CRS Options History — February 2020

In February 2020, CRS traded between $36.24 and $44.11. ATM implied volatility averaged 39.6%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.4% (HV 20d: 40.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.65.

Notable Days

  • 2020-02-27: Highest Volume — 266 contracts
  • 2020-02-28: Largest IV spike — 42.7% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.43$36.24$44.11$41.12$36.24
Max Pain$46.84$45.00$50.00$45.00$45.00
ATM IV39.6%31.6%77.4%41.0%77.4%
Expected Move11.3%9.0%22.2%11.8%22.2%
HV 20d40.0%35.6%47.6%35.6%47.6%
HV 60d34.6%32.7%39.1%32.7%39.1%
IV Rank47.5%26.7%100.0%55.2%100.0%
IV Percentile55.1%15.9%100.0%95.6%100.0%
Term Structure-1.5%-13.6%1.5%-1.2%-13.6%
VWIV40.6%31.6%73.5%39.6%73.5%
Skew 25d5.5%3.3%13.1%5.3%13.1%
Skew 10d12.8%3.8%24.4%14.6%19.5%
Call IV 25d37.9%31.3%69.9%39.7%69.9%
Put IV 25d43.4%35.9%83.0%44.9%83.0%
Bid-Ask Spread %63.4838.9572.8960.2768.39
Gamma HHI0.300.230.470.240.25
Net GEX54.7K-4.6K131.3K32.0K-4.6K
Net DEX193.3K-420.1K1.7M522.2K1.7M
Net VEX-11.3K-13.1K-9.5K-11.3K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0012.830.334.67
Total Volume61.73762662417
Total OI2,404.6322,0182,5572,4162,557

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$41.12$45.0041.0%11.8%35.6%55.2%39.6%5.3%-1.2%32.0K522.2K-11.3K0.3360.27N/AN/A1861,658758
2020-02-04$42.35$45.0038.8%11.1%38.1%48.5%36.2%4.7%-0.7%47.7K233.4K-12.0K0.2438.95N/AN/A2151,665760
2020-02-05$43.99$45.0032.5%9.3%41.3%29.7%32.8%4.0%0.3%74.0K-390.1K-13.1K0.0268.84N/AN/A9821,661759
2020-02-06$43.83$45.0032.3%9.5%41.2%28.9%0.0%4.7%0.5%82.6K-351.0K-12.9K0.1765.45N/AN/A1831,703759
2020-02-07$43.11$45.0033.8%9.6%41.4%33.4%33.7%4.4%-0.1%71.2K-84.9K-12.3K0.0066.09N/AN/A901,718756
2020-02-10$43.45$50.0034.1%9.6%41.1%34.4%37.2%4.1%0.0%78.3K-161.0K-12.1K0.6761.43N/AN/A1281,710755
2020-02-11$43.96$50.0033.8%9.4%41.4%33.5%32.9%4.2%0.8%90.2K-420.1K-12.4K0.3263.56N/AN/A37121,720753
2020-02-12$43.83$50.0033.0%9.5%40.8%31.1%33.5%4.4%0.3%90.3K-308.3K-12.3K3.5069.42N/AN/A271,722759
2020-02-13$43.58$50.0033.1%9.5%40.3%31.4%0.0%3.3%0.3%87.3K-176.7K-11.8K0.0065.88N/AN/A901,723763
2020-02-14$43.31$50.0032.3%9.3%40.2%29.0%32.2%4.2%0.8%75.6K61.8K-11.4K0.5066.60N/AN/A20101,715763
2020-02-18$43.01$50.0032.5%9.3%39.9%29.7%0.0%4.0%1.3%39.8K336.4K-10.5K0.0069.05N/AN/A601,715767
2020-02-19$43.61$50.0031.6%9.0%35.6%26.7%31.6%4.7%1.5%77.6K85.4K-10.9K0.0065.48N/AN/A2001,721767
2020-02-20$44.08$45.0032.2%9.2%35.8%28.7%38.0%5.3%1.5%131.3K-134.0K-11.2K0.0072.89N/AN/A0651,735767
2020-02-21$44.11$45.0034.4%9.9%35.7%35.2%34.5%5.9%1.1%30.1K25.2K-11.1K1.4165.79N/AN/A17241,735782
2020-02-24$42.10$45.0046.3%13.3%39.1%71.2%44.5%7.4%-4.8%15.1K349.9K-10.1K12.8351.22N/AN/A121541,348670
2020-02-25$40.62$45.0050.7%14.5%40.9%84.2%50.6%7.8%-5.9%3.9K768.9K-9.9K0.8565.88N/AN/A55471,348733
2020-02-26$40.70$45.0048.3%13.9%40.9%77.1%44.8%6.7%-4.6%5.9K702.1K-10.4K0.1167.69N/AN/A174191,401758
2020-02-27$39.12$45.0054.2%15.5%42.2%94.9%53.6%7.3%-6.2%10.7K931.9K-9.6K4.1253.27N/AN/A522141,538766
2020-02-28$36.24$45.0077.4%22.2%47.6%100.0%73.5%13.1%-13.6%-4.6K1.7M-9.5K4.6768.39N/AN/A3141,588969