CRS Options History — April 2020

In April 2020, CRS traded between $17.62 and $23.97. ATM implied volatility averaged 86.1%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded below realized volatility by 50.8% (HV 20d: 136.9%). Max pain ranged from $12.50 to $40.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-04-29: Highest Volume — 224 contracts
  • 2020-04-08: Largest IV drop — 23.1% change
  • 2020-04-01: Highest IV Rank — 90.6%
  • 2020-04-01: Largest Expected Move — 35.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.96$17.62$23.97$18.25$22.35
Max Pain$18.81$12.50$40.00$40.00$20.00
ATM IV86.1%64.1%123.4%123.4%64.1%
Expected Move23.9%18.4%35.4%35.4%18.4%
HV 20d136.9%92.2%180.2%176.8%104.6%
HV 60d115.3%108.0%123.2%108.0%123.2%
IV Rank57.1%37.3%90.6%90.6%37.3%
IV Percentile90.5%83.3%99.2%99.2%83.3%
Term Structure-8.6%-23.6%-1.6%-23.6%-1.6%
VWIV83.5%59.9%118.1%118.1%59.9%
Skew 25d12.1%-6.5%18.9%18.9%9.7%
Skew 10d25.4%-21.0%41.3%31.5%25.1%
Call IV 25d78.0%59.8%110.9%110.9%59.8%
Put IV 25d90.1%69.5%129.8%129.8%69.5%
Bid-Ask Spread %55.3338.7385.9785.9761.24
Gamma HHI0.240.150.380.260.19
Net GEX-1.6K-7.2K7.2K-3.9K7.2K
Net DEX1.4M1.0M1.6M1.5M1.2M
Net VEX-2.6K-3.9K-2.1K-2.3K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.014.754.750.29
Total Volume76.143922423103
Total OI2,731.9052,4213,2382,4683,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$18.25$40.00123.4%35.4%176.8%90.6%118.1%18.9%-23.6%-3.9K1.5M-2.3K4.7585.97N/AN/A4191,3651,103
2020-04-02$18.59$12.50117.1%28.3%177.4%85.0%87.7%16.4%-12.9%-4.8K1.6M-2.4K0.7547.65N/AN/A861,3661,118
2020-04-03$17.62$12.50112.1%27.7%177.5%80.5%0.0%14.8%-14.2%-3.8K1.5M-2.2K0.8046.60N/AN/A541,3831,119
2020-04-06$19.62$12.5095.1%24.3%178.1%65.2%94.4%14.4%-8.5%-5.2K1.5M-2.3K1.0038.73N/AN/A991,3871,034
2020-04-07$20.32$15.0099.2%24.3%179.1%68.9%83.5%14.4%-11.8%-6.0K1.4M-2.5K0.0955.02N/AN/A1111,3871,043
2020-04-08$21.70$15.0076.3%21.9%180.2%48.3%81.1%12.5%-3.6%-6.7K1.5M-2.8K0.6046.38N/AN/A20121,3841,044
2020-04-09$22.83$15.0078.1%22.4%170.8%49.9%96.3%11.7%-6.0%-7.2K1.4M-3.3K0.4561.61N/AN/A1151,3991,056
2020-04-13$21.37$15.0077.1%22.1%166.5%49.0%90.5%16.2%-7.4%-6.1K1.4M-2.7K2.5655.61N/AN/A25641,4021,055
2020-04-14$20.62$17.5079.9%22.9%161.5%51.5%72.7%9.7%-11.1%-5.3K1.5M-2.1K0.0161.63N/AN/A16121,4251,094
2020-04-15$19.36$20.0080.8%23.2%161.0%52.4%81.7%10.9%-7.6%-2.6K1.4M-2.2K0.2060.53N/AN/A107211,5861,096
2020-04-16$18.32$20.0086.2%24.7%117.4%57.2%85.4%10.7%-6.7%-4061.4M-2.1K1.5253.59N/AN/A21321,6901,111
2020-04-17$20.18$20.0080.7%23.1%119.6%52.2%82.4%14.6%-12.7%-4.5K1.4M-2.5K0.2862.22N/AN/A43121,7111,122
2020-04-20$19.16$20.0083.2%23.8%113.5%54.5%86.6%14.8%-10.8%1471.4M-2.2K1.3151.92N/AN/A35461,6901,031
2020-04-21$18.31$20.0091.9%26.4%111.1%62.4%90.3%12.7%-7.5%-1.3K1.4M-2.4K0.8355.37N/AN/A66551,7161,069
2020-04-22$18.18$20.0086.9%24.9%99.4%57.8%85.0%13.7%-4.2%-831.4M-2.4K2.6346.08N/AN/A561471,7771,113
2020-04-23$18.45$20.0084.8%24.3%92.6%55.9%83.6%13.5%-6.1%-4551.4M-2.7K1.3644.55N/AN/A14191,8311,185
2020-04-24$18.26$20.0078.4%22.5%92.2%50.2%78.9%9.8%-4.5%1.4K1.4M-2.4K1.9159.97N/AN/A22421,8381,173
2020-04-27$20.50$20.0072.6%20.8%95.9%45.0%70.7%11.6%-6.0%3.1K1.4M-2.7K0.0359.65N/AN/A13641,8491,192
2020-04-28$21.19$20.0072.4%20.8%95.5%44.8%72.3%9.4%-7.5%7.0K1.3M-2.9K1.0046.12N/AN/A991,8951,192
2020-04-29$23.97$20.0067.4%19.3%103.6%40.3%69.4%-6.5%-5.9%6.3K1.0M-3.9K0.4161.40N/AN/A159651,8961,205
2020-04-30$22.35$20.0064.1%18.4%104.6%37.3%59.9%9.7%-1.6%7.2K1.2M-3.7K0.2961.24N/AN/A80231,9881,250