CRS Options History — November 2018

In November 2018, CRS traded between $40.66 and $46.51. ATM implied volatility averaged 42.4%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 19.0% (HV 20d: 61.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-11-02: Highest Volume — 305 contracts
  • 2018-11-14: Largest IV drop — 14.8% change
  • 2018-11-05: Highest IV Rank — 57.3%
  • 2018-11-27: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.47$40.66$46.51$44.32$43.22
Max Pain$48.10$45.00$50.00$45.00$45.00
ATM IV42.4%37.5%47.5%43.4%39.4%
Expected Move11.6%10.1%13.2%12.4%11.3%
HV 20d61.4%39.1%71.7%69.3%39.1%
HV 60d46.4%45.6%47.7%45.6%47.7%
IV Rank44.5%32.2%57.3%46.9%37.1%
IV Percentile93.1%82.1%98.0%96.8%85.3%
Term Structure-2.3%-5.4%0.3%-5.4%-2.7%
VWIV40.5%35.8%45.3%42.0%41.0%
Skew 25d6.2%4.7%11.0%6.3%11.0%
Skew 10d13.6%3.6%29.1%13.6%29.1%
Call IV 25d37.9%32.9%42.4%42.4%33.0%
Put IV 25d44.1%37.9%49.4%48.8%43.9%
Bid-Ask Spread %60.1119.1383.7776.4873.91
Gamma HHI0.540.280.900.620.42
Net GEX28.8K2.7K123.1K32.0K7.4K
Net DEX80.9K-589.0K460.0K-16.6K171.2K
Net VEX-2.7K-3.6K-1.8K-3.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.310.770.340.51
Total Volume239.952160305303218
Total OI913.5246871,0791,026792

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$44.32$45.0043.4%12.4%69.3%46.9%42.0%6.3%-5.4%32.0K-16.6K-3.4K0.3476.48N/AN/A22677724302
2018-11-02$45.81$45.0042.5%12.2%71.3%44.9%45.3%6.0%-4.9%37.3K-392.2K-3.6K0.3475.12N/AN/A22877729285
2018-11-05$45.13$50.0047.5%11.0%70.7%57.3%38.9%4.7%-2.1%38.6K-286.0K-3.5K0.3621.55N/AN/A21377739285
2018-11-06$45.80$50.0046.8%11.0%71.4%55.4%39.4%5.4%-2.3%40.8K-405.4K-3.4K0.3523.44N/AN/A20571735285
2018-11-07$46.51$50.0040.5%10.1%70.4%39.7%36.3%5.0%0.3%44.6K-589.0K-3.3K0.3151.74N/AN/A22771740294
2018-11-08$45.73$50.0039.8%10.3%70.4%38.0%35.8%5.9%-0.8%54.2K-467.4K-3.3K0.3769.49N/AN/A19371753295
2018-11-09$44.03$50.0040.3%10.5%71.1%39.1%37.8%4.7%-0.9%52.7K-15.4K-3.0K0.3665.94N/AN/A19771758295
2018-11-12$43.22$50.0041.8%10.9%70.8%42.9%39.5%5.0%-1.0%47.4K162.5K-2.7K0.3563.07N/AN/A20772767295
2018-11-13$42.97$50.0045.3%11.1%69.7%51.8%40.9%5.5%-1.9%39.4K283.6K-2.5K0.4468.50N/AN/A17778766299
2018-11-14$43.05$50.0038.6%11.1%69.7%35.0%40.4%5.1%-2.1%42.4K285.7K-2.4K0.4573.04N/AN/A17780766299
2018-11-15$44.60$50.0038.2%11.0%71.2%34.1%38.1%6.0%-1.3%123.1K-64.2K-2.7K0.4464.80N/AN/A17677766303
2018-11-16$43.86$50.0037.5%10.7%71.1%32.2%39.4%5.2%-0.8%2.7K378.7K-2.4K0.4365.92N/AN/A17777767312
2018-11-19$42.14$50.0042.3%12.1%71.5%44.2%40.8%6.0%-1.1%3.7K332.8K-2.0K0.4270.23N/AN/A14762491196
2018-11-20$40.90$50.0044.4%12.7%71.7%49.4%41.4%5.6%-2.5%3.8K400.6K-1.8K0.6368.90N/AN/A9862495196
2018-11-21$42.16$50.0042.7%12.2%44.8%45.2%40.1%5.0%-2.1%4.5K326.7K-2.0K0.5371.10N/AN/A11662499196
2018-11-23$41.71$45.0043.4%12.4%44.4%46.9%41.0%5.1%0.1%7.1K317.8K-2.0K0.5376.39N/AN/A11662521195
2018-11-26$41.88$45.0045.1%12.9%44.4%51.2%44.2%7.3%-3.9%7.4K326.6K-1.9K0.7728.55N/AN/A9573521195
2018-11-27$40.66$45.0045.9%13.2%42.7%53.3%44.1%7.1%-4.8%3.3K460.0K-2.0K0.5619.13N/AN/A11464524230
2018-11-28$42.20$45.0044.7%12.8%44.3%50.1%42.5%8.5%-4.1%5.8K303.3K-2.5K0.4751.18N/AN/A14870553232
2018-11-29$42.99$45.0040.1%11.5%39.4%38.6%40.9%9.8%-3.6%7.0K184.9K-2.7K0.4483.77N/AN/A16070562227
2018-11-30$43.22$45.0039.4%11.3%39.1%37.1%41.0%11.0%-2.7%7.4K171.2K-2.7K0.5173.91N/AN/A14474565227