CRS Options History — February 2019 In February 2019, CRS traded between $45.11 and $48.07. ATM implied volatility averaged 34.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 0.1% (HV 20d: 34.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 2.19.
Notable Days 2019-02-22 : Highest Volume — 314 contracts2019-02-04 : Largest IV spike — 23.4% change2019-02-04 : Highest IV Rank — 37.0%2019-02-11 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $46.48 $45.11 $48.07 $47.83 $47.08 Max Pain $40.00 $40.00 $40.00 $40.00 $40.00 ATM IV 34.8% 31.3% 39.4% 31.9% 36.1% Expected Move 9.9% 9.0% 10.5% 9.5% 10.3% HV 20d 34.7% 30.4% 38.0% 38.0% 30.4% HV 60d 43.5% 41.5% 45.2% 44.4% 41.6% IV Rank 25.5% 16.7% 37.0% 18.4% 28.7% IV Percentile 49.1% 32.9% 70.2% 35.7% 56.3% Term Structure 1.3% -0.6% 3.0% 2.1% 0.9% VWIV 36.6% 32.4% 60.3% 34.1% 37.1% Skew 25d 4.7% 3.1% 6.0% 3.7% 4.8% Skew 10d 11.3% 0.5% 17.9% 7.2% 0.5% Call IV 25d 32.6% 29.5% 35.1% 32.9% 32.1% Put IV 25d 37.3% 35.1% 39.7% 36.6% 36.9% Bid-Ask Spread % 77.85 56.39 86.30 80.29 74.22 Gamma HHI 0.54 0.38 0.77 0.54 0.73 Net GEX 116.0K 95.1K 138.0K 138.0K 113.7K Net DEX -3.0M -3.9M -2.3M -3.4M -3.4M Net VEX -6.1K -7.5K -4.8K -6.8K -6.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.19 0.00 9.00 0.15 7.33 Total Volume 101.316 4 314 148 25 Total OI 1,632.895 1,397 1,712 1,573 1,712
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 2019-02-01 $47.83 $40.00 31.9% 9.5% 38.0% 18.4% 34.1% 3.7% 2.1% 138.0K -3.4M -6.8K 0.15 80.29 N/A N/A 129 19 1,310 263 2019-02-04 $45.73 $40.00 39.4% 10.3% 35.3% 37.0% 35.6% 3.4% 1.0% 119.6K -2.7M -6.3K 1.21 56.39 N/A N/A 28 34 1,333 266 2019-02-05 $45.47 $40.00 38.7% 10.3% 35.3% 35.2% 35.7% 3.1% 1.7% 113.0K -2.5M -6.0K 0.85 76.69 N/A N/A 39 33 1,318 291 2019-02-06 $46.24 $40.00 35.4% 10.1% 35.5% 27.0% 34.4% 4.7% 2.2% 124.5K -2.8M -6.2K 1.00 70.02 N/A N/A 2 2 1,317 292 2019-02-07 $45.12 $40.00 35.4% 10.1% 37.0% 26.9% 34.7% 4.9% 1.7% 110.1K -2.3M -5.6K 5.50 81.00 N/A N/A 2 11 1,317 294 2019-02-08 $45.11 $40.00 35.9% 10.3% 36.4% 28.2% 34.9% 4.6% 2.0% 110.3K -2.3M -5.6K 0.69 74.44 N/A N/A 16 11 1,315 296 2019-02-11 $45.76 $40.00 36.6% 10.5% 36.4% 30.0% 0.0% 5.6% 0.4% 113.5K -2.5M -5.4K 0.00 80.06 N/A N/A 8 0 1,299 296 2019-02-12 $45.68 $40.00 35.0% 10.0% 36.2% 26.1% 0.0% 4.9% 2.4% 109.6K -2.5M -5.1K 8.50 83.16 N/A N/A 8 68 1,291 296 2019-02-13 $45.63 $40.00 34.4% 9.9% 36.2% 24.6% 34.6% 6.0% 2.6% 101.5K -2.4M -5.3K 9.00 83.58 N/A N/A 8 72 1,291 364 2019-02-14 $45.39 $40.00 34.4% 9.9% 35.6% 24.7% 33.7% 4.8% 2.4% 95.1K -2.3M -5.1K 3.48 86.30 N/A N/A 21 73 1,291 374 2019-02-15 $45.84 $40.00 33.7% 9.7% 35.5% 22.8% 32.4% 5.1% 3.0% 95.7K -2.5M -5.0K 1.92 73.26 N/A N/A 38 73 1,308 374 2019-02-19 $46.69 $40.00 35.3% 10.1% 33.9% 26.8% 34.8% 5.0% 0.3% 104.5K -2.7M -4.8K 0.18 73.84 N/A N/A 224 40 1,164 233 2019-02-20 $47.73 $40.00 31.3% 9.0% 32.7% 16.7% 33.4% 5.6% 1.0% 123.8K -3.8M -7.4K 0.15 85.45 N/A N/A 273 40 1,386 272 2019-02-21 $46.94 $40.00 36.3% 10.4% 33.7% 29.2% 35.3% 4.7% -0.6% 117.5K -3.4M -7.5K 0.16 79.57 N/A N/A 253 40 1,406 272 2019-02-22 $47.43 $40.00 35.5% 10.2% 33.6% 27.4% 35.2% 4.6% 0.7% 123.6K -3.6M -7.3K 0.22 83.82 N/A N/A 258 56 1,408 272 2019-02-25 $47.85 $40.00 32.7% 9.4% 32.5% 20.4% 60.3% 5.0% -0.2% 127.0K -3.8M -7.1K 0.00 80.85 N/A N/A 11 0 1,410 287 2019-02-26 $48.07 $40.00 31.9% 9.1% 32.4% 18.2% 38.0% 5.4% 0.5% 137.2K -3.9M -6.9K 0.67 79.45 N/A N/A 3 2 1,418 287 2019-02-27 $47.55 $40.00 31.4% 9.0% 32.7% 17.1% 37.7% 4.3% 0.5% 126.0K -3.7M -6.7K 0.67 76.85 N/A N/A 3 2 1,417 285 2019-02-28 $47.08 $40.00 36.1% 10.3% 30.4% 28.7% 37.1% 4.8% 0.9% 113.7K -3.4M -6.4K 7.33 74.22 N/A N/A 3 22 1,417 295
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