CRS Options History — January 2019

In January 2019, CRS traded between $35.90 and $47.36. ATM implied volatility averaged 45.3%, placing in the 51.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 1.2% (HV 20d: 46.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2019-01-29: Highest Volume — 1,121 contracts
  • 2019-01-22: Largest IV spike — 28.6% change
  • 2019-01-03: Highest IV Rank — 73.5%
  • 2019-01-03: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.75$35.90$47.36$37.24$47.36
Max Pain$37.14$30.00$40.00$35.00$35.00
ATM IV45.3%37.6%54.0%52.8%39.7%
Expected Move13.0%10.6%15.3%15.1%10.6%
HV 20d46.5%41.2%54.6%47.1%42.1%
HV 60d51.8%43.3%56.9%53.8%44.4%
IV Rank51.7%32.5%73.5%70.4%37.8%
IV Percentile86.2%66.3%97.2%96.4%72.2%
Term Structure-3.2%-6.8%0.8%-4.0%0.8%
VWIV43.3%23.6%50.7%50.7%34.8%
Skew 25d7.3%4.1%15.4%6.9%4.1%
Skew 10d13.5%-4.2%26.6%21.9%6.6%
Call IV 25d40.7%34.0%49.1%46.2%34.0%
Put IV 25d47.9%38.1%56.3%53.1%38.1%
Bid-Ask Spread %75.2863.1787.2487.2479.33
Gamma HHI0.440.370.580.480.50
Net GEX110.9K62.1K125.8K63.6K124.4K
Net DEX-2.8M-3.6M-926.9K-926.9K-3.6M
Net VEX-8.6K-9.7K-6.4K-7.5K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.200.000.10
Total Volume136.38181,121209166
Total OI1,988.7621,6142,1371,7811,614

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$37.24$35.0052.8%15.1%47.1%70.4%50.7%6.9%-4.0%63.6K-926.9K-7.5K0.0087.24N/AN/A20901,543238
2019-01-03$35.90$30.0054.0%15.3%44.2%73.5%49.2%7.1%-3.4%62.1K-1.2M-7.6K0.1666.62N/AN/A210341,749238
2019-01-04$38.86$30.0044.7%13.4%54.0%50.3%47.9%6.3%-1.2%92.1K-2.3M-9.5K0.2770.70N/AN/A124341,850272
2019-01-07$39.66$30.0046.0%13.2%54.6%53.4%45.9%7.4%-1.2%102.5K-2.6M-9.7K2.0063.17N/AN/A11221,860272
2019-01-08$40.03$30.0045.3%13.1%54.5%51.7%45.3%7.8%-2.0%107.3K-2.7M-9.5K2.0064.60N/AN/A11221,862275
2019-01-09$40.66$30.0045.0%12.9%50.1%51.0%44.0%6.5%-2.6%115.2K-3.0M-9.4K2.2072.49N/AN/A10221,862275
2019-01-10$41.67$40.0044.9%12.9%50.7%50.8%43.3%7.7%-2.3%120.4K-2.9M-9.7K1.5767.45N/AN/A14221,770275
2019-01-11$41.43$40.0043.1%12.4%50.8%46.2%42.0%6.1%-2.0%120.8K-2.8M-9.3K1.5774.33N/AN/A14221,773275
2019-01-14$41.18$40.0044.5%12.8%50.1%49.8%0.0%5.3%-2.9%122.7K-2.8M-8.8K0.0076.39N/AN/A801,773275
2019-01-15$41.15$40.0045.2%13.0%46.8%51.5%45.4%6.4%-2.8%122.8K-2.7M-8.6K0.0381.74N/AN/A6821,769275
2019-01-16$42.19$40.0045.4%13.0%46.7%51.9%46.3%6.7%-5.5%122.2K-3.3M-8.9K0.0371.37N/AN/A7421,824275
2019-01-17$41.94$40.0044.8%12.9%46.9%50.6%45.3%9.2%-2.5%125.8K-3.0M-8.7K0.0976.50N/AN/A7471,777275
2019-01-18$43.48$40.0037.6%10.8%42.7%32.5%44.3%4.6%-1.5%118.2K-3.6M-8.7K0.7485.22N/AN/A77571,777280
2019-01-22$42.38$40.0048.3%13.9%44.0%59.3%42.1%10.8%-4.9%103.9K-2.7M-8.4K0.0685.93N/AN/A3321,634248
2019-01-23$42.64$40.0044.6%12.8%44.1%49.9%39.6%5.9%-4.0%109.9K-2.9M-8.7K0.0873.20N/AN/A8571,667250
2019-01-24$42.60$40.0043.1%12.4%41.4%46.3%23.6%11.1%-3.6%115.2K-2.9M-8.7K0.0873.69N/AN/A8571,750255
2019-01-25$43.85$40.0043.5%12.5%41.2%47.3%39.2%5.9%-4.0%124.8K-3.4M-8.6K0.0679.05N/AN/A11071,750255
2019-01-28$43.73$40.0045.0%12.9%41.3%51.0%44.7%15.4%-4.9%123.4K-3.2M-8.3K0.4079.60N/AN/A1041,727255
2019-01-29$43.49$40.0046.3%13.3%41.5%54.3%45.9%5.2%-5.4%123.0K-3.1M-8.2K0.0086.42N/AN/A1,11741,727258
2019-01-30$45.22$40.0046.8%13.4%42.3%55.4%46.7%6.7%-6.8%109.6K-3.1M-7.0K0.1365.80N/AN/A6891,427258
2019-01-31$47.36$35.0039.7%10.6%42.1%37.8%34.8%4.1%0.8%124.4K-3.6M-6.4K0.1079.33N/AN/A151151,349265