CRS Options History — December 2019

In December 2019, CRS traded between $48.35 and $54.10. ATM implied volatility averaged 32.8%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 3.3% (HV 20d: 29.5%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2019-12-16: Highest Volume — 553 contracts
  • 2019-12-04: Largest IV drop — 11.8% change
  • 2019-12-03: Highest IV Rank — 40.3%
  • 2019-12-03: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.35$48.35$54.10$52.32$50.00
Max Pain$50.48$50.00$55.00$50.00$50.00
ATM IV32.8%29.6%37.7%35.6%34.8%
Expected Move9.4%8.5%10.8%10.2%10.0%
HV 20d29.5%16.1%41.3%20.0%40.6%
HV 60d33.4%30.4%37.2%34.3%33.7%
IV Rank27.4%18.6%40.3%34.7%36.6%
IV Percentile27.6%5.2%64.7%52.0%51.6%
Term Structure2.3%-2.3%4.6%-0.6%1.2%
VWIV32.7%30.9%34.8%32.3%34.8%
Skew 25d4.8%3.2%6.4%5.0%5.8%
Skew 10d10.8%-1.3%27.8%14.2%9.1%
Call IV 25d31.3%28.6%33.8%31.1%33.2%
Put IV 25d36.1%32.9%39.1%36.2%39.0%
Bid-Ask Spread %72.0158.7686.3069.4173.49
Gamma HHI0.460.310.580.490.41
Net GEX64.7K-8.4K124.7K47.0K124.7K
Net DEX-2.0M-3.0M-634.3K-1.9M-2.9M
Net VEX-8.7K-14.2K-6.0K-7.3K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.0040.002.3140.00
Total Volume98.85705534341
Total OI1,283.0951,0351,6071,0751,607

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$52.32$50.0035.6%10.2%20.0%34.7%0.0%5.0%-0.6%47.0K-1.9M-7.3K2.3169.41N/AN/A1330797278
2019-12-03$51.99$50.0037.7%10.8%18.6%40.3%32.3%6.4%-2.3%42.7K-1.7M-7.5K0.0068.82N/AN/A860798303
2019-12-04$52.57$50.0033.3%9.5%18.2%28.4%33.2%4.5%-0.8%49.5K-1.9M-7.5K0.2566.86N/AN/A164821303
2019-12-05$52.72$50.0032.5%9.0%16.6%26.2%0.0%4.8%4.0%49.9K-2.0M-7.4K0.0069.99N/AN/A00822308
2019-12-06$53.66$50.0030.1%8.8%17.5%19.9%0.0%3.6%3.9%56.1K-2.2M-7.2K0.0075.22N/AN/A100822308
2019-12-09$53.32$50.0031.6%9.0%16.5%23.8%0.0%4.9%3.8%55.8K-2.1M-7.1K0.0065.41N/AN/A10825308
2019-12-10$53.32$50.0030.3%8.9%16.1%20.5%30.9%4.7%4.4%56.1K-2.2M-6.9K0.0058.76N/AN/A340826308
2019-12-11$53.75$50.0031.1%8.9%16.4%22.7%0.0%4.2%3.9%63.3K-2.3M-7.0K0.8360.98N/AN/A1210840308
2019-12-12$54.10$50.0030.7%8.8%16.1%21.5%31.1%4.8%3.6%69.2K-2.4M-6.8K1.4275.22N/AN/A1217842308
2019-12-13$53.52$55.0029.6%8.5%16.2%18.6%0.0%4.3%4.6%66.3K-2.3M-6.8K0.0077.11N/AN/A130847318
2019-12-16$48.35$55.0032.9%9.4%39.2%27.4%33.2%3.4%2.3%18.4K-634.3K-6.0K0.5377.85N/AN/A361192855316
2019-12-17$49.62$50.0032.9%9.4%40.7%27.5%32.7%4.3%2.1%46.6K-1.5M-8.3K0.1480.65N/AN/A219301,098430
2019-12-18$49.88$50.0032.8%9.4%40.6%27.1%32.8%3.2%2.1%24.8K-1.5M-8.5K0.0085.19N/AN/A21501,071460
2019-12-19$49.59$50.0032.3%9.2%40.6%25.7%32.1%4.9%2.4%-8.4K-1.2M-8.0K0.1385.05N/AN/A3851,015460
2019-12-20$49.36$50.0032.5%9.3%40.4%26.3%32.5%4.5%2.0%72.6K-787.7K-8.0K0.6586.30N/AN/A26171,048465
2019-12-23$50.39$50.0033.1%9.5%41.3%28.0%33.1%6.3%2.1%81.6K-1.6M-8.0K0.0163.31N/AN/A681818217
2019-12-24$49.80$50.0033.4%9.6%40.8%28.7%33.3%5.6%2.1%84.0K-1.5M-8.4K0.0267.74N/AN/A52812874218
2019-12-26$50.24$50.0033.2%9.5%41.0%28.3%33.2%5.2%2.3%118.4K-3.0M-14.1K0.4067.34N/AN/A521,316230
2019-12-27$50.12$50.0032.8%9.4%40.8%27.2%0.0%5.2%2.7%118.0K-2.9M-14.0K0.5765.55N/AN/A35201,320232
2019-12-30$49.82$50.0035.0%10.0%40.5%35.6%33.2%4.8%1.9%121.1K-2.9M-14.2K0.0071.86N/AN/A301,353252
2019-12-31$50.00$50.0034.8%10.0%40.6%36.6%34.8%5.8%1.2%124.7K-2.9M-14.1K40.0073.49N/AN/A1401,355252