CRS Options History — September 2018

In September 2018, CRS traded between $56.48 and $59.75. ATM implied volatility averaged 27.5%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.5% (HV 20d: 25.9%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.36.

Notable Days

2018-09-21: Highest Volume — 644 contracts
2018-09-12: Largest IV drop — 11.5% change
2018-09-10: Highest IV Rank — 32.3%
2018-09-07: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.38	$56.48	$59.75	$57.63	$58.97
Max Pain	$53.95	$45.00	$55.00	$45.00	$55.00
ATM IV	27.5%	25.6%	31.5%	28.7%	25.6%
Expected Move	7.8%	7.3%	8.6%	8.2%	7.3%
HV 20d	25.9%	20.5%	31.0%	30.4%	20.5%
HV 60d	29.4%	26.3%	32.1%	32.1%	26.3%
IV Rank	13.5%	5.0%	32.3%	19.4%	5.0%
IV Percentile	10.7%	1.2%	37.3%	14.3%	1.2%
Term Structure	2.4%	-1.3%	4.4%	-1.3%	4.4%
VWIV	28.1%	24.5%	30.6%	30.6%	26.0%
Skew 25d	4.0%	2.1%	9.0%	4.2%	9.0%
Skew 10d	6.1%	0.5%	12.1%	4.8%	12.1%
Call IV 25d	25.7%	19.9%	27.5%	27.1%	19.9%
Put IV 25d	29.7%	28.4%	31.2%	31.2%	28.9%
Bid-Ask Spread %	34.53	17.35	70.13	21.90	27.20
Gamma HHI	0.41	0.32	0.57	0.36	0.47
Net GEX	47.0K	9.1K	131.9K	37.7K	41.8K
Net DEX	-2.4M	-3.3M	-999.4K	-2.8M	-1.0M
Net VEX	-5.6K	-6.5K	-5.1K	-6.5K	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.23	0.56	0.29	0.56
Total Volume	453.947	251	644	491	291
Total OI	1,206.947	691	1,442	1,316	766

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$57.63	$45.00	28.7%	8.2%	30.4%	19.4%	30.6%	4.2%	-1.3%	37.7K	-2.8M	-6.5K	0.29	21.90	N/A	N/A	380	111	914	402
2018-09-05	$57.67	$45.00	26.9%	7.7%	30.4%	10.7%	28.7%	4.5%	0.6%	37.2K	-2.8M	-6.4K	0.27	18.96	N/A	N/A	383	104	913	404
2018-09-06	$57.85	$55.00	27.0%	7.7%	30.0%	11.2%	28.9%	3.6%	2.4%	38.7K	-2.9M	-6.2K	0.26	61.03	N/A	N/A	379	99	921	414
2018-09-07	$56.59	$55.00	29.4%	8.6%	31.0%	22.6%	29.8%	4.3%	0.9%	20.8K	-2.4M	-6.0K	0.34	33.24	N/A	N/A	381	130	923	429
2018-09-10	$56.48	$55.00	31.5%	8.4%	30.7%	32.3%	29.4%	3.2%	2.2%	11.8K	-2.4M	-5.9K	0.34	17.35	N/A	N/A	377	130	925	462
2018-09-11	$56.83	$55.00	30.9%	8.6%	29.4%	29.8%	29.9%	3.5%	1.4%	9.1K	-2.3M	-5.7K	0.35	18.29	N/A	N/A	368	130	926	462
2018-09-12	$58.14	$55.00	27.4%	7.8%	30.4%	13.1%	30.0%	4.1%	2.2%	34.0K	-2.9M	-5.9K	0.35	21.99	N/A	N/A	373	130	927	462
2018-09-13	$57.72	$55.00	27.1%	7.8%	27.4%	11.7%	28.6%	3.0%	2.2%	30.9K	-2.8M	-5.6K	0.35	25.44	N/A	N/A	367	130	931	462
2018-09-14	$58.35	$55.00	26.6%	7.6%	25.1%	9.2%	29.1%	3.5%	2.2%	39.4K	-3.2M	-5.7K	0.35	22.06	N/A	N/A	371	130	976	462
2018-09-17	$58.73	$55.00	27.7%	7.9%	25.0%	14.6%	30.0%	3.8%	2.2%	55.9K	-3.3M	-5.3K	0.35	69.46	N/A	N/A	372	130	971	462
2018-09-18	$59.38	$55.00	26.8%	7.7%	25.2%	10.4%	27.6%	3.6%	2.8%	86.6K	-3.0M	-5.3K	0.27	58.31	N/A	N/A	372	99	885	462
2018-09-19	$59.57	$55.00	27.1%	7.8%	24.8%	12.0%	26.6%	2.1%	2.8%	98.0K	-3.1M	-5.2K	0.23	21.73	N/A	N/A	439	99	885	462
2018-09-20	$59.49	$55.00	26.3%	7.5%	24.8%	7.9%	25.7%	2.9%	3.1%	131.9K	-3.0M	-5.4K	0.25	20.34	N/A	N/A	440	109	980	462
2018-09-21	$59.23	$55.00	26.2%	7.5%	23.3%	7.6%	24.5%	3.3%	2.7%	44.5K	-2.5M	-5.3K	0.35	20.79	N/A	N/A	477	167	957	472
2018-09-24	$58.73	$55.00	27.3%	7.8%	21.3%	12.7%	27.3%	2.3%	3.7%	41.2K	-999.4K	-5.1K	0.34	36.65	N/A	N/A	259	87	500	191
2018-09-25	$59.75	$55.00	26.8%	7.7%	22.0%	10.6%	27.3%	3.2%	3.9%	46.9K	-1.1M	-5.3K	0.53	58.75	N/A	N/A	164	87	503	201
2018-09-26	$59.08	$55.00	26.6%	7.6%	20.6%	9.5%	27.4%	3.1%	4.1%	42.8K	-1.0M	-5.2K	0.49	70.13	N/A	N/A	181	88	515	201
2018-09-27	$59.08	$55.00	25.8%	7.4%	20.6%	5.9%	25.5%	8.4%	3.9%	44.8K	-1.0M	-5.4K	0.56	32.38	N/A	N/A	186	105	542	200
2018-09-28	$58.97	$55.00	25.6%	7.3%	20.5%	5.0%	26.0%	9.0%	4.4%	41.8K	-1.0M	-5.5K	0.56	27.20	N/A	N/A	186	105	550	216