CRS Options History — November 2019

In November 2019, CRS traded between $51.06 and $53.44. ATM implied volatility averaged 31.1%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.6% (HV 20d: 33.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.47.

Notable Days

2019-11-07: Highest Volume — 443 contracts
2019-11-13: Largest IV spike — 49.4% change
2019-11-21: Highest IV Rank — 34.8%
2019-11-21: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.56	$51.06	$53.44	$51.06	$52.65
Max Pain	$50.25	$50.00	$55.00	$55.00	$50.00
ATM IV	31.1%	22.7%	35.7%	33.3%	30.2%
Expected Move	9.3%	8.5%	10.2%	9.6%	8.7%
HV 20d	33.7%	24.4%	38.8%	38.1%	25.1%
HV 60d	38.2%	34.5%	43.0%	43.0%	34.5%
IV Rank	20.4%	0.0%	34.8%	19.9%	20.2%
IV Percentile	17.4%	0.0%	50.8%	25.0%	7.9%
Term Structure	1.7%	-0.9%	4.4%	0.5%	1.1%
VWIV	34.0%	29.1%	40.5%	33.4%	34.6%
Skew 25d	4.4%	3.2%	5.4%	5.0%	5.4%
Skew 10d	8.8%	-0.6%	16.1%	7.8%	16.1%
Call IV 25d	31.0%	29.0%	32.3%	31.0%	29.0%
Put IV 25d	35.3%	33.3%	37.7%	35.9%	34.4%
Bid-Ask Spread %	75.52	59.64	86.01	86.01	78.96
Gamma HHI	0.45	0.25	0.81	0.25	0.48
Net GEX	59.0K	14.6K	198.4K	18.0K	50.4K
Net DEX	-1.6M	-2.2M	-845.0K	-845.0K	-2.0M
Net VEX	-8.1K	-9.6K	-7.4K	-8.7K	-7.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.00	3.57	0.07	0.01
Total Volume	45.2	0	443	2	5
Total OI	1,268.3	981	1,670	1,201	1,070

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2019-11-01	$51.06	$55.00	33.3%	9.6%	38.1%	19.9%	33.4%	5.0%	0.5%	18.0K	-845.0K	-8.7K	0.00	86.01	N/A	N/A	0	2	767	434
2019-11-04	$52.19	$50.00	33.9%	9.9%	38.8%	21.6%	31.9%	4.6%	1.7%	15.3K	-1.1M	-8.5K	0.07	72.26	N/A	N/A	14	1	767	435
2019-11-05	$52.99	$50.00	29.3%	9.1%	37.1%	7.9%	32.0%	5.2%	2.8%	14.6K	-1.4M	-8.7K	0.00	74.25	N/A	N/A	26	0	781	436
2019-11-06	$51.92	$50.00	34.1%	10.0%	38.1%	22.0%	0.0%	5.0%	1.5%	20.0K	-1.1M	-8.6K	0.00	76.98	N/A	N/A	0	0	797	436
2019-11-07	$52.34	$50.00	32.8%	9.8%	37.7%	18.3%	0.0%	4.6%	2.5%	20.0K	-1.2M	-8.5K	0.02	76.64	N/A	N/A	433	10	797	436
2019-11-08	$53.29	$50.00	22.7%	8.9%	36.1%	0.0%	33.7%	4.7%	4.0%	198.4K	-2.0M	-9.6K	0.14	77.95	N/A	N/A	7	1	1,214	446
2019-11-11	$52.82	$50.00	27.9%	9.0%	34.9%	13.9%	37.2%	3.6%	3.7%	148.7K	-1.6M	-8.8K	0.00	76.99	N/A	N/A	2	0	1,214	446
2019-11-12	$52.88	$50.00	23.3%	9.1%	34.8%	1.7%	29.1%	4.8%	3.9%	148.5K	-1.6M	-8.5K	1.33	80.51	N/A	N/A	3	4	1,215	446
2019-11-13	$52.45	$50.00	34.8%	10.0%	34.2%	32.4%	35.4%	4.8%	2.4%	58.2K	-1.2M	-7.9K	0.17	75.74	N/A	N/A	12	2	1,215	446
2019-11-14	$51.93	$50.00	34.0%	9.7%	34.4%	30.3%	34.0%	4.4%	2.7%	44.1K	-1.1M	-7.9K	0.00	83.23	N/A	N/A	34	0	1,224	446
2019-11-15	$52.91	$50.00	30.1%	8.6%	34.9%	19.9%	0.0%	3.4%	4.4%	53.3K	-1.4M	-7.8K	0.11	83.16	N/A	N/A	9	1	1,228	434
2019-11-18	$52.86	$50.00	30.9%	8.9%	34.2%	22.1%	33.7%	3.4%	0.5%	53.4K	-1.9M	-7.7K	0.20	84.15	N/A	N/A	122	25	744	237
2019-11-19	$53.16	$50.00	31.7%	9.1%	34.3%	24.1%	35.0%	4.1%	0.2%	51.5K	-2.0M	-8.1K	1.00	59.64	N/A	N/A	23	23	763	262
2019-11-20	$52.63	$50.00	32.3%	9.3%	33.9%	25.9%	40.5%	3.7%	-0.1%	47.5K	-1.8M	-7.9K	3.57	83.77	N/A	N/A	7	25	756	264
2019-11-21	$51.98	$50.00	35.7%	10.2%	32.6%	34.8%	32.1%	5.4%	-0.9%	43.0K	-1.7M	-7.9K	0.00	61.18	N/A	N/A	1	0	751	269
2019-11-22	$51.91	$50.00	34.1%	9.8%	32.6%	30.7%	0.0%	4.6%	-0.1%	42.7K	-1.6M	-7.8K	0.38	69.04	N/A	N/A	13	5	751	269
2019-11-25	$52.78	$50.00	31.1%	8.9%	29.4%	22.6%	34.6%	3.2%	0.1%	47.1K	-1.8M	-7.6K	0.01	62.35	N/A	N/A	93	1	756	274
2019-11-26	$52.93	$50.00	29.7%	8.5%	29.4%	18.8%	0.0%	3.7%	1.0%	51.6K	-2.0M	-7.7K	0.00	82.05	N/A	N/A	0	0	797	273
2019-11-27	$53.44	$50.00	30.2%	8.7%	24.4%	20.2%	0.0%	3.8%	1.2%	54.4K	-2.2M	-7.5K	0.00	65.42	N/A	N/A	0	0	797	273
2019-11-29	$52.65	$50.00	30.2%	8.7%	25.1%	20.2%	0.0%	5.4%	1.1%	50.4K	-2.0M	-7.4K	0.00	78.96	N/A	N/A	0	5	797	273