CRS Options History — January 2018

In January 2018, CRS traded between $51.34 and $54.06. ATM implied volatility averaged 34.7%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 6.4% (HV 20d: 28.3%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2018-01-04: Highest Volume — 473 contracts
  • 2018-01-09: Largest IV spike — 11.8% change
  • 2018-01-30: Highest IV Rank — 81.3%
  • 2018-01-30: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.03$51.34$54.06$53.05$51.34
Max Pain$50.48$50.00$55.00$55.00$50.00
ATM IV34.7%27.8%44.2%27.8%42.8%
Expected Move10.2%8.0%12.7%8.0%12.3%
HV 20d28.3%21.8%32.1%29.8%21.8%
HV 60d24.3%22.9%25.3%22.9%24.5%
IV Rank36.8%4.8%81.3%4.8%74.7%
IV Percentile41.4%1.2%97.6%1.2%94.8%
Term Structure-2.7%-8.4%4.6%4.6%-7.3%
VWIV36.5%29.8%43.2%31.4%43.2%
Skew 25d3.5%1.8%6.7%6.7%4.4%
Skew 10d8.2%2.8%19.4%19.4%4.3%
Call IV 25d34.3%25.5%40.9%25.5%40.0%
Put IV 25d37.8%31.9%45.2%32.2%44.3%
Bid-Ask Spread %52.9426.1477.2927.7060.34
Gamma HHI0.440.290.600.290.30
Net GEX43.3K20.3K82.3K26.4K20.3K
Net DEX-1.0M-1.3M-737.2K-844.8K-737.2K
Net VEX-5.3K-7.1K-3.3K-3.3K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.602.240.641.07
Total Volume301.714200473290311
Total OI932.7626581,0466581,041

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$53.05$55.0027.8%8.0%29.8%4.8%31.4%6.7%4.6%26.4K-844.8K-3.3K0.6427.70N/AN/A177113371287
2018-01-03$52.64$55.0028.9%8.3%29.1%9.8%29.8%3.1%3.7%33.8K-940.2K-4.6K0.6060.70N/AN/A187113470290
2018-01-04$53.59$50.0029.3%9.4%29.6%11.6%34.5%3.9%-0.9%40.1K-1.2M-4.7K0.6426.18N/AN/A288185491288
2018-01-05$52.75$50.0028.4%9.3%30.3%7.8%34.0%3.0%-0.9%58.5K-1.0M-5.6K0.6446.26N/AN/A288185596363
2018-01-08$53.14$50.0028.6%9.4%30.3%8.4%34.6%3.6%-1.5%64.8K-1.1M-5.5K0.6626.14N/AN/A283187596363
2018-01-09$52.00$50.0031.9%10.3%30.8%24.1%35.4%4.3%-2.5%47.5K-764.7K-5.2K0.9954.12N/AN/A188187605378
2018-01-10$52.35$50.0035.5%10.2%30.0%40.5%34.6%4.3%-2.7%51.8K-819.6K-5.2K1.9753.99N/AN/A95187607378
2018-01-11$54.06$50.0034.0%9.7%31.9%33.6%35.1%3.0%-2.4%82.3K-1.3M-5.4K2.1476.36N/AN/A96205601378
2018-01-12$53.66$50.0033.5%9.6%32.1%31.3%35.0%2.7%-1.8%80.4K-1.2M-5.4K2.2476.26N/AN/A92206625391
2018-01-16$52.52$50.0035.8%10.3%31.0%42.2%37.0%1.8%-2.4%60.1K-905.2K-5.0K1.5477.29N/AN/A95146626391
2018-01-17$52.93$50.0034.6%9.9%30.7%36.7%35.6%3.3%-1.6%52.3K-895.9K-4.9K1.6365.40N/AN/A92150628396
2018-01-18$52.93$50.0035.6%10.2%26.6%41.2%36.3%2.6%-3.2%49.0K-892.7K-4.8K1.8749.03N/AN/A97181637402
2018-01-19$53.60$50.0034.2%9.8%27.0%34.5%35.0%2.1%-2.2%27.9K-956.2K-4.8K1.5848.85N/AN/A106167639407
2018-01-22$53.70$50.0035.9%10.3%27.0%42.6%36.4%2.4%-3.4%30.6K-1.1M-5.0K0.9239.30N/AN/A10496517299
2018-01-23$53.80$50.0035.1%10.1%26.6%38.8%36.6%3.5%-3.1%34.2K-1.3M-5.5K0.6138.08N/AN/A13381550320
2018-01-24$53.65$50.0036.1%10.3%26.3%43.4%37.7%3.5%-3.5%35.1K-1.3M-5.5K0.6466.41N/AN/A13184570325
2018-01-25$53.43$50.0036.9%10.6%26.0%47.0%38.8%3.7%-4.9%30.4K-1.2M-5.5K0.7348.41N/AN/A12692567336
2018-01-26$53.47$50.0038.2%11.0%25.5%53.3%40.4%3.1%-5.4%30.1K-1.2M-5.6K1.0246.28N/AN/A127129569346
2018-01-29$53.03$50.0040.5%11.6%25.6%64.0%42.7%3.8%-6.7%32.6K-1.2M-5.8K1.2658.67N/AN/A137173590329
2018-01-30$51.98$50.0044.2%12.7%25.8%81.3%42.5%4.2%-8.4%21.3K-821.6K-7.1K1.0166.04N/AN/A157159602423
2018-01-31$51.34$50.0042.8%12.3%21.8%74.7%43.2%4.4%-7.3%20.3K-737.2K-7.1K1.0760.34N/AN/A150161617424