CRS Options History — August 2018

In August 2018, CRS traded between $54.23 and $60.39. ATM implied volatility averaged 28.5%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.1% (HV 20d: 32.6%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-08-15: Highest Volume — 707 contracts
  • 2018-08-13: Largest IV spike — 27.1% change
  • 2018-08-01: Highest IV Rank — 68.0%
  • 2018-08-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.83$54.23$60.39$54.27$59.69
Max Pain$47.61$45.00$55.00$55.00$45.00
ATM IV28.5%24.6%39.4%39.4%24.6%
Expected Move8.0%7.0%11.3%11.3%7.0%
HV 20d32.6%18.8%37.2%18.8%27.7%
HV 60d30.9%26.6%32.0%26.6%31.4%
IV Rank14.8%0.0%68.0%68.0%0.0%
IV Percentile14.9%0.0%94.0%94.0%0.0%
Term Structure0.8%-6.0%2.3%-6.0%1.5%
VWIV27.7%24.9%37.9%37.9%25.1%
Skew 25d3.7%2.2%7.0%5.2%2.4%
Skew 10d9.3%3.5%27.0%12.9%3.5%
Call IV 25d26.6%21.9%37.9%37.9%24.8%
Put IV 25d30.3%27.2%43.1%43.1%27.2%
Bid-Ask Spread %35.9719.6481.2281.2270.52
Gamma HHI0.410.240.630.350.41
Net GEX63.0K35.3K113.0K42.2K54.0K
Net DEX-3.3M-4.0M-2.4M-2.4M-3.5M
Net VEX-8.0K-10.8K-6.3K-9.5K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.230.750.280.28
Total Volume600.435476707476497
Total OI1,585.3041,2451,9001,6861,299

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$54.27$55.0039.4%11.3%18.8%68.0%37.9%5.2%-6.0%42.2K-2.4M-9.5K0.2881.22N/AN/A3731031,161525
2018-08-02$58.22$55.0028.9%8.3%30.5%16.2%29.7%7.0%0.9%104.5K-3.9M-9.7K0.7160.06N/AN/A3312341,182534
2018-08-03$58.62$55.0028.1%8.1%30.3%12.4%27.1%5.3%-0.7%89.2K-3.7M-10.8K0.7432.71N/AN/A3132311,212668
2018-08-06$58.99$50.0027.9%8.0%29.8%11.3%28.3%3.0%1.6%99.4K-3.9M-10.0K0.6523.63N/AN/A3612331,192667
2018-08-07$59.04$50.0028.3%8.0%29.8%13.6%28.1%3.2%2.0%113.0K-4.0M-10.1K0.6025.88N/AN/A3872331,230670
2018-08-08$58.25$50.0027.8%7.8%30.3%10.9%27.4%3.5%2.2%91.0K-3.5M-9.6K0.6419.64N/AN/A3652331,200670
2018-08-09$58.46$50.0026.4%7.9%30.3%4.1%28.3%3.3%2.3%98.3K-3.6M-9.5K0.6422.62N/AN/A3622331,198670
2018-08-10$57.74$50.0028.5%8.2%30.7%14.2%28.9%3.5%1.6%81.1K-3.3M-9.3K0.5822.14N/AN/A4122401,195670
2018-08-13$56.27$50.0036.2%8.4%32.1%52.1%28.4%3.5%1.9%36.2K-2.6M-8.6K0.6724.49N/AN/A4132781,175681
2018-08-14$56.16$45.0035.3%8.4%31.9%47.8%28.3%3.2%1.8%51.9K-3.1M-7.9K0.6724.41N/AN/A4192821,173572
2018-08-15$54.23$45.0029.3%8.4%34.2%18.5%24.9%3.3%1.5%35.3K-2.4M-7.5K0.6636.35N/AN/A4252821,178573
2018-08-16$56.08$45.0028.7%8.2%36.3%15.5%27.7%3.7%1.8%47.9K-3.0M-7.4K0.7220.43N/AN/A3852771,172571
2018-08-17$56.64$45.0028.1%8.0%36.3%12.3%28.2%2.9%2.3%45.1K-3.3M-7.3K0.7223.05N/AN/A3832771,171576
2018-08-20$56.99$45.0028.3%8.1%36.4%13.4%27.2%2.7%0.3%46.1K-3.2M-7.0K0.7526.15N/AN/A355265986354
2018-08-21$57.82$45.0026.4%7.6%35.9%4.1%27.4%3.0%0.7%48.9K-3.4M-7.0K0.7529.41N/AN/A354265987354
2018-08-22$58.00$45.0026.3%7.5%35.8%3.5%27.0%2.2%0.4%49.7K-3.3M-6.9K0.7328.34N/AN/A365265954354
2018-08-23$56.71$45.0027.8%8.0%36.6%10.8%27.1%3.2%0.5%45.0K-2.9M-6.8K0.7328.79N/AN/A365267953354
2018-08-24$58.36$45.0025.4%7.3%37.0%0.0%26.0%5.9%0.8%50.9K-3.4M-6.6K0.7369.54N/AN/A365267953356
2018-08-27$58.83$45.0026.1%7.5%36.8%3.4%26.8%2.5%0.8%50.5K-3.2M-6.4K0.7030.41N/AN/A383267889356
2018-08-28$60.24$45.0025.9%7.4%37.2%2.4%26.8%3.5%0.5%58.3K-3.7M-6.3K0.2337.16N/AN/A38890904356
2018-08-29$60.39$45.0025.9%7.4%36.7%2.8%25.9%4.7%0.4%56.3K-3.7M-6.3K0.2827.18N/AN/A388110904365
2018-08-30$60.03$45.0025.9%7.4%27.6%2.9%25.5%3.8%0.2%54.0K-3.6M-6.8K0.2663.06N/AN/A388101914384
2018-08-31$59.69$45.0024.6%7.0%27.7%0.0%25.1%2.4%1.5%54.0K-3.5M-6.7K0.2870.52N/AN/A388109914385