CRS Options History — April 2018

In April 2018, CRS traded between $42.72 and $54.77. ATM implied volatility averaged 36.0%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.8% (HV 20d: 36.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-04-18: Highest Volume — 1,873 contracts
  • 2018-04-10: Largest IV drop — 18.8% change
  • 2018-04-24: Highest IV Rank — 69.3%
  • 2018-04-24: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.80$42.72$54.77$42.72$53.21
Max Pain$47.38$45.00$50.00$45.00$50.00
ATM IV36.0%28.9%40.1%40.1%31.1%
Expected Move10.5%8.3%11.5%11.5%8.9%
HV 20d36.8%26.6%42.3%36.6%35.2%
HV 60d33.6%31.7%37.3%31.9%37.3%
IV Rank48.2%11.2%69.3%69.3%22.6%
IV Percentile58.9%3.2%91.3%88.5%10.7%
Term Structure-2.0%-5.4%3.6%-1.3%-0.8%
VWIV37.0%29.4%45.0%45.0%32.4%
Skew 25d5.6%3.6%11.7%8.8%4.6%
Skew 10d11.9%-1.1%25.4%24.2%-1.1%
Call IV 25d34.3%26.9%38.1%36.7%31.4%
Put IV 25d39.9%32.4%45.5%45.5%36.0%
Bid-Ask Spread %70.4351.1788.4463.3186.50
Gamma HHI0.520.230.820.410.67
Net GEX-85.2K-333.0K68.5K28.9K-271.3K
Net DEX-1.0M-3.4M3.0M-153.8K-1.3M
Net VEX-11.5K-19.6K-5.6K-5.6K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.132.261.700.16
Total Volume617.2862921,873292370
Total OI2,181.7621,1493,6971,1493,351

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$42.72$45.0040.1%11.5%36.6%69.3%45.0%8.8%-1.3%28.9K-153.8K-5.6K1.7063.31N/AN/A108184793356
2018-04-03$42.96$45.0037.1%10.6%36.7%53.9%42.6%8.4%0.8%32.7K-213.3K-5.7K1.7988.44N/AN/A108193804357
2018-04-04$43.91$45.0036.0%10.3%37.7%48.2%41.3%11.7%3.6%41.9K-448.0K-5.9K1.8685.00N/AN/A104193804360
2018-04-05$45.64$45.0034.7%11.1%40.6%41.5%38.2%4.9%-2.1%53.2K-912.2K-6.1K0.9457.60N/AN/A194183801360
2018-04-06$45.56$45.0036.0%11.2%40.4%48.4%38.4%5.7%-2.2%61.3K-1.1M-7.2K0.9572.56N/AN/A192183900359
2018-04-09$46.28$45.0037.7%11.1%40.4%57.2%38.0%3.8%-1.5%65.5K-1.3M-7.1K0.5468.27N/AN/A332179905359
2018-04-10$47.86$45.0030.6%10.1%42.3%20.1%36.9%4.8%-1.3%63.1K-2.0M-7.5K0.4255.52N/AN/A429179960358
2018-04-11$48.03$45.0034.6%9.9%42.3%41.0%36.9%4.6%-1.0%68.5K-2.8M-8.6K0.4365.83N/AN/A4291841,137358
2018-04-12$48.34$45.0034.1%9.8%41.1%38.0%36.2%4.4%-1.6%62.8K-2.9M-8.5K0.4365.47N/AN/A4281841,135364
2018-04-13$48.59$45.0034.2%9.8%40.6%38.9%36.5%4.5%-1.5%62.5K-3.0M-8.2K0.4068.78N/AN/A4581841,136364
2018-04-16$49.43$45.0035.9%10.3%41.1%47.4%36.1%4.8%-2.5%58.7K-3.4M-7.8K1.0366.05N/AN/A4554691,164354
2018-04-17$50.10$50.0037.0%10.6%40.6%53.2%37.5%3.9%-3.0%10.3K-2.9M-9.8K1.5868.47N/AN/A4406941,191639
2018-04-18$51.56$50.0037.2%10.7%37.2%54.4%37.2%3.6%-3.2%-82.4K-2.5M-12.4K2.2651.17N/AN/A5751,2981,1881,149
2018-04-19$51.90$50.0037.8%10.8%37.1%57.5%35.0%5.4%-3.1%-277.6K-704.6K-19.3K0.1670.58N/AN/A574931,3282,364
2018-04-20$51.13$50.0038.9%11.1%29.3%63.2%35.8%5.6%-3.9%-296.3K329-19.6K0.1780.32N/AN/A558951,3312,366
2018-04-23$50.86$50.0039.9%11.4%26.6%68.4%36.8%6.3%-4.9%-312.4K1.5M-18.7K0.1357.30N/AN/A524681,0452,183
2018-04-24$49.97$50.0040.1%11.5%28.1%69.3%37.5%6.3%-4.4%-333.0K2.4M-18.4K0.1775.81N/AN/A521871,0482,194
2018-04-25$49.43$50.0039.5%11.3%28.7%66.5%38.0%5.0%-5.4%-332.8K3.0M-18.2K0.1474.88N/AN/A549771,0482,223
2018-04-26$52.49$50.0034.6%9.9%34.0%41.0%32.4%5.6%-2.6%-328.7K-190.8K-16.9K0.1672.68N/AN/A432681,0792,230
2018-04-27$54.77$50.0028.9%8.3%35.8%11.2%29.4%5.5%0.2%-164.3K-2.6M-13.8K0.1584.50N/AN/A337511,1492,223
2018-04-30$53.21$50.0031.1%8.9%35.2%22.6%32.4%4.6%-0.8%-271.3K-1.3M-15.1K0.1686.50N/AN/A318521,1232,228