CRS Options History — January 2020

In January 2020, CRS traded between $39.80 and $49.36. ATM implied volatility averaged 37.9%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 7.1% (HV 20d: 30.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2020-01-24: Highest Volume — 254 contracts
  • 2020-01-14: Largest IV drop — 34.2% change
  • 2020-01-13: Highest IV Rank — 71.4%
  • 2020-01-31: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.87$39.80$49.36$49.36$39.80
Max Pain$48.81$45.00$50.00$50.00$45.00
ATM IV37.9%30.5%46.4%34.0%43.1%
Expected Move10.8%9.7%12.4%9.7%12.4%
HV 20d30.8%17.6%40.7%40.7%32.1%
HV 60d32.3%30.8%33.8%33.7%32.1%
IV Rank45.9%23.6%71.4%34.1%61.5%
IV Percentile72.0%10.3%97.2%44.4%97.2%
Term Structure-1.1%-4.1%1.9%1.9%-3.4%
VWIV37.6%33.5%46.6%34.1%46.6%
Skew 25d5.6%4.0%13.8%13.8%5.9%
Skew 10d12.0%6.9%20.8%20.8%7.8%
Call IV 25d35.3%26.6%42.3%26.6%41.9%
Put IV 25d41.0%37.6%47.8%40.3%47.8%
Bid-Ask Spread %69.7152.2081.8363.7681.83
Gamma HHI0.340.240.480.430.25
Net GEX80.7K23.3K133.2K121.3K23.3K
Net DEX-1.2M-2.6M794.0K-2.6M794.0K
Net VEX-13.3K-15.8K-9.7K-13.8K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0012.750.214.65
Total Volume69.429525468147
Total OI1,951.3811,6122,3031,6122,303

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$49.36$50.0034.0%9.7%40.7%34.1%34.1%13.8%1.9%121.3K-2.6M-13.8K0.2163.76N/AN/A56121,354258
2020-01-03$49.01$50.0034.0%9.7%40.4%34.0%34.0%9.6%1.3%132.8K-2.5M-13.7K1.5073.33N/AN/A231,403268
2020-01-06$48.85$50.0036.2%10.3%40.4%40.8%0.0%5.0%-0.5%133.2K-2.4M-13.3K0.0065.71N/AN/A5301,403270
2020-01-07$48.58$50.0036.4%10.3%39.6%41.3%36.1%5.3%-0.1%118.9K-2.2M-15.8K12.0072.05N/AN/A1121,497412
2020-01-08$48.76$50.0035.4%10.3%39.7%38.2%0.0%4.6%-1.5%123.2K-2.3M-15.7K0.0071.97N/AN/A2901,497424
2020-01-09$48.49$50.0035.3%10.1%39.6%38.1%35.1%5.3%0.2%121.0K-2.1M-15.4K4.0074.46N/AN/A5201,487424
2020-01-10$47.32$50.0040.3%10.7%39.9%53.1%34.8%4.6%-0.8%92.1K-1.5M-14.7K2.2072.12N/AN/A20441,491444
2020-01-13$47.47$50.0046.4%10.7%39.8%71.4%35.5%4.7%-1.0%91.9K-1.6M-14.6K0.9570.71N/AN/A21201,506477
2020-01-14$48.17$50.0030.5%9.9%40.5%23.6%0.0%5.3%0.2%117.3K-1.8M-15.0K0.0069.92N/AN/A2801,516497
2020-01-15$47.08$50.0037.8%10.8%20.2%45.5%34.7%5.3%-0.4%65.2K-1.3M-14.0K0.0675.17N/AN/A3221,504497
2020-01-16$47.28$50.0036.8%10.5%17.6%42.4%33.5%5.1%-1.5%72.9K-1.4M-14.0K0.8273.48N/AN/A34281,533496
2020-01-17$46.44$50.0035.3%10.1%18.2%37.9%35.3%5.0%-0.7%70.4K-1.1M-13.6K12.7574.11N/AN/A4511,556492
2020-01-21$44.01$50.0037.5%10.8%25.4%44.8%38.0%4.7%-1.6%47.5K-457.4K-11.9K1.1958.24N/AN/A32381,346447
2020-01-22$44.01$50.0037.4%10.7%25.5%44.2%38.5%5.0%-1.7%46.0K-379.7K-11.8K0.2364.95N/AN/A57131,365482
2020-01-23$43.61$50.0037.6%10.8%23.6%44.9%37.9%4.0%-2.0%43.9K-287.4K-11.6K5.8060.51N/AN/A5291,366490
2020-01-24$42.92$50.0039.6%11.3%23.7%50.8%39.5%4.9%-2.2%37.1K-104.9K-11.3K0.2066.07N/AN/A211431,368519
2020-01-27$43.12$45.0042.3%12.1%23.4%58.9%43.2%5.2%-4.1%60.2K-427.0K-12.4K7.6771.49N/AN/A12921,522539
2020-01-28$43.12$45.0040.4%11.6%23.5%53.2%40.5%4.0%-2.6%59.3K-316.9K-12.4K0.3173.71N/AN/A86271,532580
2020-01-29$43.84$45.0039.6%11.3%25.0%50.8%41.9%5.6%-2.4%68.3K-541.9K-12.9K0.1652.20N/AN/A5691,569600
2020-01-30$42.04$45.0040.5%11.6%27.6%53.7%37.0%5.4%-0.6%47.9K128.4K-11.1K3.2878.24N/AN/A29951,634611
2020-01-31$39.80$45.0043.1%12.4%32.1%61.5%46.6%5.9%-3.4%23.3K794.0K-9.7K4.6581.83N/AN/A261211,647656