CRS Options History — June 2019

In June 2019, CRS traded between $40.91 and $48.18. ATM implied volatility averaged 33.1%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.8% (HV 20d: 33.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2019-06-26: Highest Volume — 249 contracts
  • 2019-06-05: Largest IV spike — 14.0% change
  • 2019-06-05: Highest IV Rank — 35.0%
  • 2019-06-05: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.86$40.91$48.18$40.91$48.18
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV33.1%29.1%38.6%38.5%30.0%
Expected Move9.5%8.4%11.1%11.0%8.6%
HV 20d33.9%25.3%39.4%34.3%25.3%
HV 60d33.3%31.8%34.7%33.7%31.8%
IV Rank21.3%11.4%35.0%34.9%13.6%
IV Percentile38.0%18.3%70.6%70.6%20.2%
Term Structure1.5%-2.0%3.9%-2.0%3.5%
VWIV31.6%23.9%33.2%23.9%32.3%
Skew 25d4.4%3.0%5.5%5.5%5.2%
Skew 10d8.3%-1.0%14.0%11.6%7.9%
Call IV 25d31.4%27.2%37.3%37.3%27.8%
Put IV 25d35.8%32.0%42.8%42.8%33.0%
Bid-Ask Spread %76.9963.4692.0876.8573.48
Gamma HHI0.540.260.710.650.26
Net GEX42.3K21.9K80.8K21.9K26.7K
Net DEX-1.3M-2.8M229.7K229.7K-1.2M
Net VEX-4.6K-5.8K-3.6K-5.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0012.671.500.59
Total Volume88.25324910220
Total OI1,269.76721,5501,519771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$40.91$45.0038.5%11.0%34.3%34.9%23.9%5.5%-2.0%21.9K229.7K-5.6K1.5076.85N/AN/A46873646
2019-06-04$42.59$45.0033.9%9.7%38.9%23.2%33.1%4.5%-1.0%32.3K-331.7K-5.8K0.4292.08N/AN/A3615874650
2019-06-05$42.29$45.0038.6%11.1%38.3%35.0%33.1%3.7%-1.3%34.5K-228.5K-5.8K0.3890.13N/AN/A4015904645
2019-06-06$42.62$45.0033.7%9.4%38.2%22.8%33.2%4.7%1.5%37.5K-396.5K-5.7K0.3877.76N/AN/A4015905645
2019-06-07$43.45$45.0032.5%9.4%39.4%19.7%33.1%3.1%1.3%44.4K-706.4K-5.5K0.3371.12N/AN/A4515905645
2019-06-10$43.20$45.0034.5%9.6%39.4%24.8%0.0%4.2%1.1%46.0K-1.1M-5.3K0.0073.28N/AN/A03909520
2019-06-11$44.15$45.0033.3%9.3%35.2%21.8%31.5%4.6%1.5%55.1K-1.5M-5.1K1.6376.27N/AN/A813909523
2019-06-12$44.45$45.0032.6%9.3%34.9%20.0%32.9%3.8%2.1%64.3K-1.7M-4.9K0.4874.31N/AN/A3316917513
2019-06-13$44.54$45.0032.4%9.3%34.5%19.5%32.7%3.2%1.8%62.8K-1.7M-4.6K2.1170.38N/AN/A3676896512
2019-06-14$43.70$45.0032.4%9.3%34.9%19.4%32.5%3.5%1.9%56.4K-1.3M-4.5K2.0679.35N/AN/A3674892482
2019-06-17$43.83$45.0032.5%9.3%34.3%19.9%0.0%3.0%1.7%63.2K-1.3M-4.1K0.0077.22N/AN/A190892485
2019-06-18$45.56$45.0033.0%9.5%36.3%21.0%31.6%5.0%1.6%80.8K-2.2M-4.2K0.0077.90N/AN/A550910485
2019-06-19$45.98$45.0033.2%9.5%35.8%21.4%31.7%4.9%1.3%60.5K-2.3M-4.0K0.0086.39N/AN/A550886485
2019-06-20$46.57$45.0033.2%9.5%34.7%21.5%31.3%5.5%1.4%26.7K-2.7M-3.6K0.0085.45N/AN/A1240886485
2019-06-21$46.77$45.0032.6%9.4%27.7%20.1%31.3%4.7%1.4%26.0K-2.8M-3.8K0.0173.94N/AN/A1321958485
2019-06-24$45.81$45.0032.2%9.2%29.1%19.0%29.2%4.5%3.9%24.9K-951.1K-3.9K12.6773.61N/AN/A338436236
2019-06-25$46.69$45.0033.5%9.6%28.8%22.2%32.6%5.2%1.5%25.4K-1.0M-4.0K5.7563.46N/AN/A20115439264
2019-06-26$47.85$45.0030.3%8.7%29.1%14.3%32.6%4.6%3.8%27.6K-1.2M-4.1K1.0173.81N/AN/A124125455307
2019-06-27$48.12$45.0029.1%8.4%28.2%11.4%30.6%4.8%3.8%28.7K-1.2M-4.1K0.6472.97N/AN/A12781460304
2019-06-28$48.18$45.0030.0%8.6%25.3%13.6%32.3%5.2%3.5%26.7K-1.2M-4.1K0.5973.48N/AN/A13882457314