CRS Options History — December 2018

In December 2018, CRS traded between $33.81 and $44.71. ATM implied volatility averaged 50.1%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 4.8% (HV 20d: 45.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 3.20.

Notable Days

  • 2018-12-11: Highest Volume — 1,456 contracts
  • 2018-12-04: Largest IV spike — 28.7% change
  • 2018-12-27: Highest IV Rank — 88.5%
  • 2018-12-27: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.94$33.81$44.71$44.71$35.49
Max Pain$38.25$35.00$45.00$45.00$35.00
ATM IV50.1%36.1%60.1%36.1%53.6%
Expected Move14.0%10.3%17.2%10.3%15.4%
HV 20d45.3%39.2%47.9%39.2%45.0%
HV 60d50.9%48.2%52.7%48.2%52.6%
IV Rank63.6%28.7%88.5%28.7%72.5%
IV Percentile95.8%69.4%99.6%69.4%97.2%
Term Structure-1.7%-6.3%1.6%-0.9%-3.0%
VWIV47.8%37.6%62.5%37.6%58.7%
Skew 25d7.2%3.6%15.4%15.4%8.7%
Skew 10d16.0%3.5%31.3%24.4%16.8%
Call IV 25d45.3%26.1%57.2%26.1%49.6%
Put IV 25d52.6%41.5%65.0%41.5%58.2%
Bid-Ask Spread %76.0355.4389.9176.2985.16
Gamma HHI0.460.370.540.420.49
Net GEX38.1K4.9K74.8K9.0K46.9K
Net DEX-306.1K-1.2M455.5K12.4K-528.0K
Net VEX-6.0K-9.8K-1.9K-2.7K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.200.0312.000.0612.00
Total Volume199.4501,456170
Total OI1,635.18042,2228081,781

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$44.71$45.0036.1%10.3%39.2%28.7%37.6%15.4%-0.9%9.0K12.4K-2.7K0.0676.29N/AN/A161576232
2018-12-04$42.06$45.0046.4%13.3%44.4%54.6%41.9%6.0%-6.1%9.2K237.0K-2.4K0.3084.28N/AN/A278579225
2018-12-05$42.08$45.0046.7%13.4%44.0%55.3%42.8%6.3%-6.3%9.4K246.9K-2.4K0.3089.91N/AN/A278579225
2018-12-06$42.29$35.0054.6%12.3%43.5%74.8%0.0%7.2%-1.6%9.2K226.1K-2.4K0.6369.79N/AN/A85579225
2018-12-07$41.54$35.0047.8%12.4%43.5%57.9%38.1%6.1%-1.7%8.8K291.1K-2.3K0.3277.67N/AN/A4113579230
2018-12-10$39.11$35.0048.8%13.0%46.4%60.3%45.4%5.2%-1.2%4.9K455.5K-1.9K0.0364.51N/AN/A1,37637579231
2018-12-11$39.48$40.0048.0%12.4%46.5%58.4%45.4%5.5%1.6%74.8K-1.2M-9.8K0.0567.25N/AN/A1,390661,776239
2018-12-12$39.36$40.0042.9%12.3%46.5%45.8%46.3%5.8%0.7%71.9K-1.1M-9.8K7.3355.43N/AN/A9661,776274
2018-12-13$38.52$40.0042.5%12.2%46.8%44.7%44.1%5.1%1.3%66.8K-907.4K-8.9K1.2463.63N/AN/A66821,772270
2018-12-14$36.83$40.0046.5%13.3%46.1%54.7%44.5%5.9%1.5%56.2K-445.3K-7.9K0.8065.76N/AN/A102821,832289
2018-12-17$36.35$40.0050.3%14.4%46.1%64.2%0.0%7.0%-1.7%56.1K-404.7K-7.5K0.0074.13N/AN/A0301,862289
2018-12-18$36.88$40.0050.5%14.5%45.3%64.7%0.0%7.2%-1.6%58.1K-399.3K-8.0K7.5077.44N/AN/A4301,862319
2018-12-19$35.04$40.0051.7%14.8%47.4%67.7%47.7%7.7%-1.2%47.1K-179.4K-7.0K7.4578.92N/AN/A11821,866300
2018-12-20$34.68$35.0051.9%14.9%45.2%68.3%51.1%6.9%-1.3%37.1K-86.4K-6.6K2.5879.24N/AN/A26671,875317
2018-12-21$34.93$35.0051.8%14.8%45.6%67.9%48.3%9.9%-2.2%11.9K-44.7K-6.8K2.5082.04N/AN/A26651,890332
2018-12-24$33.81$35.0056.3%16.1%46.1%79.1%52.2%5.6%-0.1%40.5K-476.9K-6.3K1.3882.43N/AN/A29401,537174
2018-12-26$34.91$35.0057.6%16.5%47.9%82.3%58.2%7.6%-2.5%46.4K-566.7K-6.7K1.1180.00N/AN/A9101,537182
2018-12-27$34.98$35.0060.1%17.2%45.0%88.5%62.5%12.1%-4.7%47.1K-587.1K-6.5K12.0083.11N/AN/A5601,543188
2018-12-28$35.75$35.0057.2%16.4%45.3%81.4%58.7%3.6%-3.8%51.0K-678.8K-7.2K12.0083.66N/AN/A5601,543238
2018-12-31$35.49$35.0053.6%15.4%45.0%72.5%0.0%8.7%-3.0%46.9K-528.0K-6.3K0.0085.16N/AN/A001,543238