CRS Options History — July 2019

In July 2019, CRS traded between $44.33 and $48.01. ATM implied volatility averaged 34.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.6% (HV 20d: 28.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 10.12.

Notable Days

  • 2019-07-19: Highest Volume — 227 contracts
  • 2019-07-08: Largest IV spike — 22.9% change
  • 2019-07-31: Highest IV Rank — 43.6%
  • 2019-07-31: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.38$44.33$48.01$47.99$45.41
Max Pain$46.59$45.00$50.00$45.00$45.00
ATM IV34.8%26.8%42.0%28.9%42.0%
Expected Move10.1%7.7%12.1%8.3%12.1%
HV 20d28.2%23.0%34.1%25.7%34.1%
HV 60d32.1%30.2%33.8%31.5%33.5%
IV Rank25.5%5.4%43.6%10.8%43.6%
IV Percentile48.3%6.7%77.4%17.9%77.4%
Term Structure-2.4%-7.4%6.7%3.3%-7.4%
VWIV34.2%24.3%39.3%29.1%37.8%
Skew 25d4.9%2.0%9.6%4.4%6.3%
Skew 10d12.5%1.8%24.7%6.3%11.1%
Call IV 25d32.9%26.5%38.6%28.7%38.6%
Put IV 25d37.9%28.9%44.9%33.1%44.9%
Bid-Ask Spread %81.3267.4987.9177.3987.91
Gamma HHI0.280.250.320.260.31
Net GEX5.3K-23.1K28.7K28.3K-23.1K
Net DEX-827.8K-1.2M-377.4K-1.2M-377.4K
Net VEX-4.1K-4.6K-3.8K-3.9K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.120.1991.501.130.19
Total Volume81.7735227556
Total OI903.3187781,0297781,029

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$47.99$45.0028.9%8.3%25.7%10.8%29.1%4.4%3.3%28.3K-1.2M-3.9K0.0077.39N/AN/A05463315
2019-07-02$47.77$45.0026.8%7.7%23.0%5.4%28.4%2.8%5.3%28.7K-1.2M-3.9K1.1367.49N/AN/A89468318
2019-07-03$47.36$45.0028.5%8.2%23.1%9.8%29.4%2.0%6.7%27.0K-1.1M-3.9K6.3886.78N/AN/A851469320
2019-07-05$47.78$50.0026.8%9.3%23.1%5.6%33.4%4.1%-1.8%22.6K-1.1M-4.0K6.2577.73N/AN/A850469363
2019-07-08$46.07$50.0033.0%10.3%26.9%21.0%34.8%4.7%-2.3%12.8K-804.8K-4.1K0.0082.27N/AN/A045467363
2019-07-09$45.11$50.0032.3%10.2%28.1%19.2%33.9%4.9%-2.7%7.2K-603.5K-4.2K7.5078.91N/AN/A430467367
2019-07-10$44.95$50.0035.4%10.1%27.2%26.9%24.3%5.1%-2.5%5.9K-616.7K-4.0K4.2581.91N/AN/A834471371
2019-07-11$44.33$50.0034.6%9.9%27.6%24.9%24.5%4.3%-1.8%2.6K-472.2K-4.1K4.8882.23N/AN/A839475378
2019-07-12$45.63$50.0034.2%9.8%29.4%24.0%33.3%5.4%-2.1%7.2K-706.8K-4.0K5.6385.95N/AN/A845475382
2019-07-15$45.91$50.0035.8%10.3%28.5%28.1%36.0%5.3%-2.5%7.5K-776.5K-3.8K0.2581.70N/AN/A4010475382
2019-07-16$46.25$45.0035.6%10.2%28.5%27.4%36.2%4.6%-2.4%13.5K-979.6K-3.8K0.2283.00N/AN/A4510511383
2019-07-17$45.06$45.0035.6%10.2%26.9%27.6%36.0%4.3%-3.0%13.1K-711.9K-4.0K0.6979.57N/AN/A4531547383
2019-07-18$45.60$45.0034.8%10.0%27.1%25.6%34.9%4.6%-2.2%14.6K-890.4K-3.9K2.3381.12N/AN/A61142547383
2019-07-19$46.99$45.0037.3%10.7%28.8%31.7%35.8%7.0%-5.1%12.0K-1.2M-4.0K1.8481.22N/AN/A80147562421
2019-07-22$46.09$45.0037.5%10.8%29.6%32.3%37.5%4.0%-3.5%10.6K-843.1K-4.0K91.5081.82N/AN/A2183479345
2019-07-23$46.82$45.0037.2%10.7%29.2%31.5%37.1%4.6%-3.8%-7.8K-770.5K-4.5K45.7582.27N/AN/A4183480498
2019-07-24$48.01$45.0034.2%9.8%29.7%24.0%37.7%9.6%-3.7%-2.6K-1.0M-4.3K5.5579.80N/AN/A20111475498
2019-07-25$46.76$45.0038.1%10.9%30.0%33.7%37.7%4.0%-4.5%-15.6K-678.6K-4.6K7.4081.89N/AN/A15111478538
2019-07-26$47.41$45.0037.3%10.7%30.3%31.8%37.7%5.1%-3.0%-12.5K-839.9K-4.4K9.2580.28N/AN/A12111478538
2019-07-29$46.21$45.0040.0%11.5%31.6%38.4%38.4%6.0%-6.7%-19.1K-578.7K-4.4K0.5084.63N/AN/A42480538
2019-07-30$46.92$45.0039.8%11.4%32.2%38.1%39.3%5.5%-6.5%-15.5K-730.9K-4.3K1.0083.20N/AN/A77484540
2019-07-31$45.41$45.0042.0%12.1%34.1%43.6%37.8%6.3%-7.4%-23.1K-377.4K-4.4K0.1987.91N/AN/A479486543