CRS Options History — October 2018

In October 2018, CRS traded between $41.26 and $59.83. ATM implied volatility averaged 38.5%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 3.9% (HV 20d: 34.5%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-10-26: Highest Volume — 505 contracts
  • 2018-10-10: Largest IV spike — 27.3% change
  • 2018-10-24: Highest IV Rank — 100.0%
  • 2018-10-29: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.77$41.26$59.83$58.35$43.76
Max Pain$56.52$45.00$60.00$55.00$45.00
ATM IV38.5%26.7%64.6%27.3%44.4%
Expected Move11.2%7.7%18.5%7.8%12.7%
HV 20d34.5%18.1%68.6%20.7%68.6%
HV 60d32.5%26.3%45.5%26.3%45.5%
IV Rank53.0%9.8%100.0%12.7%49.6%
IV Percentile67.2%7.9%100.0%12.7%97.6%
Term Structure-4.2%-15.4%4.5%3.9%-6.5%
VWIV37.9%26.9%58.3%27.5%44.6%
Skew 25d6.5%2.9%12.0%6.9%9.0%
Skew 10d13.4%5.7%28.0%8.3%18.3%
Call IV 25d36.2%19.7%55.4%23.8%42.4%
Put IV 25d42.7%29.7%67.4%30.7%51.4%
Bid-Ask Spread %56.2620.0886.0230.9384.62
Gamma HHI0.350.220.620.420.62
Net GEX24.7K30156.0K35.1K29.0K
Net DEX-375.4K-1.2M364.9K-914.1K86.9K
Net VEX-4.1K-5.5K-2.3K-5.2K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.160.650.510.32
Total Volume340.174286505309319
Total OI830.6096751,0217661,021

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$58.35$55.0027.3%7.8%20.7%12.7%27.5%6.9%3.9%35.1K-914.1K-5.2K0.5130.93N/AN/A204105550216
2018-10-02$59.83$55.0026.9%7.7%18.5%10.7%28.7%10.0%4.5%54.9K-1.2M-5.5K0.5836.35N/AN/A187108566216
2018-10-03$59.60$55.0027.1%7.8%18.6%11.7%26.9%9.8%3.9%52.3K-1.2M-5.4K0.4830.42N/AN/A220106568221
2018-10-04$58.58$60.0027.2%9.0%19.8%12.4%31.1%2.9%-2.0%49.7K-1000.0K-5.2K0.4824.45N/AN/A219106590221
2018-10-05$58.29$60.0026.7%8.9%18.1%9.8%30.4%3.8%-1.9%46.5K-947.9K-5.2K0.4558.50N/AN/A235106592221
2018-10-08$59.02$60.0029.1%9.1%18.4%21.1%31.6%4.1%-1.9%56.0K-1.1M-5.1K0.5521.83N/AN/A222122604221
2018-10-09$58.62$60.0028.2%9.0%18.6%17.1%31.4%3.8%-2.1%52.9K-1.0M-5.1K0.6521.14N/AN/A187122613239
2018-10-10$55.68$60.0035.9%10.3%25.0%53.2%33.7%4.7%-2.2%20.4K-511.3K-4.7K0.5480.76N/AN/A220119613239
2018-10-11$54.50$60.0037.0%10.6%25.8%58.3%33.0%3.0%-2.9%11.4K-315.7K-4.6K0.5086.02N/AN/A237119641249
2018-10-12$53.87$60.0036.8%10.6%25.5%57.4%29.9%5.1%-3.5%5.9K-169.1K-4.3K0.5385.62N/AN/A236125649249
2018-10-15$54.30$60.0036.6%10.5%25.6%56.5%35.4%3.8%-3.7%2.9K-229.7K-4.4K0.6285.22N/AN/A234144651254
2018-10-16$55.56$60.0036.5%10.5%26.8%55.7%34.5%5.5%-4.6%23.5K-463.0K-4.4K0.5085.83N/AN/A232117658227
2018-10-17$55.71$60.0036.3%10.4%26.8%54.8%34.7%5.3%-4.0%22.1K-540.0K-4.3K0.5028.25N/AN/A232117662233
2018-10-18$53.83$60.0037.5%10.7%28.9%60.3%33.8%4.8%-4.1%14.3K-214.2K-4.0K0.5076.27N/AN/A232117662233
2018-10-19$52.58$60.0036.9%10.6%29.7%57.5%38.6%5.9%-3.9%12.3K-36.1K-3.7K0.5263.37N/AN/A231120658233
2018-10-22$53.19$60.0038.2%10.9%30.3%63.6%34.2%6.2%-4.8%14.5K-272.8K-3.8K0.4720.08N/AN/A19591469206
2018-10-23$52.75$60.0040.8%11.7%29.1%75.8%41.7%6.4%-5.8%13.5K-229.3K-3.7K0.4067.67N/AN/A20683470207
2018-10-24$44.67$60.0050.3%14.4%63.9%100.0%51.6%7.1%-7.8%1.3K356.8K-2.3K0.3369.90N/AN/A25685475203
2018-10-25$43.75$50.0051.0%14.6%63.7%100.0%51.7%7.3%-8.9%430364.9K-2.5K0.2932.43N/AN/A23969494217
2018-10-26$44.01$50.0053.0%15.2%64.0%100.0%53.2%9.9%-10.4%301350.2K-2.7K0.1660.74N/AN/A43669504224
2018-10-29$42.07$45.0064.6%18.5%64.9%100.0%58.3%12.0%-15.4%24.4K156.5K-3.0K0.2885.26N/AN/A24469704224
2018-10-30$41.26$45.0056.8%16.3%63.0%80.3%56.1%11.5%-12.7%24.6K327.5K-2.5K0.4958.23N/AN/A256126712225
2018-10-31$43.76$45.0044.4%12.7%68.6%49.6%44.6%9.0%-6.5%29.0K86.9K-3.3K0.3284.62N/AN/A24277723298