CRS Options History — May 2018

In May 2018, CRS traded between $53.07 and $60.63. ATM implied volatility averaged 28.5%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.8% (HV 20d: 30.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.19.

Notable Days

  • 2018-05-18: Highest Volume — 660 contracts
  • 2018-05-15: Largest IV drop — 11.8% change
  • 2018-05-08: Highest IV Rank — 24.5%
  • 2018-05-02: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.51$53.07$60.63$53.48$59.97
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV28.5%25.6%31.4%30.5%29.0%
Expected Move8.2%7.3%9.0%8.7%8.3%
HV 20d30.3%17.0%35.5%35.2%21.1%
HV 60d33.9%33.0%35.5%35.5%33.9%
IV Rank11.0%0.0%24.5%19.5%17.0%
IV Percentile5.4%0.0%15.5%8.3%8.7%
Term Structure0.8%-1.3%2.9%-0.5%-1.3%
VWIV29.4%26.6%32.9%32.6%30.0%
Skew 25d4.6%2.7%9.2%9.2%5.2%
Skew 10d7.7%-1.8%22.5%22.5%8.4%
Call IV 25d26.6%24.6%29.1%25.9%27.0%
Put IV 25d31.2%28.7%35.1%35.1%32.3%
Bid-Ask Spread %33.5218.3186.8782.2825.83
Gamma HHI0.470.320.680.650.47
Net GEX37.9K-283.1K159.8K-253.7K89.6K
Net DEX-4.0M-5.5M-1.2M-1.5M-4.2M
Net VEX-9.4K-14.9K-7.5K-14.7K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.140.340.180.22
Total Volume492.818352660352531
Total OI2,646.9091,2793,5093,3531,342

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$53.48$50.0030.5%8.7%35.2%19.5%32.6%9.2%-0.5%-253.7K-1.5M-14.7K0.1882.28N/AN/A298541,1232,230
2018-05-02$53.07$50.0031.2%9.0%35.5%23.3%32.9%6.8%-0.7%-283.1K-1.2M-14.9K0.1886.87N/AN/A298541,1272,237
2018-05-03$54.01$50.0029.6%8.6%34.0%14.6%30.8%4.3%1.0%-202.5K-2.2M-13.2K0.1618.31N/AN/A328541,1272,237
2018-05-04$55.25$50.0028.9%8.5%34.1%11.3%31.6%4.2%1.1%-71.7K-3.4M-11.3K0.1723.09N/AN/A343601,1552,237
2018-05-07$56.15$50.0031.3%8.7%34.1%23.6%29.9%4.9%1.0%16.0K-4.2M-10.3K0.1522.42N/AN/A420641,1782,238
2018-05-08$56.28$50.0031.4%8.6%33.0%24.5%29.6%5.5%0.7%49.5K-4.1M-9.5K0.1531.01N/AN/A429641,1492,240
2018-05-09$56.62$50.0029.9%8.6%33.0%16.6%30.0%4.5%1.2%94.2K-4.5M-8.7K0.1555.45N/AN/A423641,1592,240
2018-05-10$56.90$50.0029.7%8.5%33.0%15.3%29.1%4.6%1.4%107.7K-4.6M-8.5K0.1524.32N/AN/A423641,1612,240
2018-05-11$57.06$50.0029.3%8.4%33.0%13.1%27.5%3.7%1.8%124.5K-4.7M-8.1K0.1625.28N/AN/A395651,1602,240
2018-05-14$56.69$50.0030.3%8.7%33.2%18.2%28.6%4.2%0.8%139.7K-4.6M-7.9K0.1625.83N/AN/A408661,1622,241
2018-05-15$58.23$50.0026.7%7.7%33.9%0.0%29.6%3.3%2.9%112.9K-5.1M-7.9K0.1767.41N/AN/A398671,1772,242
2018-05-16$59.14$50.0027.5%7.9%33.1%4.1%28.2%3.3%2.5%84.2K-5.5M-7.5K0.1426.73N/AN/A485671,1742,243
2018-05-17$59.04$50.0026.9%7.7%33.3%1.1%28.1%3.7%2.8%159.8K-5.5M-7.5K0.1425.86N/AN/A483671,2652,244
2018-05-18$58.81$50.0027.3%7.8%32.6%3.0%28.6%3.7%2.0%86.2K-5.4M-7.6K0.2830.92N/AN/A5161441,2652,244
2018-05-21$59.18$50.0025.8%7.4%32.2%0.0%26.6%3.4%0.7%87.1K-4.1M-8.7K0.3428.81N/AN/A4111401,007272
2018-05-22$59.29$50.0026.5%7.6%30.9%3.0%29.7%4.0%-0.1%77.3K-4.1M-8.8K0.2128.81N/AN/A425911,004294
2018-05-23$59.34$50.0026.2%7.5%30.2%1.7%29.3%3.5%1.0%78.7K-3.9M-8.8K0.2123.72N/AN/A42591994296
2018-05-24$59.42$50.0026.0%7.5%23.6%0.8%28.0%2.9%0.7%85.5K-4.0M-8.9K0.2022.60N/AN/A462911,024296
2018-05-25$58.40$50.0025.6%7.3%20.7%0.0%27.6%2.7%1.3%82.9K-3.7M-8.8K0.2119.11N/AN/A448941,024297
2018-05-29$58.36$50.0028.3%8.1%17.0%13.5%29.5%8.3%-0.4%81.2K-3.7M-8.8K0.2219.48N/AN/A446971,024300
2018-05-30$60.63$50.0029.1%8.4%20.8%17.4%28.5%5.7%-1.2%88.1K-4.3M-8.4K0.1723.28N/AN/A417721,024299
2018-05-31$59.97$50.0029.0%8.3%21.1%17.0%30.0%5.2%-1.3%89.6K-4.2M-8.5K0.2225.83N/AN/A435961,034308