CRS Options History — August 2017

In August 2017, CRS traded between $37.78 and $40.51. ATM implied volatility averaged 34.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.8% (HV 20d: 27.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2017-08-22: Highest Volume — 587 contracts
  • 2017-08-28: Largest IV spike — 5.6% change
  • 2017-08-01: Highest IV Rank — 35.7%
  • 2017-08-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.28$37.78$40.51$39.92$40.51
Max Pain$35.43$35.00$40.00$40.00$35.00
ATM IV34.5%32.6%37.0%37.0%32.8%
Expected Move9.8%9.3%10.6%10.6%9.4%
HV 20d27.7%22.8%33.5%33.5%22.8%
HV 60d31.3%30.4%32.2%32.2%30.7%
IV Rank26.0%16.6%35.7%35.7%17.3%
IV Percentile12.2%2.8%40.5%40.5%3.6%
Term Structure0.8%-1.9%2.3%-1.9%1.0%
VWIV34.9%28.7%47.4%36.6%28.9%
Skew 25d2.7%-5.3%5.6%3.1%5.6%
Skew 10d2.7%-9.3%8.4%5.0%6.2%
Call IV 25d34.0%23.4%37.2%36.8%23.4%
Put IV 25d36.8%27.8%40.1%39.9%29.0%
Bid-Ask Spread %23.319.3581.8028.639.35
Gamma HHI0.500.400.660.450.59
Net GEX99.6K36.6K174.7K103.2K174.7K
Net DEX-1.8M-2.8M-549.4K-2.3M-2.8M
Net VEX-7.3K-8.7K-5.9K-8.3K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.191.890.380.57
Total Volume305.522241587247390
Total OI2,141.4351,8612,2701,9452,236

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$39.92$40.0037.0%10.6%33.5%35.7%36.6%3.1%-1.9%103.2K-2.3M-8.3K0.3828.63N/AN/A179681,546399
2017-08-02$39.97$40.0036.2%10.4%32.0%32.8%36.0%2.9%-1.2%104.9K-2.3M-8.3K0.4127.50N/AN/A200821,565399
2017-08-03$39.77$35.0035.8%9.9%31.7%31.3%36.0%3.1%1.2%103.1K-2.2M-8.7K0.4814.38N/AN/A187891,589418
2017-08-04$40.02$35.0034.0%9.8%31.6%25.0%35.9%2.4%2.3%108.8K-2.3M-8.5K0.4415.86N/AN/A183811,590421
2017-08-07$40.20$35.0035.4%9.9%31.6%30.1%34.8%3.5%1.8%113.3K-2.4M-8.2K0.4412.60N/AN/A184811,585420
2017-08-08$39.17$35.0036.5%9.9%32.8%34.0%36.5%2.2%1.7%95.0K-1.8M-7.4K1.8921.93N/AN/A1783371,565420
2017-08-09$38.82$35.0034.6%9.9%32.7%27.4%37.4%2.9%1.8%42.6K-1.1M-7.7K0.9719.95N/AN/A1461421,587683
2017-08-10$38.34$35.0035.6%10.2%33.0%30.6%34.4%2.9%1.1%39.0K-934.6K-7.4K0.5136.69N/AN/A160811,585668
2017-08-11$38.10$35.0034.6%9.9%33.0%27.2%33.7%3.1%2.3%37.0K-807.9K-7.0K0.4622.40N/AN/A181841,585668
2017-08-14$38.29$35.0034.5%9.9%28.8%26.8%33.7%3.3%1.8%36.6K-794.9K-6.5K0.4916.97N/AN/A176861,585660
2017-08-15$37.78$35.0034.1%9.8%25.4%25.3%33.6%2.3%2.0%38.8K-563.3K-6.1K0.6018.06N/AN/A159951,595660
2017-08-16$38.22$35.0033.9%9.7%25.0%24.7%33.3%2.7%1.7%44.8K-680.6K-6.1K0.6218.20N/AN/A1661031,597655
2017-08-17$37.85$35.0035.4%10.1%25.2%29.9%37.8%2.7%1.3%50.3K-553.4K-6.0K0.4718.78N/AN/A2211031,610651
2017-08-18$38.00$35.0033.8%9.7%24.9%24.5%36.7%2.7%1.9%69.1K-549.4K-6.1K0.5516.71N/AN/A2131181,612651
2017-08-21$38.01$35.0034.4%9.9%24.7%26.5%37.5%3.2%-1.1%67.5K-1.3M-5.9K0.439.88N/AN/A197841,483378
2017-08-22$39.79$35.0033.3%9.5%27.0%22.7%33.2%1.9%-0.4%95.3K-2.0M-6.7K0.1924.52N/AN/A493941,505396
2017-08-23$40.13$35.0033.9%9.7%26.8%24.7%33.2%3.0%0.6%155.3K-2.7M-7.9K0.4725.49N/AN/A2271061,783387
2017-08-24$40.02$35.0034.1%9.8%23.6%22.3%47.4%3.5%-0.2%154.9K-2.6M-7.9K0.4181.80N/AN/A206851,809406
2017-08-25$40.21$35.0032.7%9.4%22.8%17.1%28.7%3.9%0.5%162.6K-2.8M-7.7K0.4637.58N/AN/A182831,810407
2017-08-28$39.82$35.0034.5%9.9%23.0%23.8%32.9%2.8%-0.2%157.1K-2.5M-7.3K0.5219.39N/AN/A173901,815406
2017-08-29$40.32$35.0033.8%9.7%22.8%21.0%32.7%4.0%-0.1%167.1K-2.7M-7.3K0.5527.45N/AN/A172941,817413
2017-08-30$40.25$35.0032.6%9.3%22.8%16.6%31.9%-5.3%1.0%170.5K-2.7M-7.1K0.5812.00N/AN/A170981,816417
2017-08-31$40.51$35.0032.8%9.4%22.8%17.3%28.9%5.6%1.0%174.7K-2.8M-7.0K0.579.35N/AN/A2481421,814422