CRS Options History — December 2017

In December 2017, CRS traded between $49.26 and $52.74. ATM implied volatility averaged 30.7%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 7.4% (HV 20d: 23.2%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2017-12-14: Highest Volume — 527 contracts
  • 2017-12-11: Largest IV spike — 16.6% change
  • 2017-12-11: Highest IV Rank — 44.3%
  • 2017-12-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.20$49.26$52.74$49.26$51.00
Max Pain$51.75$40.00$55.00$40.00$55.00
ATM IV30.7%26.8%37.0%31.3%29.0%
Expected Move8.4%7.7%9.0%9.0%8.3%
HV 20d23.2%17.8%26.7%21.4%26.7%
HV 60d22.4%21.0%23.3%22.8%21.4%
IV Rank15.6%0.0%44.3%16.1%10.3%
IV Percentile10.3%0.0%61.9%4.4%2.8%
Term Structure3.3%-0.7%5.3%-0.7%4.5%
VWIV28.9%22.2%33.0%30.2%28.8%
Skew 25d3.7%2.1%10.4%10.4%2.1%
Skew 10d11.2%0.4%17.6%17.6%7.1%
Call IV 25d27.4%23.2%30.2%25.7%28.7%
Put IV 25d31.1%28.4%36.1%36.1%30.8%
Bid-Ask Spread %44.9613.4684.5813.4631.99
Gamma HHI0.480.290.900.560.30
Net GEX65.9K19.7K187.9K77.6K20.5K
Net DEX-1.7M-2.9M-553.6K-2.2M-553.6K
Net VEX-3.8K-4.6K-3.3K-4.6K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.242.210.371.42
Total Volume321.7185527278186
Total OI1,111.65761,5471,457648

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$49.26$40.0031.3%9.0%21.4%16.1%30.2%10.4%-0.7%77.6K-2.2M-4.6K0.3713.46N/AN/A203751,002455
2017-12-04$50.41$45.0034.4%8.9%22.9%31.5%30.8%3.0%2.5%89.8K-2.6M-4.4K0.2441.19N/AN/A311761,000458
2017-12-05$50.30$45.0033.0%8.7%22.9%24.7%33.0%3.6%2.6%94.1K-2.5M-4.3K0.4154.29N/AN/A311126997452
2017-12-06$50.23$45.0032.8%8.7%22.7%23.8%32.5%3.0%2.9%94.7K-2.5M-4.2K0.4232.70N/AN/A289122997502
2017-12-07$50.54$45.0032.1%8.6%22.8%20.1%32.0%2.6%2.9%98.6K-2.6M-4.1K0.4161.15N/AN/A2961221,001507
2017-12-08$51.55$45.0031.7%8.5%22.6%18.3%29.2%2.9%2.8%109.7K-2.9M-3.8K0.5427.06N/AN/A2811531,004491
2017-12-11$50.60$55.0037.0%8.6%20.5%44.3%28.0%2.8%3.1%105.1K-2.5M-3.7K0.5635.95N/AN/A2681501,004524
2017-12-12$50.93$55.0035.8%8.6%20.0%38.3%28.7%4.5%2.4%113.7K-2.6M-3.6K0.4937.72N/AN/A3051501,008526
2017-12-13$51.22$55.0030.1%8.6%17.8%10.5%28.0%3.1%2.5%109.0K-2.8M-3.5K0.5162.63N/AN/A2911481,021526
2017-12-14$49.70$55.0028.9%8.3%21.5%4.6%22.2%2.9%4.1%187.9K-2.2M-3.4K0.3929.09N/AN/A3791481,007526
2017-12-15$50.51$55.0029.4%8.4%21.6%6.9%25.8%3.4%2.7%19.7K-2.7M-3.4K0.5042.63N/AN/A2981491,003526
2017-12-18$52.74$55.0026.8%7.7%25.5%0.0%27.4%5.8%5.3%22.7K-787.4K-3.3K1.5751.47N/AN/A72113330246
2017-12-19$52.61$55.0027.0%7.7%25.3%1.1%27.5%5.1%4.5%27.3K-827.1K-3.5K1.6862.26N/AN/A75126354247
2017-12-20$52.66$55.0027.3%7.8%24.0%2.5%28.2%4.2%4.5%26.4K-814.7K-3.7K2.2184.58N/AN/A68150364260
2017-12-21$52.10$55.0029.1%8.3%24.6%10.9%28.3%2.8%4.2%23.3K-733.7K-3.7K2.1756.88N/AN/A69150364275
2017-12-22$51.61$55.0028.5%8.2%24.9%8.3%28.5%3.6%3.9%24.4K-688.5K-3.7K1.7542.88N/AN/A69121373275
2017-12-26$52.34$55.0030.2%8.7%25.2%16.0%30.0%2.9%3.0%25.8K-787.2K-3.7K1.8754.09N/AN/A67125373275
2017-12-27$51.64$55.0029.1%8.3%25.9%11.0%29.1%2.5%4.5%24.5K-670.4K-3.6K2.0043.61N/AN/A67134373278
2017-12-28$51.97$55.0029.6%8.5%25.7%13.5%29.5%3.0%3.7%23.3K-697.0K-3.6K1.5833.49N/AN/A74117373287
2017-12-29$51.00$55.0029.0%8.3%26.7%10.3%28.8%2.1%4.5%20.5K-553.6K-3.3K1.4231.99N/AN/A77109363285