CRS Options History — March 2020

In March 2020, CRS traded between $14.86 and $38.11. ATM implied volatility averaged 102.4%, placing in the 81.4% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded below realized volatility by 10.2% (HV 20d: 112.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 3.93.

Notable Days

  • 2020-03-18: Highest Volume — 523 contracts
  • 2020-03-09: Largest IV spike — 49.4% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 38.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.57$14.86$38.11$37.37$19.35
Max Pain$40.68$40.00$45.00$45.00$40.00
ATM IV102.4%56.8%133.7%67.4%103.2%
Expected Move27.9%16.3%38.3%19.3%29.6%
HV 20d112.6%42.9%177.6%45.9%177.6%
HV 60d74.7%39.7%107.7%39.8%107.7%
IV Rank81.4%62.4%100.0%81.8%72.5%
IV Percentile98.4%94.8%100.0%99.6%94.8%
Term Structure-17.9%-29.9%-5.7%-12.2%-16.2%
VWIV98.8%63.6%120.6%66.7%100.0%
Skew 25d15.9%8.1%25.3%12.0%25.3%
Skew 10d32.2%11.4%66.0%21.5%66.0%
Call IV 25d89.6%56.0%117.2%57.8%89.9%
Put IV 25d105.5%64.1%141.4%69.8%115.2%
Bid-Ask Spread %68.6751.5583.1651.5576.07
Gamma HHI0.280.200.370.260.34
Net GEX-7.4K-21.5K-696-7.9K-4.5K
Net DEX1.9M1.4M2.8M1.6M1.6M
Net VEX-4.4K-9.8K-1.3K-9.5K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.930.0032.800.311.29
Total Volume95.18255233839
Total OI2,765.4092,2603,4632,5522,430

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$37.37$45.0067.4%19.3%45.9%81.8%66.7%12.0%-12.2%-7.9K1.6M-9.5K0.3151.55N/AN/A2991,589963
2020-03-03$37.51$45.0064.9%18.6%44.1%77.2%74.1%13.3%-11.3%-6.8K1.6M-9.6K0.0070.93N/AN/A2601,591971
2020-03-04$38.11$45.0056.8%16.3%42.9%62.4%63.6%8.1%-5.7%-7.4K1.5M-9.8K18.2071.82N/AN/A5911,604971
2020-03-05$35.52$40.0075.9%18.2%45.6%97.4%0.0%10.4%-10.8%-16.0K2.0M-8.7K0.3562.56N/AN/A133461,6071,050
2020-03-06$34.14$40.0088.5%20.1%46.6%100.0%75.8%11.4%-10.7%-9.5K2.0M-8.5K3.2257.03N/AN/A642061,7321,094
2020-03-09$29.24$40.00132.2%25.4%68.8%100.0%85.3%20.4%-28.7%-13.1K2.6M-4.8K32.8062.91N/AN/A103281,7761,180
2020-03-10$29.01$40.00117.6%22.8%68.2%86.7%0.0%9.9%-17.1%-21.5K2.8M-5.9K2.3359.81N/AN/A371,7741,334
2020-03-11$26.98$40.0092.7%26.6%69.5%63.9%0.0%10.3%-18.4%-15.3K2.8M-4.8K6.0059.89N/AN/A4241,7751,315
2020-03-12$22.69$40.00108.7%31.2%86.7%78.5%103.3%9.8%-25.4%-7.9K2.4M-3.1K6.1773.63N/AN/A6371,7771,233
2020-03-13$25.51$40.00102.5%29.4%101.5%72.8%0.0%19.2%-23.3%-11.1K2.5M-4.2K0.6358.88N/AN/A851,7811,208
2020-03-16$22.60$40.00114.7%32.9%106.5%84.0%0.0%17.9%-29.9%-7.2K2.3M-3.1K0.0260.10N/AN/A10221,7851,182
2020-03-17$21.00$40.00111.4%31.9%107.0%81.0%109.0%18.4%-23.0%-3.5K2.1M-2.7K1.5059.69N/AN/A231,8871,180
2020-03-18$15.47$40.00133.7%38.3%141.8%100.0%113.3%24.3%-28.9%-6961.6M-1.6K1.2869.33N/AN/A2292941,8891,143
2020-03-19$16.59$40.00114.1%32.7%146.7%82.3%113.3%18.9%-16.1%-2.0K1.9M-1.9K2.4573.53N/AN/A38932,1081,322
2020-03-20$14.86$40.00114.2%32.8%147.0%82.4%114.2%18.9%-22.0%-1.7K1.8M-1.3K3.0077.94N/AN/A6182,1431,320
2020-03-23$16.32$40.00113.1%32.4%156.1%81.5%117.5%20.8%-14.2%-2.4K1.4M-1.7K0.5377.69N/AN/A38201,2041,056
2020-03-24$18.74$40.00108.2%31.0%169.5%77.0%100.4%18.2%-20.7%-4.0K1.6M-2.3K1.6766.21N/AN/A351,2281,076
2020-03-25$20.66$40.00107.9%30.9%175.8%76.7%107.2%9.5%-9.2%-6.0K1.5M-3.5K0.0076.27N/AN/A10701,2291,075
2020-03-26$21.05$40.00101.2%29.0%176.8%70.7%101.4%14.5%-13.7%-6.2K1.6M-3.2K0.0082.49N/AN/A3601,3341,075
2020-03-27$19.16$40.00108.3%31.1%177.5%77.1%114.2%21.5%-16.3%-4.2K1.5M-2.6K0.0083.16N/AN/A0111,3471,075
2020-03-30$18.56$40.00116.6%33.4%176.0%84.5%120.6%17.4%-18.7%-3.8K1.5M-2.4K0.7579.29N/AN/A431,3471,079
2020-03-31$19.35$40.00103.2%29.6%177.6%72.5%100.0%25.3%-16.2%-4.5K1.6M-2.3K1.2976.07N/AN/A17221,3491,081