CRS Options History — September 2019

In September 2019, CRS traded between $47.06 and $55.62. ATM implied volatility averaged 35.4%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 10.2% (HV 20d: 45.6%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.68.

Notable Days

  • 2019-09-18: Highest Volume — 451 contracts
  • 2019-09-24: Largest IV spike — 18.6% change
  • 2019-09-03: Highest IV Rank — 44.5%
  • 2019-09-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.48$47.06$55.62$47.06$52.07
Max Pain$43.75$40.00$50.00$40.00$50.00
ATM IV35.4%32.9%42.4%42.4%38.6%
Expected Move10.2%9.4%12.2%12.2%11.1%
HV 20d45.6%39.3%52.8%51.6%42.2%
HV 60d40.8%38.3%42.8%38.3%42.8%
IV Rank25.2%18.6%44.5%44.5%33.1%
IV Percentile43.4%24.2%75.8%75.8%65.1%
Term Structure1.4%-4.3%3.9%-4.3%1.6%
VWIV35.1%31.8%41.5%41.5%34.3%
Skew 25d5.1%3.7%8.1%6.5%6.1%
Skew 10d12.3%5.2%20.1%20.1%18.1%
Call IV 25d33.4%31.7%37.5%37.5%33.9%
Put IV 25d38.4%35.9%44.0%44.0%40.0%
Bid-Ask Spread %77.9466.7591.0267.3090.97
Gamma HHI0.530.290.790.290.62
Net GEX101.5K24.5K171.3K24.5K115.0K
Net DEX-2.7M-4.6M-1.1M-1.1M-2.2M
Net VEX-6.8K-12.2K-2.5K-2.9K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.680.0083.000.810.00
Total Volume76.6534514921
Total OI1,285.28931,9038931,437

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$47.06$40.0042.4%12.2%51.6%44.5%41.5%6.5%-4.3%24.5K-1.1M-2.9K0.8167.30N/AN/A2722534359
2019-09-04$48.22$40.0035.2%10.1%52.2%24.4%38.0%8.1%-0.6%35.0K-1.4M-2.8K0.0066.75N/AN/A30550351
2019-09-05$49.73$40.0034.3%9.9%52.8%22.2%33.3%4.3%2.4%44.3K-1.7M-2.5K0.0377.30N/AN/A1936550351
2019-09-06$48.84$40.0033.7%10.0%49.9%20.8%33.5%4.0%1.3%50.1K-1.6M-3.0K0.0076.98N/AN/A90648357
2019-09-09$50.21$40.0034.7%10.1%47.1%23.3%33.6%3.8%1.7%59.3K-1.8M-2.8K0.0174.95N/AN/A981647357
2019-09-10$52.43$40.0035.2%10.2%49.0%24.6%0.0%4.6%1.6%101.0K-2.6M-3.8K0.0073.11N/AN/A80821358
2019-09-11$55.60$40.0034.6%9.9%51.8%23.1%32.5%5.1%0.5%102.7K-3.5M-3.8K0.0171.13N/AN/A1221829358
2019-09-12$55.15$40.0034.4%9.8%46.3%22.3%33.3%5.0%1.1%122.3K-3.5M-4.3K1.1073.46N/AN/A2022924357
2019-09-13$55.44$40.0033.5%9.6%43.9%20.2%32.9%4.2%1.8%120.0K-3.5M-4.4K0.0472.27N/AN/A512932378
2019-09-16$55.62$45.0035.1%10.1%42.0%24.2%34.3%5.3%0.5%105.4K-3.4M-4.2K1.6171.89N/AN/A3150902378
2019-09-17$55.28$45.0034.8%10.0%41.7%23.4%32.7%4.4%1.0%117.5K-3.4M-4.1K0.0074.68N/AN/A830918378
2019-09-18$54.41$45.0034.0%9.7%42.4%21.4%39.3%5.0%1.6%126.3K-3.2M-4.7K0.0077.33N/AN/A4501986378
2019-09-19$54.42$45.0033.1%9.5%42.4%19.2%31.8%4.3%3.1%171.3K-4.6M-10.7K0.0078.92N/AN/A11801,420379
2019-09-20$53.65$45.0033.2%9.5%42.7%19.3%0.0%3.7%2.2%140.5K-4.6M-12.0K0.0081.41N/AN/A601,524379
2019-09-23$54.23$45.0032.9%9.4%39.3%18.6%33.1%3.7%3.9%150.3K-3.1M-11.7K3.1780.61N/AN/A12381,156143
2019-09-24$51.34$45.0039.0%11.2%45.4%34.3%39.1%4.9%1.1%112.3K-2.2M-11.4K83.0083.66N/AN/A1831,171182
2019-09-25$52.68$50.0034.1%9.8%44.7%21.6%37.0%5.1%2.5%121.1K-2.4M-12.2K0.5085.31N/AN/A1051,170261
2019-09-26$51.94$50.0037.8%10.8%43.0%31.1%34.9%7.0%1.8%110.7K-2.2M-12.0K3.2989.72N/AN/A7231,175266
2019-09-27$51.36$50.0038.1%10.9%42.2%32.0%36.6%6.1%2.2%101.1K-2.0M-11.7K0.1391.02N/AN/A811,177263
2019-09-30$52.07$50.0038.6%11.1%42.2%33.1%34.3%6.1%1.6%115.0K-2.2M-11.6K0.0090.97N/AN/A2101,175262