CRS Options History — July 2018

In July 2018, CRS traded between $53.07 and $57.29. ATM implied volatility averaged 35.7%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 6.0% (HV 20d: 29.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2018-07-11: Highest Volume — 759 contracts
  • 2018-07-11: Largest IV spike — 6.2% change
  • 2018-07-31: Highest IV Rank — 70.1%
  • 2018-07-31: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.73$53.07$57.29$53.36$54.99
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV35.7%31.1%39.9%32.5%39.9%
Expected Move10.4%9.3%11.4%9.3%11.4%
HV 20d29.8%15.1%36.9%36.1%18.2%
HV 60d30.1%26.7%32.3%32.3%26.7%
IV Rank49.9%27.0%70.1%33.8%70.1%
IV Percentile69.7%23.0%95.6%36.1%95.6%
Term Structure-3.3%-7.0%2.9%2.9%-7.0%
VWIV37.2%35.6%38.9%36.4%37.8%
Skew 25d5.2%3.5%9.5%9.5%5.3%
Skew 10d10.9%4.9%22.8%22.8%7.7%
Call IV 25d33.4%27.5%37.8%27.5%37.8%
Put IV 25d38.7%36.7%43.1%37.0%43.1%
Bid-Ask Spread %58.4923.9186.3539.0173.48
Gamma HHI0.290.220.410.280.37
Net GEX15.6K-16.9K54.4K-14.8K48.1K
Net DEX-2.6M-3.3M-1.5M-1.6M-2.6M
Net VEX-10.2K-12.2K-9.0K-12.2K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.170.860.790.24
Total Volume542.19355759720525
Total OI1,724.9051,4541,8601,7761,655

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$53.36$55.0032.5%9.3%36.1%33.8%36.4%9.5%2.9%-14.8K-1.6M-12.2K0.7939.01N/AN/A4023181,069707
2018-07-03$53.07$55.0033.0%9.5%36.1%36.3%38.0%8.0%2.1%-16.9K-1.5M-12.0K0.7858.08N/AN/A4063181,071712
2018-07-05$54.03$55.0032.1%10.0%36.9%32.1%37.7%5.0%-2.1%-15.3K-1.9M-11.6K0.8054.96N/AN/A3893131,061712
2018-07-06$54.77$55.0031.1%9.9%36.5%27.0%36.9%3.5%-1.6%-11.4K-2.2M-11.4K0.8548.76N/AN/A3673131,063713
2018-07-09$55.83$55.0032.5%10.1%36.9%33.8%38.5%4.6%-3.1%-3.7K-2.6M-11.0K0.8623.91N/AN/A3663131,062713
2018-07-10$55.88$55.0033.6%10.2%35.4%39.4%38.7%4.8%-2.8%-9.4K-2.5M-10.5K0.6333.75N/AN/A4632931,024713
2018-07-11$55.72$55.0035.7%10.2%35.2%49.7%38.9%4.8%-3.0%1.8K-2.5M-10.6K0.6342.19N/AN/A4662931,122710
2018-07-12$55.86$55.0035.0%10.0%35.2%46.1%35.7%5.6%-2.1%3.7K-2.6M-10.5K0.1834.59N/AN/A397711,126710
2018-07-13$56.25$55.0034.8%10.0%35.3%45.1%35.7%4.5%-1.8%13.8K-2.8M-10.0K0.1753.49N/AN/A408711,129709
2018-07-16$56.48$55.0036.4%10.4%35.2%52.9%37.2%5.3%-3.6%4.6K-2.8M-9.7K0.1743.86N/AN/A408711,115709
2018-07-17$56.99$55.0035.9%10.3%35.0%50.9%36.6%4.6%-3.3%13.9K-3.0M-9.5K0.1944.72N/AN/A408771,116709
2018-07-18$56.75$55.0036.4%10.4%34.2%53.0%36.8%5.6%-3.6%4.7K-2.9M-9.2K0.1882.11N/AN/A411731,114709
2018-07-19$56.20$55.0036.9%10.6%33.5%55.6%36.4%5.6%-4.4%-14.7K-2.7M-9.4K0.1881.49N/AN/A411761,136710
2018-07-20$55.73$55.0035.9%10.3%31.7%50.6%37.1%4.8%-3.3%37.6K-2.8M-9.2K0.1982.58N/AN/A398761,149711
2018-07-23$55.85$55.0037.2%10.7%31.3%56.9%37.3%4.9%-4.3%39.4K-2.9M-9.0K0.2379.36N/AN/A28966993461
2018-07-24$57.07$55.0038.0%10.9%15.6%61.3%36.5%4.8%-5.6%48.8K-3.3M-9.6K0.3084.03N/AN/A302911,027476
2018-07-25$56.68$55.0038.4%11.0%15.6%62.9%38.0%5.2%-5.6%47.6K-3.1M-9.9K0.3177.09N/AN/A292911,047503
2018-07-26$57.29$55.0038.5%11.0%15.1%63.4%38.1%5.1%-6.5%52.4K-3.3M-9.9K0.3152.79N/AN/A293911,049503
2018-07-27$56.03$55.0038.0%10.9%17.8%61.0%35.6%4.9%-5.5%43.3K-2.9M-9.5K0.2386.35N/AN/A390911,049511
2018-07-30$55.45$55.0039.1%11.2%18.5%66.5%37.8%3.7%-5.8%54.4K-2.8M-9.7K0.2551.66N/AN/A390991,134511
2018-07-31$54.99$55.0039.9%11.4%18.2%70.1%37.8%5.3%-7.0%48.1K-2.6M-9.6K0.2473.48N/AN/A4221031,134521