CRS Options History — May 2020

In May 2020, CRS traded between $18.36 and $25.76. ATM implied volatility averaged 66.5%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 32.9% (HV 20d: 99.4%). Max pain ranged from $20.00 to $40.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.67.

Notable Days

  • 2020-05-12: Highest Volume — 566 contracts
  • 2020-05-11: Largest IV spike — 39.3% change
  • 2020-05-05: Highest IV Rank — 49.1%
  • 2020-05-01: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.36$18.36$25.76$21.19$23.42
Max Pain$25.00$20.00$40.00$20.00$20.00
ATM IV66.5%54.8%77.3%73.7%64.2%
Expected Move18.3%16.2%21.1%21.1%18.4%
HV 20d99.4%91.3%107.0%107.0%91.6%
HV 60d127.2%123.0%131.8%123.0%131.8%
IV Rank39.5%28.9%49.1%46.0%37.4%
IV Percentile81.1%76.6%86.5%85.3%79.0%
Term Structure-0.1%-4.1%4.1%-4.1%-1.0%
VWIV65.0%44.4%78.5%78.5%64.5%
Skew 25d11.4%7.7%19.0%10.1%15.5%
Skew 10d25.6%11.0%45.9%18.8%31.9%
Call IV 25d58.0%46.2%67.8%67.8%52.9%
Put IV 25d69.4%63.5%78.5%77.9%68.4%
Bid-Ask Spread %74.6554.1385.3954.2782.64
Gamma HHI0.270.180.350.180.29
Net GEX15.0K-4.0K40.8K5.8K33.2K
Net DEX48.0K-1.9M1.6M1.3M-968.1K
Net VEX-5.3K-7.7K-3.5K-3.5K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.0030.004.130.17
Total Volume156.31156615421
Total OI3,453.053,1063,9683,2883,968

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$21.19$20.0073.7%21.1%107.0%46.0%78.5%10.1%-4.1%5.8K1.3M-3.5K4.1354.27N/AN/A301242,0261,262
2020-05-04$21.36$40.0068.8%18.7%104.6%41.5%76.1%14.9%0.9%5.8K1.3M-3.5K30.0074.02N/AN/A103002,0481,325
2020-05-05$20.64$40.0077.3%19.0%98.9%49.1%44.4%8.6%2.5%-1.1K1.6M-4.6K5.9374.31N/AN/A271602,0551,591
2020-05-06$19.49$35.0077.2%19.1%100.3%49.1%73.1%10.8%1.2%-4.0K1.2M-4.3K0.1854.13N/AN/A154272,0811,354
2020-05-07$20.44$35.0073.7%18.6%98.9%45.9%53.9%13.4%0.3%-5721.1M-4.4K0.1165.02N/AN/A97112,0841,341
2020-05-08$21.58$30.0054.8%16.5%99.2%28.9%58.6%10.2%4.1%10.1K345.2K-4.4K1.7185.39N/AN/A7122,1711,063
2020-05-11$20.23$25.0076.3%17.9%99.0%48.3%64.7%8.6%1.7%3.8K335.0K-4.1K1.0381.48N/AN/A32332,169949
2020-05-12$19.56$25.0070.9%17.4%99.0%43.4%56.6%10.1%1.1%1.6K344.4K-4.0K0.1781.98N/AN/A485812,193913
2020-05-13$18.36$22.5071.4%20.5%99.0%43.9%69.4%9.6%-1.6%1.6K384.0K-4.5K2.8575.00N/AN/A20572,587952
2020-05-14$19.06$22.5070.5%20.2%97.9%43.1%71.0%10.8%-1.2%4.8K274.9K-4.8K0.3372.37N/AN/A177582,588968
2020-05-15$19.11$22.5068.9%19.8%91.3%41.6%70.3%9.0%-2.5%5.2K261.8K-5.0K0.1073.83N/AN/A1012,639983
2020-05-18$21.65$22.5060.0%17.2%99.8%33.6%60.7%7.7%-0.5%18.4K-284.0K-5.5K0.1775.68N/AN/A190322,363852
2020-05-19$20.77$20.0064.6%18.5%99.6%37.8%78.3%8.6%-1.4%15.9K-151.5K-5.5K0.0678.09N/AN/A5132,415851
2020-05-20$22.41$20.0060.4%17.3%102.4%33.9%66.5%10.6%-0.3%26.3K-586.7K-6.0K0.9078.28N/AN/A29262,464852
2020-05-21$21.77$20.0061.3%17.6%103.3%34.8%67.0%12.3%0.1%23.6K-431.9K-5.8K0.0974.56N/AN/A163152,473848
2020-05-22$22.32$20.0060.0%17.2%103.3%33.6%60.7%10.4%-0.5%31.4K-720.3K-6.5K0.0075.44N/AN/A5202,623863
2020-05-26$23.97$20.0056.6%16.2%98.3%30.6%58.9%16.7%0.5%40.8K-1.3M-6.6K0.7777.05N/AN/A1661272,690863
2020-05-27$25.76$20.0059.8%17.2%100.6%33.5%62.1%10.3%-0.0%40.5K-1.9M-7.1K3.1679.78N/AN/A642022,711984
2020-05-28$24.10$20.0059.5%17.1%94.6%33.2%65.8%19.0%-1.1%36.5K-1.2M-7.7K1.4879.68N/AN/A29432,7251,174
2020-05-29$23.42$20.0064.2%18.4%91.6%37.4%64.5%15.5%-1.0%33.2K-968.1K-7.7K0.1782.64N/AN/A1832,7411,227