CRS Options History — February 2018

In February 2018, CRS traded between $46.40 and $52.46. ATM implied volatility averaged 35.5%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 3.8% (HV 20d: 31.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.93.

Notable Days

2018-02-12: Highest Volume — 494 contracts
2018-02-05: Largest IV spike — 35.2% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.81	$46.40	$52.46	$50.60	$51.06
Max Pain	$44.74	$40.00	$45.00	$40.00	$45.00
ATM IV	35.5%	32.1%	45.9%	33.9%	33.9%
Expected Move	10.0%	9.2%	11.4%	9.3%	9.7%
HV 20d	31.8%	22.1%	35.8%	22.1%	35.3%
HV 60d	28.2%	24.7%	29.1%	24.7%	29.1%
IV Rank	45.7%	27.7%	100.0%	33.3%	37.3%
IV Percentile	44.6%	14.7%	100.0%	30.6%	32.5%
Term Structure	-0.9%	-3.7%	1.5%	0.5%	-2.0%
VWIV	35.5%	28.6%	44.5%	33.2%	30.5%
Skew 25d	5.8%	3.7%	10.9%	4.0%	4.1%
Skew 10d	13.0%	7.8%	20.6%	8.7%	10.2%
Call IV 25d	32.4%	28.5%	36.8%	31.1%	32.6%
Put IV 25d	38.1%	33.2%	46.2%	35.2%	36.7%
Bid-Ask Spread %	67.93	39.99	87.36	58.35	73.44
Gamma HHI	0.26	0.23	0.32	0.28	0.24
Net GEX	28.6K	6.6K	50.4K	12.3K	47.5K
Net DEX	-971.3K	-2.0M	197.5K	-503.7K	-1.5M
Net VEX	-6.1K	-6.8K	-5.5K	-6.8K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.55	1.56	1.20	1.29
Total Volume	382.684	272	494	308	311
Total OI	1,179.105	1,048	1,374	1,061	1,116

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$50.60	$40.00	33.9%	9.3%	22.1%	33.3%	33.2%	4.0%	0.5%	12.3K	-503.7K	-6.8K	1.20	58.35	N/A	N/A	140	168	633	428
2018-02-02	$47.98	$45.00	34.0%	9.6%	27.4%	38.2%	34.0%	3.7%	-0.1%	6.6K	-33.0K	-5.8K	1.56	39.99	N/A	N/A	110	172	634	414
2018-02-05	$46.40	$45.00	45.9%	11.3%	29.0%	100.0%	38.9%	4.4%	-3.3%	7.3K	197.5K	-5.5K	1.37	84.70	N/A	N/A	115	157	653	429
2018-02-06	$47.53	$45.00	42.8%	10.7%	30.6%	83.8%	40.4%	7.8%	-0.7%	6.6K	13.2K	-5.8K	0.73	68.72	N/A	N/A	222	162	647	437
2018-02-07	$47.31	$45.00	38.0%	10.9%	30.0%	58.4%	37.6%	4.1%	-2.5%	19.5K	-221.1K	-6.3K	0.70	52.59	N/A	N/A	226	159	756	446
2018-02-08	$46.74	$45.00	39.7%	11.4%	29.8%	67.4%	41.4%	8.6%	-3.7%	17.9K	-95.3K	-6.1K	0.81	78.48	N/A	N/A	226	182	762	449
2018-02-09	$47.60	$45.00	37.3%	10.7%	27.8%	54.8%	44.5%	10.9%	-1.2%	16.5K	-208.2K	-6.2K	0.71	87.36	N/A	N/A	271	193	763	474
2018-02-12	$48.74	$45.00	35.1%	10.1%	29.7%	43.4%	42.0%	5.7%	-0.6%	10.7K	-537.5K	-6.4K	0.89	86.79	N/A	N/A	261	233	790	476
2018-02-13	$49.51	$45.00	32.7%	9.4%	29.9%	31.0%	40.4%	6.6%	1.5%	11.7K	-789.5K	-6.5K	0.84	65.03	N/A	N/A	257	215	807	536
2018-02-14	$51.54	$45.00	32.8%	9.4%	33.4%	31.6%	30.5%	6.4%	1.0%	24.8K	-1.6M	-6.2K	0.59	72.32	N/A	N/A	276	163	807	540
2018-02-15	$51.61	$45.00	32.1%	9.2%	33.5%	27.7%	33.6%	4.8%	1.1%	28.8K	-1.7M	-6.1K	0.56	54.52	N/A	N/A	279	156	814	534
2018-02-16	$52.46	$45.00	32.8%	9.4%	33.7%	31.3%	35.9%	4.7%	0.2%	50.4K	-2.0M	-6.1K	0.55	76.42	N/A	N/A	295	162	836	538
2018-02-20	$51.08	$45.00	34.6%	9.9%	34.9%	41.1%	28.6%	5.7%	-1.0%	48.4K	-1.6M	-6.2K	0.66	64.79	N/A	N/A	247	164	720	379
2018-02-21	$50.67	$45.00	34.5%	9.9%	34.9%	40.5%	37.7%	5.6%	-1.4%	45.7K	-1.5M	-6.1K	0.67	72.39	N/A	N/A	245	164	720	396
2018-02-22	$50.74	$45.00	34.0%	9.7%	34.9%	37.7%	29.7%	6.6%	-1.0%	46.0K	-1.5M	-6.1K	0.69	74.56	N/A	N/A	245	170	717	396
2018-02-23	$51.06	$45.00	32.2%	9.2%	35.1%	28.6%	29.7%	5.4%	0.5%	46.3K	-1.5M	-5.9K	1.27	43.24	N/A	N/A	134	170	717	400
2018-02-26	$51.97	$45.00	35.4%	10.1%	35.8%	44.9%	32.8%	5.6%	-3.3%	47.8K	-1.7M	-5.9K	1.23	58.29	N/A	N/A	139	171	717	400
2018-02-27	$51.76	$45.00	33.7%	9.7%	35.7%	36.4%	32.2%	4.7%	-1.2%	48.5K	-1.7M	-5.8K	1.29	78.73	N/A	N/A	136	175	721	401
2018-02-28	$51.06	$45.00	33.9%	9.7%	35.3%	37.3%	30.5%	4.1%	-2.0%	47.5K	-1.5M	-5.6K	1.29	73.44	N/A	N/A	136	175	720	396