CRS Options History — November 2017

In November 2017, CRS traded between $44.95 and $49.44. ATM implied volatility averaged 32.7%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 13.3% (HV 20d: 19.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2017-11-14: Highest Volume — 608 contracts
  • 2017-11-21: Largest IV drop — 9.9% change
  • 2017-11-13: Highest IV Rank — 36.6%
  • 2017-11-13: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.76$44.95$49.44$49.14$49.44
Max Pain$40.48$40.00$50.00$50.00$40.00
ATM IV32.7%30.6%35.4%32.8%32.8%
Expected Move9.3%8.8%10.2%9.4%9.4%
HV 20d19.5%15.4%23.4%15.6%21.4%
HV 60d23.3%22.6%24.4%23.2%23.2%
IV Rank22.3%12.7%36.6%18.1%23.7%
IV Percentile12.3%2.0%33.7%8.7%13.5%
Term Structure0.2%-2.3%2.3%-0.7%-2.3%
VWIV32.8%27.4%37.1%34.8%30.7%
Skew 25d4.6%2.9%7.5%3.9%4.1%
Skew 10d8.7%2.0%20.0%2.0%6.2%
Call IV 25d31.4%26.4%34.5%33.5%32.4%
Put IV 25d35.9%33.7%38.5%37.3%36.5%
Bid-Ask Spread %28.129.1378.2878.2855.08
Gamma HHI0.440.310.550.350.52
Net GEX73.5K35.3K116.7K87.0K78.5K
Net DEX-1.9M-2.6M-1.0M-2.4M-2.3M
Net VEX-5.7K-6.8K-4.7K-6.8K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.300.670.540.37
Total Volume411.619271608474276
Total OI1,542.0481,3421,7891,5001,445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$49.14$50.0032.8%9.4%15.6%18.1%34.8%3.9%-0.7%87.0K-2.4M-6.8K0.5478.28N/AN/A3071671,046454
2017-11-02$49.30$40.0032.3%9.2%15.7%16.4%33.1%3.5%1.1%92.0K-2.4M-6.8K0.5746.70N/AN/A2921671,062454
2017-11-03$49.23$40.0031.3%9.1%15.5%12.7%33.4%2.9%1.7%91.5K-2.4M-6.7K0.4612.04N/AN/A3631671,061454
2017-11-06$49.22$40.0033.8%9.0%15.4%22.0%35.5%3.6%2.0%116.7K-2.6M-6.8K0.5212.97N/AN/A3231671,139454
2017-11-07$48.84$40.0033.3%9.2%15.6%26.1%33.3%4.0%1.6%115.0K-2.4M-6.5K0.5212.06N/AN/A3281711,140454
2017-11-08$48.82$40.0032.2%9.2%15.5%20.9%35.2%3.4%0.8%116.7K-2.4M-6.5K0.5415.15N/AN/A3241741,138459
2017-11-09$48.02$40.0032.3%9.3%16.4%21.4%37.1%2.9%1.3%102.6K-2.1M-6.4K0.4748.57N/AN/A3221501,139472
2017-11-10$46.58$40.0035.1%10.1%19.0%35.3%36.1%4.8%0.2%78.3K-1.6M-5.8K0.5428.36N/AN/A3011621,139472
2017-11-13$46.23$40.0035.4%10.2%19.0%36.6%36.7%3.9%0.1%72.2K-1.5M-5.5K0.5117.03N/AN/A3091571,209467
2017-11-14$45.33$40.0034.2%9.8%19.7%30.4%34.5%3.1%0.9%58.2K-1.3M-5.4K0.679.13N/AN/A3632451,231478
2017-11-15$44.95$40.0034.2%9.8%19.6%30.8%37.1%4.0%1.0%35.9K-1.0M-5.6K0.5624.25N/AN/A3031691,201550
2017-11-16$45.54$40.0033.0%9.5%20.6%24.7%30.5%4.1%2.3%35.3K-1.1M-5.5K0.5211.44N/AN/A3191661,205571
2017-11-17$45.78$40.0032.8%9.4%20.6%23.5%31.8%3.7%2.0%40.1K-1.3M-5.4K0.6314.53N/AN/A2571611,218571
2017-11-20$46.69$40.0034.6%9.9%22.3%32.6%31.1%4.7%-2.1%47.0K-1.5M-5.3K0.3147.78N/AN/A22569913429
2017-11-21$48.00$40.0031.2%8.9%23.4%15.7%29.9%7.0%-0.5%55.6K-1.8M-5.2K0.3017.70N/AN/A23269915442
2017-11-22$48.29$40.0030.6%8.8%23.3%12.7%28.5%7.2%-0.2%62.7K-1.9M-5.1K0.4014.48N/AN/A19678927442
2017-11-24$48.21$40.0030.7%8.8%23.3%13.2%30.7%7.5%-0.4%60.2K-1.9M-5.0K0.3828.03N/AN/A19675932453
2017-11-27$48.15$40.0031.9%9.2%23.3%19.4%28.7%7.1%-2.0%60.9K-1.9M-4.7K0.3259.26N/AN/A23675932453
2017-11-28$48.33$40.0031.1%8.9%21.9%15.4%27.4%7.3%-1.1%64.8K-1.9M-4.7K0.3525.60N/AN/A22377973453
2017-11-29$48.95$40.0031.4%9.0%21.6%16.7%31.6%3.2%-1.3%71.4K-2.1M-4.7K0.3712.09N/AN/A20677981455
2017-11-30$49.44$40.0032.8%9.4%21.4%23.7%30.7%4.1%-2.3%78.5K-2.3M-4.7K0.3755.08N/AN/A20274990455