%10.4%10.9%
HV 20d32.5%25.5%38.2%37.3%33.1%
HV 60d33.3%32.0%35.0%34.7%32.0%
IV Rank46.3%32.9%60.0%32.9%39.1%
IV Percentile61.5%25.8%88.5%25.8%50.8%
Term Structure-2.2%-6.1%3.7%3.2%-2.2%
VWIV41.9%35.4%45.8%37.8%36.8%
Skew 25d3.1%1.4%4.6%4.1%3.1%
Skew 10d7.1%-8.4%17.1%8.4%5.4%
Call IV 25d40.2%34.0%43.1%34.0%37.2%
Put IV 25d43.4%38.1%46.7%38.1%40.2%
Bid-Ask Spread %41.9818.4278.1678.1624.03
Gamma HHI0.420.360.480.400.46
Net GEX85.5K60.6K128.1K81.5K109.8K
Net DEX-1.8M-2.7M-1.2M-1.7M-2.6M
Net VEX-9.0K-9.8K-8.1K-9.5K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.170.700.500.43
Total Volume356.45225483364225
Total OI2,075.451,8702,2931,9511,960

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$38.21$35.0036.2%10.4%37.3%32.9%37.8%4.1%3.2%81.5K-1.7M-9.5K0.5078.16N/AN/A2431211,532419
2017-07-05$37.31$35.0039.6%11.4%38.2%44.8%38.6%1.6%3.7%67.2K-1.4M-8.8K0.5418.42N/AN/A2331261,533425
2017-07-06$36.88$35.0039.0%12.3%37.0%42.5%42.6%3.0%-2.9%60.6K-1.2M-8.5K0.5434.40N/AN/A2371271,553435
2017-07-07$37.29$35.0038.7%12.2%31.8%41.5%42.6%3.3%-2.7%67.9K-1.3M-8.8K0.5437.52N/AN/A2371271,568435
2017-07-10$37.58$35.0038.4%12.0%31.9%40.6%43.9%3.4%-2.5%74.7K-1.5M-9.0K0.7045.62N/AN/A2841991,569435
2017-07-11$38.19$35.0036.4%11.9%32.0%33.6%43.5%3.1%-3.0%81.7K-1.7M-9.2K0.4255.02N/AN/A2841201,586535
2017-07-12$37.74$35.0040.9%11.7%32.2%49.1%43.1%3.5%-2.6%71.2K-1.5M-9.2K0.3844.80N/AN/A3141201,624555
2017-07-13$37.58$35.0041.4%11.9%31.7%50.8%43.4%2.9%-2.5%72.8K-1.6M-9.4K0.4323.00N/AN/A2801201,661555
2017-07-14$37.81$35.0042.4%12.1%25.5%54.3%44.3%2.8%-4.0%76.3K-1.6M-9.3K0.4934.70N/AN/A2401181,661555
2017-07-17$39.52$35.0042.4%12.2%28.7%54.5%44.2%4.6%-2.8%128.1K-2.5M-9.8K0.4336.61N/AN/A2461051,662557
2017-07-18$37.97$40.0043.1%12.4%32.2%57.0%45.8%3.6%-4.4%78.2K-1.6M-8.8K0.4632.13N/AN/A2491151,655576
2017-07-19$38.62$35.0042.5%12.2%31.7%54.6%44.4%3.8%-3.6%105.2K-1.9M-9.4K0.4849.23N/AN/A2411161,666586
2017-07-20$38.44$40.0042.7%12.2%31.5%55.3%43.7%1.4%-2.8%109.8K-1.9M-8.9K0.4829.64N/AN/A2421161,695589
2017-07-21$37.96$35.0040.2%11.5%31.5%46.6%42.6%2.6%-2.0%71.4K-1.6M-8.6K0.5040.41N/AN/A2271131,711582
2017-07-24$37.70$35.0041.6%11.9%31.3%51.5%43.7%2.5%-2.2%69.2K-1.5M-8.1K0.4458.97N/AN/A184811,505365
2017-07-25$39.02$40.0041.2%11.8%33.4%50.2%41.9%2.8%-2.8%82.7K-2.0M-8.6K0.2957.61N/AN/A275811,511387
2017-07-26$38.64$40.0044.0%12.6%32.3%60.0%43.3%2.0%-6.1%83.8K-1.9M-8.6K0.3163.79N/AN/A249781,561387
2017-07-27$40.07$40.0036.6%10.5%33.0%34.2%36.5%4.4%-1.6%107.2K-2.5M-9.0K0.1738.28N/AN/A321561,583388
2017-07-28$40.74$40.0036.4%10.4%33.2%33.6%35.4%4.2%-0.5%110.3K-2.7M-9.0K0.3237.30N/AN/A211681,559388
2017-07-31$40.52$40.0038.0%10.9%33.1%39.1%36.8%3.1%-2.2%109.8K-2.6M-8.9K0.4324.03N/AN/A157681,561399