CRS Options History — August 2019

In August 2019, CRS traded between $44.10 and $49.40. ATM implied volatility averaged 40.7%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 3.6% (HV 20d: 44.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2019-08-02: Highest Volume — 197 contracts
  • 2019-08-13: Largest IV drop — 33.6% change
  • 2019-08-12: Highest IV Rank — 78.2%
  • 2019-08-14: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.59$44.10$49.40$45.58$48.47
Max Pain$40.45$40.00$45.00$45.00$40.00
ATM IV40.7%33.5%55.9%37.2%33.5%
Expected Move10.9%9.6%11.7%10.7%9.6%
HV 20d44.4%33.1%51.9%34.1%50.8%
HV 60d35.8%31.9%38.1%33.1%37.9%
IV Rank40.3%22.2%78.2%31.5%22.2%
IV Percentile69.2%33.7%97.6%63.1%33.7%
Term Structure-1.2%-3.5%0.8%-3.3%0.4%
VWIV38.0%34.1%40.8%36.7%38.4%
Skew 25d5.5%4.0%6.8%6.1%4.7%
Skew 10d11.4%0.3%19.0%10.9%0.3%
Call IV 25d35.8%33.4%39.2%35.3%33.6%
Put IV 25d41.3%38.2%45.6%41.4%38.3%
Bid-Ask Spread %67.4041.3394.0594.0566.20
Gamma HHI0.290.260.400.300.32
Net GEX14.6K-22.7K37.3K-22.7K33.9K
Net DEX-878.4K-1.4M-348.2K-445.8K-1.4M
Net VEX-3.5K-4.4K-2.9K-4.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.006.670.886.67
Total Volume37.63621979223
Total OI932.0457961,0921,071897

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$45.58$45.0037.2%10.7%34.1%31.5%36.7%6.1%-3.3%-22.7K-445.8K-4.4K0.8894.05N/AN/A4943525546
2019-08-02$47.03$45.0039.4%11.3%35.9%37.0%37.3%4.0%-3.5%-7.8K-793.2K-4.3K0.7174.61N/AN/A11582540552
2019-08-05$46.24$40.0050.2%11.6%33.9%63.9%40.4%6.8%-2.2%4.3K-706.0K-4.3K1.9166.00N/AN/A3465544472
2019-08-06$45.95$40.0047.2%10.9%33.1%56.4%0.0%6.3%-0.9%7.3K-664.6K-3.8K0.0063.71N/AN/A06510415
2019-08-07$46.88$40.0049.7%11.4%33.7%62.6%40.2%6.8%-2.4%14.7K-826.0K-3.8K0.0065.27N/AN/A210510409
2019-08-08$49.40$40.0037.4%9.9%37.5%32.0%37.4%4.8%0.8%35.4K-1.4M-3.5K0.0560.41N/AN/A412528409
2019-08-09$46.94$40.0045.5%11.0%41.4%52.3%35.6%5.1%-1.1%18.6K-878.0K-3.6K0.0058.36N/AN/A590527411
2019-08-12$46.66$40.0055.9%11.2%41.5%78.2%0.0%5.4%-1.3%21.2K-868.5K-3.6K0.0065.28N/AN/A20567411
2019-08-13$48.14$40.0037.1%9.9%42.8%31.3%34.6%4.7%0.4%37.3K-1.2M-3.3K0.8075.95N/AN/A54569411
2019-08-14$45.45$40.0040.8%11.7%46.8%40.5%38.7%6.0%-3.2%9.0K-633.9K-3.6K0.0370.35N/AN/A351569407
2019-08-15$44.10$40.0040.8%11.7%47.8%40.5%40.8%5.3%-2.4%3.5K-348.2K-3.5K0.1276.18N/AN/A263584407
2019-08-16$46.19$40.0038.5%11.0%49.6%34.7%38.3%5.8%-1.0%19.1K-925.6K-3.4K0.5076.19N/AN/A105603407
2019-08-19$47.48$40.0037.5%10.8%50.0%32.4%35.4%4.5%-0.7%24.8K-1.1M-3.1K1.3280.69N/AN/A4458495301
2019-08-20$47.24$40.0037.3%10.7%49.8%31.6%37.1%5.2%-0.9%18.1K-1.0M-3.3K2.0070.00N/AN/A12495359
2019-08-21$47.31$40.0036.5%10.5%49.0%29.7%0.0%4.5%-0.2%18.4K-1.0M-3.2K0.0053.87N/AN/A110496361
2019-08-22$46.95$40.0037.0%10.6%48.1%31.0%0.0%5.3%-0.1%17.2K-973.5K-3.2K0.0041.33N/AN/A100501361
2019-08-23$45.19$40.0039.7%11.4%49.7%37.7%39.9%6.7%-1.6%8.3K-670.8K-3.5K0.5268.93N/AN/A2111511361
2019-08-26$45.19$40.0039.9%11.4%48.9%38.3%39.9%6.2%-0.7%10.2K-731.3K-3.4K0.0067.03N/AN/A140516361
2019-08-27$44.29$40.0040.6%11.6%48.9%40.0%38.9%6.4%-1.5%5.5K-564.4K-3.3K0.0053.82N/AN/A70520361
2019-08-28$46.43$40.0040.2%11.5%50.7%39.1%40.1%6.0%-1.9%18.0K-958.9K-3.3K0.0054.71N/AN/A70527361
2019-08-29$47.95$40.0034.0%9.7%51.9%23.5%34.1%5.0%0.0%27.5K-1.2M-3.0K0.0079.96N/AN/A110527361
2019-08-30$48.47$40.0033.5%9.6%50.8%22.2%38.4%4.7%0.4%33.9K-1.4M-2.9K6.6766.20N/AN/A320538359