CRS Options History — June 2020

In June 2020, CRS traded between $22.56 and $29.22. ATM implied volatility averaged 72.1%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 23.5% (HV 20d: 95.6%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.62.

Notable Days

  • 2020-06-04: Highest Volume — 1,107 contracts
  • 2020-06-08: Largest IV spike — 17.2% change
  • 2020-06-12: Highest IV Rank — 56.5%
  • 2020-06-12: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.16$22.56$29.22$23.89$24.39
Max Pain$24.43$20.00$25.00$20.00$25.00
ATM IV72.1%59.7%85.4%61.8%65.4%
Expected Move20.5%16.6%24.5%17.7%18.7%
HV 20d95.6%89.0%108.5%89.4%90.9%
HV 60d110.0%93.7%131.3%131.3%93.7%
IV Rank44.5%33.3%56.5%35.3%38.5%
IV Percentile81.5%73.0%89.7%78.2%73.0%
Term Structure-2.6%-10.7%2.8%0.4%2.8%
VWIV72.0%57.3%92.2%64.3%65.5%
Skew 25d14.0%8.3%27.4%17.6%23.4%
Skew 10d30.8%15.9%51.3%39.1%46.9%
Call IV 25d63.4%49.9%78.6%52.0%50.6%
Put IV 25d77.4%62.5%96.2%69.6%74.1%
Bid-Ask Spread %67.5528.2787.2775.4328.27
Gamma HHI0.310.260.550.300.31
Net GEX33.9K3.4K60.4K35.8K12.6K
Net DEX-1.6M-3.9M-128.5K-1.1M-545.6K
Net VEX-8.5K-9.4K-7.6K-7.7K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.034.160.032.72
Total Volume198241,107312201
Total OI4,171.3642,7045,0093,9903,278

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$23.89$20.0061.8%17.7%89.4%35.3%64.3%17.6%0.4%35.8K-1.1M-7.7K0.0375.43N/AN/A30392,7601,230
2020-06-02$24.14$20.0061.8%17.7%89.4%35.2%62.5%18.3%-1.1%48.1K-1.5M-8.1K1.3834.89N/AN/A40552,9591,236
2020-06-03$26.79$22.5062.4%17.9%94.4%35.8%57.3%10.2%-1.2%45.7K-2.6M-8.1K0.9378.09N/AN/A58542,9841,308
2020-06-04$26.65$25.0065.4%18.0%91.0%38.5%63.5%10.7%0.3%55.2K-2.6M-8.6K1.2571.87N/AN/A4916163,1761,347
2020-06-05$29.22$25.0059.7%16.6%94.4%33.3%59.8%10.6%1.7%60.4K-3.9M-8.2K0.4577.88N/AN/A172783,2581,348
2020-06-08$28.72$25.0069.9%17.9%94.2%42.5%61.7%8.3%0.9%54.0K-3.5M-8.1K0.5073.62N/AN/A143713,1961,383
2020-06-09$28.10$25.0069.8%18.6%90.6%42.4%68.2%9.6%-0.0%56.8K-3.2M-8.9K2.9070.49N/AN/A21613,2931,442
2020-06-10$26.06$25.0071.1%20.4%94.7%43.6%73.4%11.2%-6.8%50.6K-2.2M-8.9K0.3171.91N/AN/A183573,2851,498
2020-06-11$22.56$25.0082.5%23.7%107.1%53.9%70.5%14.5%-5.1%31.2K-526.5K-8.8K0.5671.66N/AN/A166933,3241,536
2020-06-12$24.08$25.0085.4%24.5%108.5%56.5%83.9%17.6%-10.7%39.6K-1.2M-9.4K1.4063.12N/AN/A10143,3271,577
2020-06-15$24.38$25.0084.3%24.2%108.4%55.5%92.2%16.5%-7.8%48.4K-1.5M-8.7K4.1653.66N/AN/A321333,3271,561
2020-06-16$25.86$25.0079.6%22.8%101.6%51.3%83.1%10.2%-4.5%49.0K-2.3M-8.4K2.8374.42N/AN/A29823,3331,594
2020-06-17$25.74$25.0078.8%22.6%100.1%50.5%74.2%12.6%-5.6%47.8K-2.3M-8.3K1.6276.15N/AN/A13213,3521,596
2020-06-18$25.28$25.0074.7%21.4%97.5%46.8%69.4%11.0%-5.0%59.1K-2.1M-8.2K0.1774.67N/AN/A69123,3631,617
2020-06-19$24.55$25.0069.2%19.8%97.5%41.9%79.4%9.0%-1.4%10.1K-1.4M-7.7K3.8467.29N/AN/A19733,3931,616
2020-06-22$24.60$25.0071.3%20.4%97.2%43.7%71.6%12.0%0.1%10.1K-544.3K-7.6K3.5663.28N/AN/A321141,5671,137
2020-06-23$24.60$25.0065.8%18.9%94.0%38.8%62.1%13.3%2.6%9.2K-467.4K-7.9K1.0162.24N/AN/A2692721,5961,251
2020-06-24$23.20$25.0075.5%21.6%92.4%47.6%86.7%23.0%-1.7%5.0K-169.9K-8.7K1.4687.27N/AN/A52761,7781,307
2020-06-25$23.22$25.0073.7%21.1%89.5%45.9%76.9%9.9%-4.1%4.3K-170.0K-8.9K3.8674.01N/AN/A7271,7911,380
2020-06-26$23.05$25.0084.3%24.2%89.0%55.5%82.1%27.4%-9.8%3.4K-128.5K-9.0K0.6270.54N/AN/A50311,7971,396
2020-06-29$24.36$25.0073.9%21.2%90.9%46.1%75.1%12.0%-1.9%9.1K-563.3K-9.3K0.0465.35N/AN/A4521,8471,426
2020-06-30$24.39$25.0065.4%18.7%90.9%38.5%65.5%23.4%2.8%12.6K-545.6K-9.1K2.7228.27N/AN/A541471,8541,424