CRS Options History — June 2018

In June 2018, CRS traded between $52.06 and $59.60. ATM implied volatility averaged 31.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.0% (HV 20d: 27.7%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2018-06-25: Highest Volume — 811 contracts
  • 2018-06-11: Largest IV spike — 26.2% change
  • 2018-06-11: Highest IV Rank — 73.1%
  • 2018-06-25: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.87$52.06$59.60$59.60$52.56
Max Pain$58.81$50.00$65.00$50.00$55.00
ATM IV31.7%27.6%40.5%27.6%31.6%
Expected Move8.7%7.8%10.3%7.9%9.1%
HV 20d27.7%21.1%39.3%21.1%36.1%
HV 60d32.5%29.0%34.3%33.9%32.2%
IV Rank29.8%10.0%73.1%10.0%29.8%
IV Percentile30.7%4.8%93.7%4.8%27.8%
Term Structure1.8%-0.1%2.9%-0.1%2.3%
VWIV30.3%27.7%35.3%28.9%35.3%
Skew 25d4.3%2.7%7.0%4.2%7.0%
Skew 10d8.9%2.0%20.5%6.4%20.5%
Call IV 25d28.3%26.3%32.6%27.3%28.9%
Put IV 25d32.6%30.5%37.6%31.5%35.9%
Bid-Ask Spread %27.3112.8757.4124.6935.09
Gamma HHI0.310.180.520.500.31
Net GEX39.3K-17.3K90.9K90.9K-16.9K
Net DEX-2.7M-4.0M-1.3M-4.0M-1.4M
Net VEX-9.8K-12.4K-8.4K-8.9K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.191.070.230.79
Total Volume566.048433811516718
Total OI1,462.1431,1391,7821,3741,782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$59.60$50.0027.6%7.9%21.1%10.0%28.9%4.2%-0.1%90.9K-4.0M-8.9K0.2324.69N/AN/A421951,037337
2018-06-04$58.10$65.0028.4%8.1%22.6%13.9%28.5%4.3%1.7%83.9K-3.5M-9.0K0.2133.13N/AN/A440921,042359
2018-06-05$58.13$60.0030.0%7.9%22.0%21.6%28.2%4.0%2.3%83.0K-3.5M-9.1K0.2222.37N/AN/A440971,039360
2018-06-06$58.09$60.0030.0%7.8%22.0%21.9%27.7%4.5%2.5%84.5K-3.5M-8.9K0.2219.86N/AN/A440981,039358
2018-06-07$56.66$60.0034.5%8.6%23.8%44.1%28.7%4.1%1.3%65.5K-3.0M-8.8K0.2223.66N/AN/A440971,039361
2018-06-08$55.80$60.0032.0%8.4%24.4%31.8%28.7%2.7%1.7%50.4K-2.8M-8.8K0.2324.37N/AN/A431971,039366
2018-06-11$57.34$60.0040.5%8.7%26.3%73.1%28.8%5.0%0.8%68.9K-3.1M-8.4K0.3527.71N/AN/A3951401,038375
2018-06-12$56.69$60.0035.9%8.7%26.5%50.8%28.3%4.2%0.9%40.0K-2.9M-8.8K0.3620.44N/AN/A4011431,060420
2018-06-13$56.82$60.0029.5%8.5%24.6%19.3%29.0%3.3%1.6%40.7K-3.0M-8.6K0.3520.05N/AN/A4091431,060417
2018-06-14$56.56$60.0028.9%8.3%23.8%16.3%28.6%3.6%2.2%36.9K-3.0M-8.6K0.3721.20N/AN/A3911431,071413
2018-06-15$56.13$60.0028.8%8.3%23.9%15.7%28.7%4.6%1.9%38.1K-2.9M-8.4K0.2923.89N/AN/A3681081,074413
2018-06-18$56.94$60.0029.3%8.4%24.6%18.1%29.0%3.6%2.9%37.7K-2.8M-8.5K0.1932.27N/AN/A43280853286
2018-06-19$55.78$60.0030.2%8.6%25.3%22.5%30.3%4.6%2.7%42.9K-2.7M-9.6K0.4323.05N/AN/A390166940296
2018-06-20$56.97$60.0030.3%8.7%26.7%23.3%30.2%4.6%2.0%31.6K-3.0M-11.0K0.2224.54N/AN/A356781,010390
2018-06-21$55.24$60.0030.3%8.7%28.6%23.2%30.6%4.0%2.5%29.0K-2.5M-10.9K0.2157.41N/AN/A362751,011390
2018-06-22$56.10$60.0029.9%8.6%29.3%21.1%29.4%4.1%2.8%29.5K-2.8M-10.9K0.2112.87N/AN/A358751,018391
2018-06-25$52.06$60.0035.8%10.3%38.7%50.2%35.0%5.7%0.4%27.8K-1.6M-10.2K1.0734.04N/AN/A3914201,017391
2018-06-26$52.84$55.0031.4%9.0%39.3%28.5%32.6%3.6%2.1%-10.3K-1.4M-11.9K0.7625.27N/AN/A3912991,047659
2018-06-27$52.39$55.0035.4%10.2%35.9%48.3%34.9%4.3%1.3%-11.5K-1.3M-12.2K0.8022.85N/AN/A4093261,057673
2018-06-28$52.41$55.0034.4%9.9%35.9%43.2%35.0%5.1%2.5%-17.3K-1.3M-12.4K0.7944.67N/AN/A4093231,071706
2018-06-29$52.56$55.0031.6%9.1%36.1%29.8%35.3%7.0%2.3%-16.9K-1.4M-12.4K0.7935.09N/AN/A4013171,071711