CRS Options History — October 2017

In October 2017, CRS traded between $49.05 and $51.06. ATM implied volatility averaged 35.2%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 12.9% (HV 20d: 22.3%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2017-10-30: Highest Volume — 554 contracts
  • 2017-10-26: Largest IV drop — 20.6% change
  • 2017-10-24: Highest IV Rank — 46.7%
  • 2017-10-24: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.94$49.05$51.06$49.99$49.82
Max Pain$43.18$40.00$50.00$45.00$50.00
ATM IV35.2%30.6%40.2%33.0%31.9%
Expected Move10.3%9.0%11.5%9.5%9.1%
HV 20d22.3%13.7%28.9%28.9%14.9%
HV 60d25.2%22.8%28.2%28.2%23.7%
IV Rank27.3%10.1%46.7%19.1%14.9%
IV Percentile34.0%2.0%77.4%7.5%4.0%
Term Structure-1.6%-4.5%4.4%3.1%0.0%
VWIV37.2%32.1%41.7%32.8%32.3%
Skew 25d4.1%2.5%5.2%4.9%4.1%
Skew 10d7.2%4.3%10.7%7.8%6.6%
Call IV 25d34.8%30.0%38.3%30.0%32.5%
Put IV 25d38.9%34.9%42.4%34.9%36.6%
Bid-Ask Spread %53.5813.7780.0557.1774.94
Gamma HHI0.450.320.800.390.36
Net GEX-1.0K-195.0K93.2K49.8K91.7K
Net DEX-3.0M-3.8M-2.3M-3.3M-2.6M
Net VEX-6.0K-7.0K-4.9K-5.2K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.371.201.060.53
Total Volume471.364395554426481
Total OI1,605.4551,1221,8271,3661,494

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$49.99$45.0033.0%9.5%28.9%19.1%32.8%4.9%3.1%49.8K-3.3M-5.2K1.0657.17N/AN/A207219875491
2017-10-03$50.15$45.0033.0%9.5%27.4%19.1%33.3%2.9%3.5%51.0K-3.4M-5.2K0.9517.86N/AN/A263249895528
2017-10-04$50.12$45.0031.9%9.2%26.9%15.0%32.1%4.4%4.4%29.7K-3.3M-5.9K1.0319.61N/AN/A245252953630
2017-10-05$50.13$40.0032.4%10.4%25.2%16.6%38.0%4.0%-1.3%-3.9K-3.1M-6.5K1.0424.52N/AN/A245254964752
2017-10-06$49.73$40.0030.6%10.4%24.8%10.1%37.4%3.4%-2.3%-8.5K-2.9M-6.7K1.1336.58N/AN/A225255967768
2017-10-09$49.76$40.0033.5%10.7%25.2%20.9%38.5%4.2%-2.7%-11.0K-3.0M-6.4K1.1426.23N/AN/A225257977776
2017-10-10$49.50$40.0032.5%10.6%25.8%17.0%38.2%4.4%-2.5%-13.3K-2.9M-6.3K1.0713.77N/AN/A228244977771
2017-10-11$49.29$40.0036.9%10.6%26.2%34.0%38.2%2.5%-2.3%-14.4K-2.8M-6.2K1.1025.31N/AN/A223245971773
2017-10-12$49.49$40.0037.3%10.7%25.6%35.4%38.7%2.6%-2.9%-28.3K-2.9M-6.1K1.1662.14N/AN/A209243971774
2017-10-13$49.85$40.0037.0%10.6%25.2%34.5%39.6%4.0%-3.3%-41.3K-3.1M-6.0K1.1661.84N/AN/A2122451,005777
2017-10-16$49.93$40.0037.9%10.9%25.1%37.7%38.9%3.7%-3.5%-48.7K-3.2M-5.6K1.1762.64N/AN/A2112461,027783
2017-10-17$49.98$40.0037.8%10.8%25.0%37.5%41.7%4.4%-2.6%-64.1K-3.2M-5.6K1.2062.44N/AN/A2052461,036788
2017-10-18$50.04$40.0037.8%10.8%21.9%37.4%40.8%4.9%-3.6%-109.6K-3.3M-5.5K1.1162.34N/AN/A2222461,039788
2017-10-19$49.82$40.0037.6%10.8%20.4%36.6%38.7%4.6%-3.1%-177.1K-2.9M-5.3K0.7266.00N/AN/A2291661,010788
2017-10-20$50.07$40.0037.5%10.8%19.8%36.4%38.9%4.4%-3.2%-195.0K-3.8M-4.9K0.6466.59N/AN/A2701721,012788
2017-10-23$49.98$45.0039.1%11.2%16.9%42.1%39.5%4.2%-2.7%52.0K-2.3M-5.3K0.4867.62N/AN/A315150734388
2017-10-24$51.06$50.0040.2%11.5%18.0%46.7%40.8%3.6%-4.5%64.2K-2.7M-5.9K0.3970.39N/AN/A338133855413
2017-10-25$50.42$45.0039.9%11.4%18.1%45.3%39.8%4.3%-4.0%84.8K-2.8M-7.0K0.3764.17N/AN/A3611331,012414
2017-10-26$50.24$45.0031.7%9.1%18.1%14.0%33.2%4.7%-0.8%93.2K-2.8M-7.0K0.3776.72N/AN/A3451291,049414
2017-10-27$50.23$50.0031.4%9.0%17.7%12.8%33.0%4.5%-0.8%92.0K-2.8M-7.0K0.3779.73N/AN/A3461271,038411
2017-10-30$49.05$50.0032.5%9.3%13.7%17.3%33.0%5.2%-0.5%84.5K-2.3M-6.7K0.4180.05N/AN/A3921621,032412
2017-10-31$49.82$50.0031.9%9.1%14.9%14.9%32.3%4.1%0.0%91.7K-2.6M-6.8K0.5374.94N/AN/A3141671,045449