CRS Options History — March 2018

In March 2018, CRS traded between $42.84 and $52.37. ATM implied volatility averaged 34.4%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 5.2% (HV 20d: 29.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2018-03-22: Highest Volume — 620 contracts
  • 2018-03-05: Largest IV spike — 20.4% change
  • 2018-03-05: Highest IV Rank — 66.3%
  • 2018-03-23: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.26$42.84$52.37$51.30$44.14
Max Pain$46.19$45.00$50.00$45.00$45.00
ATM IV34.4%29.9%39.5%36.7%33.6%
Expected Move9.5%8.6%10.7%10.5%9.6%
HV 20d29.2%23.7%35.6%35.1%35.6%
HV 60d29.9%27.8%32.4%29.1%31.4%
IV Rank39.9%16.5%66.3%51.7%35.5%
IV Percentile41.3%6.7%85.3%63.5%32.1%
Term Structure1.8%-2.9%4.0%-2.9%3.8%
VWIV34.6%30.1%42.4%31.6%37.2%
Skew 25d5.5%4.0%11.9%6.5%11.9%
Skew 10d10.9%-0.8%23.2%15.5%23.2%
Call IV 25d31.6%27.0%36.8%33.9%27.0%
Put IV 25d37.1%33.3%42.2%40.4%38.9%
Bid-Ask Spread %70.6640.3492.2686.8490.60
Gamma HHI0.320.220.480.240.48
Net GEX37.0K5.1K56.3K47.5K44.1K
Net DEX-963.7K-1.8M-24.4K-1.6M-421.2K
Net VEX-5.1K-6.3K-4.1K-5.7K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.431.611.291.10
Total Volume348298620311352
Total OI1,030.2865901,1431,1161,143

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$51.30$45.0036.7%10.5%35.1%51.7%31.6%6.5%-2.9%47.5K-1.6M-5.7K1.2986.84N/AN/A136175720396
2018-03-02$50.44$45.0032.8%9.4%35.2%31.5%37.1%7.2%0.1%45.8K-1.4M-5.4K1.0886.34N/AN/A164177720396
2018-03-05$50.62$45.0039.5%9.5%29.1%66.3%32.1%5.5%1.5%41.1K-1.4M-5.3K1.1847.70N/AN/A150177701398
2018-03-06$51.15$45.0037.6%9.4%25.9%56.6%30.8%4.8%-0.1%44.8K-1.5M-5.3K1.1656.72N/AN/A152177721398
2018-03-07$51.75$45.0038.0%9.3%25.0%58.4%31.7%5.0%1.7%47.3K-1.7M-5.3K1.2781.28N/AN/A142180725398
2018-03-08$50.87$45.0036.3%9.3%26.0%49.5%31.4%6.1%2.0%45.9K-1.5M-5.1K1.2743.97N/AN/A142180734401
2018-03-09$51.69$45.0033.5%9.2%25.7%35.1%32.8%5.1%0.9%46.9K-1.7M-5.0K1.2656.83N/AN/A140177734401
2018-03-12$52.37$45.0035.1%9.2%25.4%43.7%30.1%5.2%0.5%49.4K-1.8M-5.0K1.2656.40N/AN/A140177740399
2018-03-13$51.95$45.0032.2%9.3%24.7%28.2%31.0%4.6%0.9%45.0K-1.7M-4.8K1.2779.75N/AN/A138175740399
2018-03-14$50.28$45.0031.5%9.0%27.3%24.6%31.2%4.0%2.7%51.2K-1.4M-4.5K1.3173.02N/AN/A134175734399
2018-03-15$49.32$45.0031.7%9.1%23.9%25.6%32.3%4.9%1.8%56.3K-1.2M-4.3K0.9043.89N/AN/A184166739380
2018-03-16$49.39$50.0029.9%8.6%23.9%16.5%30.6%5.0%2.0%20.6K-1.0M-4.4K0.9467.40N/AN/A181171720391
2018-03-19$48.35$50.0031.0%8.9%23.7%21.9%34.1%4.9%3.5%19.6K-450.9K-4.7K0.9271.38N/AN/A173160450140
2018-03-20$46.12$50.0033.7%9.6%27.2%35.9%36.6%4.7%4.0%12.5K-213.2K-4.1K1.2065.64N/AN/A176211450163
2018-03-21$46.79$50.0033.7%9.6%28.0%35.9%39.4%5.2%2.0%12.7K-317.4K-4.7K1.2679.49N/AN/A152191485224
2018-03-22$44.09$50.0034.3%9.8%34.1%39.5%34.4%4.2%2.6%5.1K-24.4K-4.2K0.4383.55N/AN/A435185486227
2018-03-23$42.84$45.0037.4%10.7%34.6%55.5%40.1%5.4%1.3%31.5K-184.9K-5.5K0.9288.12N/AN/A199183732279
2018-03-26$43.41$45.0034.5%9.9%34.2%40.1%39.8%4.9%3.0%37.1K-299.6K-6.0K0.9792.24N/AN/A183178778327
2018-03-27$43.44$45.0034.2%9.8%34.3%38.9%40.0%4.4%3.7%38.4K-268.1K-6.1K1.3392.26N/AN/A138184786339
2018-03-28$43.20$45.0035.7%10.2%34.3%46.5%42.4%5.5%2.2%35.1K-194.8K-6.1K1.6140.34N/AN/A114184787356
2018-03-29$44.14$45.0033.6%9.6%35.6%35.5%37.2%11.9%3.8%44.1K-421.2K-6.3K1.1090.60N/AN/A168184787356