CRS Options History — July 2020

In July 2020, CRS traded between $21.52 and $24.80. ATM implied volatility averaged 68.5%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 6.2% (HV 20d: 62.3%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 5.77.

Notable Days

  • 2020-07-06: Highest Volume — 548 contracts
  • 2020-07-13: Largest IV spike — 22.5% change
  • 2020-07-13: Highest IV Rank — 57.1%
  • 2020-07-16: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.97$21.52$24.80$23.97$22.26
Max Pain$24.89$22.50$25.00$25.00$25.00
ATM IV68.5%59.2%86.1%61.4%59.3%
Expected Move19.2%17.0%21.0%17.6%17.0%
HV 20d62.3%51.2%82.4%82.3%61.3%
HV 60d85.9%78.3%91.4%91.4%79.4%
IV Rank41.3%32.9%57.1%34.9%33.0%
IV Percentile72.7%59.1%89.7%69.8%59.1%
Term Structure-1.8%-4.8%6.6%4.2%-1.1%
VWIV70.4%58.5%87.7%71.5%66.2%
Skew 25d12.8%7.6%21.7%19.1%10.7%
Skew 10d33.4%16.6%54.8%29.1%22.4%
Call IV 25d59.8%49.0%68.2%53.3%56.0%
Put IV 25d72.7%66.7%77.8%72.4%66.7%
Bid-Ask Spread %61.3744.6777.1449.9069.66
Gamma HHI0.270.240.360.280.26
Net GEX-4.6K-14.8K21.9K2.9K-13.8K
Net DEX77.5K-569.7K793.1K-249.3K155.9K
Net VEX-8.0K-9.1K-7.0K-9.0K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.770.03107.001.441.05
Total Volume140.7731454883203
Total OI3,395.8642,7403,8513,3783,284

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$23.97$25.0061.4%17.6%82.3%34.9%71.5%19.1%4.2%2.9K-249.3K-9.0K1.4449.90N/AN/A34491,8501,528
2020-07-02$24.14$25.0059.2%17.0%82.4%32.9%59.8%17.1%6.6%3.5K-301.9K-9.1K0.1444.67N/AN/A4261,8561,574
2020-07-06$24.80$25.0068.6%19.1%75.2%41.4%68.4%10.8%-1.2%6.7K-569.7K-8.8K1.4753.46N/AN/A2223261,8481,571
2020-07-07$23.03$25.0071.5%19.4%78.7%44.0%76.9%8.1%-0.4%-3.9K220.1K-8.6K0.5955.58N/AN/A75441,8941,639
2020-07-08$22.22$25.0076.3%20.5%79.1%48.3%79.0%10.0%-1.5%-8.8K524.7K-8.4K0.1145.37N/AN/A4651,9491,689
2020-07-09$21.52$25.0073.7%20.3%75.9%46.0%71.0%10.2%-3.2%-14.8K793.1K-7.9K2.6249.51N/AN/A37971,9551,691
2020-07-10$22.53$25.0070.3%20.6%59.4%42.8%74.6%9.9%-4.2%-5.8K399.6K-8.4K3.8767.30N/AN/A451741,9621,720
2020-07-13$23.05$25.0086.1%20.9%55.0%57.1%82.2%9.6%-2.5%-725222.6K-8.5K0.4266.03N/AN/A72301,9861,810
2020-07-14$23.22$25.0077.6%20.5%54.8%49.5%74.4%10.4%-3.1%3.6K184.0K-8.2K0.9256.44N/AN/A12111,9921,840
2020-07-15$24.29$25.0068.5%19.6%52.9%41.3%75.3%10.6%-2.2%21.9K-355.0K-8.3K1.9063.81N/AN/A1472801,9971,839
2020-07-16$23.07$25.0073.2%21.0%55.7%45.5%67.7%11.5%-3.9%195311.0K-7.9K0.1766.61N/AN/A1222,0111,840
2020-07-17$22.67$25.0070.3%20.2%55.7%42.9%66.8%21.7%-4.2%-224429.1K-7.5K0.2867.88N/AN/A80222,0091,842
2020-07-20$21.89$25.0072.1%20.7%56.0%44.5%75.7%14.4%-3.0%-11.8K377.1K-7.0K1.0468.51N/AN/A78811,4671,273
2020-07-21$22.78$25.0064.9%18.6%58.3%38.1%64.0%9.6%-1.9%-11.4K108.4K-7.5K0.0566.58N/AN/A8841,5131,349
2020-07-22$22.49$25.0065.7%18.8%58.3%38.7%64.7%12.9%-2.6%-10.5K77.3K-7.6K0.1957.95N/AN/A78151,5921,352
2020-07-23$22.60$22.5064.1%18.4%54.8%37.3%63.2%14.3%-2.6%-9.0K-22.5K-7.6K1.4465.86N/AN/A45651,6621,367
2020-07-24$22.49$25.0065.5%18.8%54.8%38.5%87.7%13.3%-3.1%-10.6K25.5K-7.7K107.0058.91N/AN/A11071,6811,398
2020-07-27$22.71$25.0065.0%18.6%54.9%38.1%66.5%11.7%-2.4%-10.5K-38.1K-7.5K1.6777.14N/AN/A15251,6821,497
2020-07-28$22.19$25.0066.0%18.9%51.2%39.0%67.6%7.6%0.5%-13.0K147.1K-7.4K0.4174.69N/AN/A29121,6881,531
2020-07-29$23.75$25.0064.7%18.5%57.3%37.8%67.3%20.5%-2.6%-7.6K-389.3K-7.6K0.0352.57N/AN/A20771,7021,542
2020-07-30$23.75$25.0063.5%18.2%57.0%36.8%58.5%18.1%-4.8%-7.2K-344.2K-7.3K0.0571.77N/AN/A15981,6961,541
2020-07-31$22.26$25.0059.3%17.0%61.3%33.0%66.2%10.7%-1.1%-13.8K155.9K-7.1K1.0569.66N/AN/A991041,7381,546