CRS Options History — August 2020

In August 2020, CRS traded between $20.56 and $24.57. ATM implied volatility averaged 56.8%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 4.9% (HV 20d: 51.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2020-08-21: Highest Volume — 264 contracts
  • 2020-08-31: Largest IV spike — 11.0% change
  • 2020-08-07: Highest IV Rank — 35.7%
  • 2020-08-03: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.28$20.56$24.57$23.21$21.11
Max Pain$22.86$22.50$25.00$25.00$22.50
ATM IV56.8%51.8%62.4%60.7%58.8%
Expected Move16.2%14.8%17.4%17.4%16.9%
HV 20d51.9%41.5%62.5%62.5%41.5%
HV 60d70.8%60.4%79.2%79.2%60.4%
IV Rank30.8%26.2%35.7%34.3%32.6%
IV Percentile55.4%50.0%63.1%61.5%56.3%
Term Structure1.4%-1.6%5.9%-1.1%-1.6%
VWIV56.5%49.6%63.8%60.6%63.8%
Skew 25d8.7%3.6%19.0%6.9%10.1%
Skew 10d18.7%2.0%37.5%10.0%16.8%
Call IV 25d51.9%40.4%58.8%58.8%51.1%
Put IV 25d60.6%56.1%65.7%65.7%61.2%
Bid-Ask Spread %63.9833.5688.8063.1041.16
Gamma HHI0.320.250.510.250.34
Net GEX-12.6K-33.3K7.6K-9.0K-18.0K
Net DEX-26.7K-953.3K819.5K-208.6K79.2K
Net VEX-6.3K-7.4K-5.0K-7.3K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.058.300.060.54
Total Volume123.192726423297
Total OI3,524.813,1543,8173,3793,424

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$23.21$25.0060.7%17.4%62.5%34.3%60.6%6.9%-1.1%-9.0K-208.6K-7.3K0.0663.10N/AN/A219131,7641,615
2020-08-04$23.05$25.0060.2%17.3%56.7%33.8%58.2%9.4%-1.6%-5.8K-237.5K-7.4K0.0874.34N/AN/A7661,9191,616
2020-08-05$23.28$25.0059.9%17.2%55.2%33.5%56.6%10.9%-1.0%-5.0K-359.1K-7.3K0.0565.03N/AN/A3921,9161,616
2020-08-06$23.40$22.5059.2%16.9%53.7%32.9%0.0%6.5%3.9%-2.5K-416.8K-7.2K0.1336.12N/AN/A2431,9181,614
2020-08-07$23.73$22.5062.4%16.3%51.5%35.7%55.6%5.0%5.9%-547-569.8K-7.2K0.2776.62N/AN/A2261,9241,613
2020-08-10$24.57$22.5057.2%16.3%52.3%31.1%57.0%6.3%3.5%7.6K-953.3K-6.9K0.0766.11N/AN/A176131,9211,615
2020-08-11$24.39$22.5057.1%16.2%52.4%31.1%52.5%6.9%1.5%7.4K-866.7K-6.8K0.9559.52N/AN/A57541,9231,619
2020-08-12$23.95$22.5054.9%15.7%50.4%29.0%56.5%19.0%2.8%3.2K-657.9K-6.7K0.1588.80N/AN/A2641,9571,644
2020-08-13$22.21$22.5058.7%16.8%54.1%32.4%59.0%8.3%2.0%-17.7K180.3K-6.3K1.0182.80N/AN/A90911,9751,649
2020-08-14$22.27$22.5057.5%16.5%53.8%31.4%61.0%9.6%4.4%-19.1K146.6K-6.2K3.4281.75N/AN/A311061,9841,652
2020-08-17$22.19$22.5055.4%15.9%52.3%29.4%58.5%6.5%2.9%-25.2K193.2K-6.0K1.3453.72N/AN/A901211,9991,702
2020-08-18$21.56$22.5053.3%15.3%51.2%27.6%55.0%8.2%4.5%-33.3K529.1K-5.7K8.3050.86N/AN/A201661,9981,724
2020-08-19$21.01$22.5057.3%16.4%51.7%31.2%52.7%8.1%1.0%-28.2K768.4K-5.3K0.0977.26N/AN/A8171,9981,736
2020-08-20$21.01$22.5056.0%16.1%51.7%30.0%60.7%9.8%0.9%-26.4K745.5K-5.3K1.9433.56N/AN/A31602,0381,741
2020-08-21$20.56$22.5054.1%15.5%52.1%28.3%52.9%3.6%1.2%-17.7K819.5K-5.0K5.0080.36N/AN/A442202,0511,766
2020-08-24$21.28$22.5052.7%15.1%53.7%27.1%53.2%8.7%0.4%-16.4K208.6K-5.7K0.1066.24N/AN/A162171,7601,394
2020-08-25$21.61$22.5051.8%14.8%53.5%26.2%49.6%9.5%1.0%-11.9K-66.2K-5.9K0.0735.52N/AN/A8861,8301,373
2020-08-26$20.88$22.5056.4%16.2%48.0%30.4%58.2%8.6%-1.4%-17.3K139.3K-5.7K1.5758.33N/AN/A651021,8831,368
2020-08-27$21.10$22.5056.8%16.3%48.3%30.7%51.6%10.7%-1.2%-17.6K89.4K-6.1K0.6971.76N/AN/A62431,9291,446
2020-08-28$21.60$22.5053.0%15.2%44.0%27.3%56.3%9.5%0.9%-11.8K-123.9K-6.2K1.7680.64N/AN/A17301,9421,465
2020-08-31$21.11$22.5058.8%16.9%41.5%32.6%63.8%10.1%-1.6%-18.0K79.2K-5.8K0.5441.16N/AN/A63341,9601,464