CRS Options History — September 2017

In September 2017, CRS traded between $38.89 and $48.03. ATM implied volatility averaged 33.5%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 9.3% (HV 20d: 24.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-09-21: Highest Volume — 574 contracts
  • 2017-09-05: Largest IV spike — 14.6% change
  • 2017-09-05: Highest IV Rank — 32.8%
  • 2017-09-18: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.80$38.89$48.03$40.91$48.03
Max Pain$40.25$35.00$45.00$35.00$45.00
ATM IV33.5%29.8%37.0%32.3%29.8%
Expected Move9.5%8.5%10.1%9.3%8.5%
HV 20d24.2%21.8%27.0%23.0%26.6%
HV 60d27.7%26.5%29.1%28.8%27.3%
IV Rank20.3%6.8%32.8%15.6%6.8%
IV Percentile11.0%1.2%43.7%2.4%1.2%
Term Structure2.6%0.6%4.9%0.6%4.9%
VWIV33.2%27.1%40.6%27.1%30.9%
Skew 25d4.3%2.1%8.9%8.9%6.3%
Skew 10d11.4%-0.3%23.6%9.8%19.5%
Call IV 25d30.8%21.7%33.0%21.7%27.2%
Put IV 25d35.1%30.6%36.6%30.6%33.4%
Bid-Ask Spread %22.0610.4855.0510.4816.50
Gamma HHI0.630.420.880.550.47
Net GEX128.0K27.1K398.9K191.3K59.9K
Net DEX-2.4M-3.9M-1.4M-3.2M-2.8M
Net VEX-5.9K-7.3K-5.1K-7.3K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.341.510.550.61
Total Volume365.2223574391498
Total OI1,830.759702,5152,3711,347

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$40.91$35.0032.3%9.3%23.0%15.6%27.1%8.9%0.6%191.3K-3.2M-7.3K0.5510.48N/AN/A2521391,904467
2017-09-05$40.26$40.0037.0%9.7%23.7%32.8%35.2%2.5%2.1%180.4K-2.7M-6.7K0.8813.14N/AN/A1871641,909467
2017-09-06$40.00$40.0034.4%9.6%21.8%23.2%36.3%3.3%2.7%183.8K-2.5M-6.8K0.8313.28N/AN/A1831511,938537
2017-09-07$39.33$40.0034.5%9.5%22.5%23.5%34.8%3.1%2.5%172.4K-2.0M-6.5K0.5727.20N/AN/A1831051,939538
2017-09-08$38.89$40.0033.7%9.7%22.4%20.7%35.1%3.3%1.9%153.8K-1.7M-6.2K0.6237.59N/AN/A1771091,929559
2017-09-11$39.36$40.0036.2%9.7%22.6%29.7%33.5%3.5%1.9%199.4K-1.8M-5.9K0.4421.26N/AN/A155681,914572
2017-09-12$40.01$40.0035.4%9.8%23.1%26.8%31.6%3.4%1.7%258.2K-2.4M-5.9K0.4716.05N/AN/A163771,907576
2017-09-13$40.74$40.0033.0%9.5%23.0%18.3%33.3%3.1%2.4%250.9K-3.2M-5.7K0.4516.33N/AN/A155701,929584
2017-09-14$40.52$40.0032.9%9.4%23.1%18.7%30.5%4.6%2.5%398.9K-3.1M-5.5K0.5016.31N/AN/A149741,932583
2017-09-15$41.44$40.0033.3%9.5%23.5%20.2%31.5%5.0%2.3%27.1K-3.9M-5.1K0.4514.73N/AN/A165741,928585
2017-09-18$42.26$40.0035.1%10.1%24.1%27.1%34.3%6.0%2.1%33.9K-1.4M-5.1K0.3450.53N/AN/A18562636334
2017-09-19$42.95$40.0031.0%8.9%24.4%11.5%32.7%8.8%3.9%38.6K-1.5M-5.3K0.3511.86N/AN/A23180655358
2017-09-20$44.72$40.0032.8%9.4%23.2%18.3%40.6%3.7%2.7%52.4K-1.9M-5.4K1.4555.05N/AN/A231334713379
2017-09-21$43.92$40.0032.0%9.2%24.7%15.3%30.5%3.2%3.7%51.0K-1.8M-6.0K1.5141.79N/AN/A229345745431
2017-09-22$44.76$40.0032.2%9.2%25.1%16.0%33.9%3.0%3.4%56.2K-2.0M-6.0K0.7314.96N/AN/A225165757446
2017-09-25$46.31$40.0035.1%10.1%27.0%27.0%34.4%5.0%1.3%56.5K-2.4M-5.6K0.6820.75N/AN/A243165763446
2017-09-26$46.62$40.0034.6%9.9%26.3%25.1%35.2%4.3%2.2%59.3K-2.5M-5.7K0.4516.14N/AN/A331149782455
2017-09-27$47.52$40.0030.4%8.7%26.5%9.2%31.1%2.9%4.4%71.4K-2.9M-6.1K0.5816.61N/AN/A326189880455
2017-09-28$47.39$45.0033.4%9.6%26.6%20.4%32.5%2.1%3.4%64.5K-2.6M-5.9K0.6210.55N/AN/A319197852484
2017-09-29$48.03$45.0029.8%8.5%26.6%6.8%30.9%6.3%4.9%59.9K-2.8M-5.8K0.6116.50N/AN/A310188855492