CRS Options History — May 2019

In May 2019, CRS traded between $40.41 and $51.52. ATM implied volatility averaged 35.3%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.1% (HV 20d: 31.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.71.

Notable Days

  • 2019-05-14: Highest Volume — 201 contracts
  • 2019-05-13: Largest IV spike — 71.6% change
  • 2019-05-13: Highest IV Rank — 74.1%
  • 2019-05-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.59$40.41$51.52$49.05$40.41
Max Pain$45.68$45.00$50.00$50.00$45.00
ATM IV35.3%29.9%54.3%30.8%38.0%
Expected Move9.7%8.6%11.4%8.8%10.9%
HV 20d31.2%23.3%38.6%24.1%37.6%
HV 60d31.3%28.0%34.2%28.0%33.8%
IV Rank26.9%13.2%74.1%15.6%33.6%
IV Percentile51.5%28.2%97.2%32.1%67.5%
Term Structure-0.3%-3.0%1.4%-0.4%-1.4%
VWIV33.0%26.8%36.5%35.4%33.2%
Skew 25d5.4%1.9%12.6%10.8%3.2%
Skew 10d12.2%-2.3%22.0%17.0%5.7%
Call IV 25d31.6%23.2%37.6%25.1%37.6%
Put IV 25d37.0%29.4%41.9%35.9%40.8%
Bid-Ask Spread %78.1052.9688.7352.9686.65
Gamma HHI0.490.350.690.420.62
Net GEX48.1K17.2K107.2K67.4K17.2K
Net DEX-1.7M-3.8M408.4K-2.7M408.4K
Net VEX-7.1K-8.6K-5.6K-8.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.0011.7811.780.97
Total Volume62.455620111569
Total OI1,801.2731,3732,0542,0301,508

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$49.05$50.0030.8%8.8%24.1%15.6%35.4%10.8%-0.4%67.4K-2.7M-8.6K11.7852.96N/AN/A91061,237793
2019-05-02$49.64$50.0029.9%8.6%24.3%13.2%33.3%12.6%0.5%77.9K-2.9M-8.3K9.5854.33N/AN/A121151,238792
2019-05-03$51.52$50.0030.2%8.7%26.5%14.1%26.8%1.9%0.0%107.2K-3.8M-7.5K3.1955.29N/AN/A361151,240792
2019-05-06$50.94$45.0033.5%8.9%23.3%22.3%28.8%5.3%1.2%98.7K-3.5M-7.7K1.6766.98N/AN/A351,252796
2019-05-07$49.52$45.0036.0%9.6%24.3%28.4%34.0%5.1%-0.0%76.0K-2.8M-8.3K0.8375.72N/AN/A651,252796
2019-05-08$49.93$45.0035.0%9.3%24.2%26.0%32.5%5.8%0.4%86.1K-3.0M-7.9K0.2573.74N/AN/A2051,253796
2019-05-09$49.68$45.0036.2%9.5%24.3%29.1%33.2%5.8%-0.2%82.8K-2.8M-8.0K0.3380.23N/AN/A2171,258796
2019-05-10$49.56$45.0031.6%9.1%24.3%17.6%30.4%4.1%1.0%92.0K-2.8M-7.6K0.0083.68N/AN/A1201,258794
2019-05-13$46.67$45.0054.3%10.8%32.2%74.1%35.7%5.1%-1.7%18.8K-1.5M-7.8K2.6478.73N/AN/A11291,258794
2019-05-14$47.35$45.0040.7%10.1%32.8%40.2%32.2%4.6%-1.6%26.7K-1.7M-7.2K2.5381.54N/AN/A571441,255794
2019-05-15$47.92$45.0031.3%9.0%33.0%16.9%0.0%4.6%1.3%44.3K-1.9M-6.9K5.0081.79N/AN/A151,255794
2019-05-16$47.60$45.0030.5%8.7%32.2%14.8%0.0%4.0%1.4%34.3K-1.9M-6.6K3.0084.60N/AN/A261,254794
2019-05-17$46.54$45.0033.7%9.7%32.9%22.7%32.5%5.0%0.3%28.0K-1.5M-6.8K2.0086.18N/AN/A12241,254794
2019-05-20$45.42$45.0034.6%9.9%33.4%25.1%34.2%4.8%-0.7%27.0K-1.3M-6.7K3.2981.66N/AN/A1446823550
2019-05-21$46.30$45.0033.9%9.7%33.3%23.4%32.5%4.7%-0.5%23.1K-1.5M-6.5K1.6480.75N/AN/A2846824596
2019-05-22$45.11$45.0033.7%9.6%34.1%22.7%33.4%5.0%-0.3%25.0K-1.2M-6.6K1.1282.67N/AN/A4146829596
2019-05-23$42.72$45.0034.2%9.8%38.2%24.0%31.5%7.1%-0.5%23.3K-405.5K-6.4K1.3488.73N/AN/A4155824596
2019-05-24$43.06$45.0032.9%9.4%38.6%20.8%33.2%4.3%0.4%24.3K-467.2K-6.3K1.0387.97N/AN/A6365824609
2019-05-28$42.42$45.0038.2%11.0%38.1%34.0%36.1%4.2%-1.2%27.4K-289.9K-6.2K0.8687.69N/AN/A76854621
2019-05-29$42.01$45.0039.8%11.4%37.8%37.9%36.5%5.9%-3.0%26.0K-137.3K-6.2K2.1384.33N/AN/A817860627
2019-05-30$41.52$45.0038.4%11.0%37.8%34.5%34.3%4.6%-1.5%24.4K21.8K-6.0K4.4081.94N/AN/A1044860638
2019-05-31$40.41$45.0038.0%10.9%37.6%33.6%33.2%3.2%-1.4%17.2K408.4K-5.6K0.9786.65N/AN/A3534858650