CRS Options History — March 2019

In March 2019, CRS traded between $42.62 and $48.04. ATM implied volatility averaged 33.7%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.1% (HV 20d: 27.5%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2019-03-08: Highest Volume — 195 contracts
  • 2019-03-06: Largest IV spike — 12.8% change
  • 2019-03-07: Highest IV Rank — 33.5%
  • 2019-03-07: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.48$42.62$48.04$47.86$45.92
Max Pain$40.53$40.00$50.00$40.00$40.00
ATM IV33.7%31.0%38.0%31.0%32.1%
Expected Move10.1%8.9%10.9%8.9%10.0%
HV 20d27.5%19.8%36.5%26.1%36.5%
HV 60d37.6%35.0%41.2%41.2%36.3%
IV Rank22.7%16.1%33.5%16.1%18.8%
IV Percentile44.3%31.7%67.5%31.7%36.5%
Term Structure2.0%0.3%3.1%1.3%2.9%
VWIV36.7%31.1%43.2%36.7%38.2%
Skew 25d5.3%3.5%9.0%4.7%5.4%
Skew 10d10.8%4.0%21.8%4.0%10.0%
Call IV 25d31.2%28.0%33.7%31.1%30.0%
Put IV 25d36.5%34.7%39.5%35.8%35.4%
Bid-Ask Spread %67.6955.4691.8274.1675.42
Gamma HHI0.460.300.850.840.38
Net GEX11.3K-46.2K144.2K134.8K-26.6K
Net DEX-1.7M-3.8M52.3K-3.7M-630.7K
Net VEX-6.3K-6.5K-5.8K-6.5K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.045.720.711.00
Total Volume65.381181953658
Total OI1,461.6199142,0071,7341,079

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$47.86$40.0031.0%8.9%26.1%16.1%36.7%4.7%1.3%134.8K-3.7M-6.5K0.7174.16N/AN/A21151,417317
2019-03-04$48.04$40.0033.0%9.5%25.9%21.0%38.9%4.5%1.8%144.2K-3.8M-6.3K1.8863.63N/AN/A24451,428320
2019-03-05$48.01$40.0032.7%9.4%19.8%20.3%34.5%3.7%2.0%143.7K-3.8M-6.4K1.8478.07N/AN/A25461,445347
2019-03-06$46.28$40.0036.9%10.6%24.0%30.7%36.8%5.8%1.1%72.2K-3.0M-6.0K2.0872.62N/AN/A25521,445348
2019-03-07$45.32$40.0038.0%10.9%24.5%33.5%37.9%5.8%0.3%46.2K-2.7M-5.9K0.3891.82N/AN/A26101,445355
2019-03-08$44.79$40.0036.1%10.4%23.2%28.8%36.8%5.3%1.5%31.1K-2.5M-5.8K5.7290.14N/AN/A291661,451360
2019-03-11$45.74$40.0037.5%10.1%24.4%32.2%35.9%5.0%1.4%-15.3K-2.5M-6.4K0.1855.46N/AN/A2241,456514
2019-03-12$46.34$40.0033.3%9.9%24.3%21.7%31.1%4.1%1.4%-10.6K-2.7M-6.2K0.0557.55N/AN/A4121,455516
2019-03-13$46.16$40.0033.6%10.0%24.4%22.6%34.6%5.1%1.2%-27.4K-2.7M-6.2K0.0456.18N/AN/A7431,457518
2019-03-14$45.14$40.0032.9%10.0%25.7%20.7%34.9%5.9%2.0%-46.2K-2.4M-6.5K0.2557.98N/AN/A73181,466519
2019-03-15$45.23$40.0032.4%9.8%25.6%19.4%34.2%3.5%1.8%-16.8K-2.5M-6.3K0.3857.17N/AN/A64241,471536
2019-03-18$45.86$0.0032.5%9.9%25.9%19.8%0.0%5.6%2.5%-12.8K-662.1K-6.1K1.5760.85N/AN/A711474440
2019-03-19$45.19$0.0032.8%10.0%25.4%20.6%32.7%5.3%2.0%-18.0K-524.8K-6.2K0.2659.92N/AN/A4712476451
2019-03-20$45.12$50.0032.5%10.2%23.9%19.7%33.3%4.9%2.9%-13.9K-542.0K-6.4K0.2368.82N/AN/A4711516452
2019-03-21$45.78$40.0032.4%10.1%24.0%19.5%32.6%4.6%2.7%-12.8K-684.4K-6.3K0.5659.44N/AN/A4827516462
2019-03-22$42.62$40.0033.6%10.4%34.2%22.4%35.0%7.2%2.4%-21.9K51.5K-6.4K0.7673.03N/AN/A4937517495
2019-03-25$42.90$40.0035.0%10.4%34.1%26.0%43.1%7.5%1.7%-23.7K52.3K-6.4K1.4763.99N/AN/A1928517514
2019-03-26$43.42$40.0033.2%10.3%34.5%21.4%43.2%9.0%3.1%-28.3K-67.9K-6.5K1.6366.95N/AN/A1931518542
2019-03-27$44.44$40.0033.0%10.3%35.8%21.1%41.7%4.2%2.6%-29.6K-275.7K-6.5K1.1569.02N/AN/A2731518547
2019-03-28$44.92$40.0032.5%10.2%36.1%19.8%41.5%4.2%3.1%-30.6K-376.5K-6.4K1.2969.22N/AN/A2431520554
2019-03-29$45.92$40.0032.1%10.0%36.5%18.8%38.2%5.4%2.9%-26.6K-630.7K-6.3K1.0075.42N/AN/A2929520559