CRS Options History — October 2019

In October 2019, CRS traded between $48.68 and $52.03. ATM implied volatility averaged 37.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 0.6% (HV 20d: 36.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.25.

Notable Days

  • 2019-10-30: Highest Volume — 585 contracts
  • 2019-10-24: Largest IV drop — 9.5% change
  • 2019-10-08: Highest IV Rank — 37.2%
  • 2019-10-08: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.21$48.68$52.03$50.52$48.80
Max Pain$53.04$50.00$55.00$50.00$55.00
ATM IV37.4%33.0%40.8%36.7%33.0%
Expected Move10.8%9.4%11.7%10.5%9.4%
HV 20d36.8%31.4%43.5%42.3%35.3%
HV 60d42.9%42.3%43.5%42.6%43.4%
IV Rank28.5%16.7%37.2%26.3%18.7%
IV Percentile53.6%19.4%73.8%52.0%19.4%
Term Structure-1.7%-3.8%2.4%2.0%0.3%
VWIV36.7%24.8%40.5%33.7%39.8%
Skew 25d6.0%4.0%12.0%5.6%8.6%
Skew 10d11.1%1.2%19.7%10.2%11.9%
Call IV 25d35.0%27.0%38.9%34.3%29.4%
Put IV 25d41.0%36.5%45.0%40.0%38.0%
Bid-Ask Spread %79.8266.6991.1291.1286.65
Gamma HHI0.440.250.720.610.25
Net GEX52.3K29.7K87.5K87.5K29.7K
Net DEX-1.3M-1.8M-405.9K-1.6M-405.9K
Net VEX-10.2K-11.2K-7.7K-10.9K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.006.000.045.00
Total Volume61.65215852884
Total OI1,417.0871,1391,6351,4571,139

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$50.52$50.0036.7%10.5%42.3%26.3%33.7%5.6%2.0%87.5K-1.6M-10.9K0.0491.12N/AN/A2711,195262
2019-10-02$48.86$50.0037.8%10.8%43.5%29.3%38.4%4.0%2.4%62.1K-1.2M-10.2K0.0789.93N/AN/A5741,221264
2019-10-03$49.40$55.0036.8%11.3%42.2%26.7%40.4%6.3%-2.4%64.8K-1.3M-10.1K0.7571.21N/AN/A1291,176265
2019-10-04$50.52$50.0036.1%11.0%42.4%24.8%40.5%6.5%-1.4%81.7K-1.6M-10.5K0.4370.71N/AN/A1461,177273
2019-10-07$50.24$50.0038.0%11.4%41.3%29.9%39.8%4.3%-1.7%69.8K-1.5M-10.2K0.4366.69N/AN/A731,176278
2019-10-08$48.75$50.0040.8%11.7%39.3%37.2%0.0%6.0%-3.1%48.7K-1.1M-9.6K0.2572.16N/AN/A821,174281
2019-10-09$48.81$50.0039.7%11.4%31.8%34.3%0.0%5.6%-2.3%42.3K-1.1M-9.3K0.0079.85N/AN/A101,175283
2019-10-10$49.79$50.0039.9%11.4%33.2%34.8%0.0%6.0%-2.4%50.4K-1.3M-9.6K0.0074.23N/AN/A201,175283
2019-10-11$51.61$50.0039.1%11.2%36.1%32.5%35.6%5.7%-3.2%86.1K-1.8M-10.0K0.0076.27N/AN/A3501,175283
2019-10-14$50.35$50.0039.4%11.3%36.7%33.5%39.1%5.5%-2.4%47.8K-1.4M-9.5K1.3877.14N/AN/A13181,195283
2019-10-15$50.93$55.0038.1%10.9%37.2%30.1%36.3%6.1%-2.9%43.9K-1.5M-9.5K1.5380.41N/AN/A32491,198299
2019-10-16$52.03$55.0039.1%11.2%38.0%32.7%36.7%5.3%-3.8%48.1K-1.7M-10.2K3.5878.16N/AN/A12431,227347
2019-10-17$52.01$55.0038.0%10.9%38.0%29.8%34.6%6.1%-2.3%40.1K-1.6M-10.4K1.0682.64N/AN/A18191,234390
2019-10-18$51.68$55.0039.3%11.3%37.7%33.1%34.5%6.3%-3.5%42.5K-1.4M-10.4K1.2981.75N/AN/A791,226409
2019-10-21$50.80$55.0040.0%11.5%37.8%35.0%39.3%6.4%-3.8%33.7K-1.1M-10.2K0.0083.05N/AN/A810825357
2019-10-22$50.82$55.0039.8%11.4%32.5%34.4%38.7%6.4%-3.7%41.4K-1.3M-10.8K0.0583.42N/AN/A734897357
2019-10-23$50.02$55.0039.4%11.3%31.4%33.5%39.0%5.8%-3.1%44.5K-1.3M-11.2K0.3981.33N/AN/A3614967361
2019-10-24$48.68$55.0035.7%10.2%32.4%23.6%37.2%4.0%-1.1%45.9K-914.5K-10.7K0.5684.07N/AN/A4324996371
2019-10-25$48.91$55.0033.0%9.5%32.4%16.7%34.8%4.5%0.5%48.1K-910.1K-10.6K5.4078.27N/AN/A527986361
2019-10-28$51.09$55.0033.3%9.6%35.9%17.4%33.5%5.7%-0.5%48.0K-1.5M-11.1K0.5476.91N/AN/A137984368
2019-10-29$51.20$55.0034.6%9.9%34.2%20.7%36.5%5.2%-0.9%47.3K-1.5M-11.1K6.0088.21N/AN/A212984371
2019-10-30$49.07$55.0033.6%9.6%35.5%20.6%24.8%12.0%0.7%49.5K-955.1K-10.3K0.0681.68N/AN/A55332985360
2019-10-31$48.80$55.0033.0%9.4%35.3%18.7%39.8%8.6%0.3%29.7K-405.9K-7.7K5.0086.65N/AN/A1470769370