CRS Options History — September 2020

In September 2020, CRS traded between $18.06 and $21.75. ATM implied volatility averaged 59.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 13.8% (HV 20d: 45.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2020-09-21: Highest Volume — 488 contracts
  • 2020-09-08: Largest IV spike — 18.5% change
  • 2020-09-08: Highest IV Rank — 40.6%
  • 2020-09-21: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.59$18.06$21.75$21.29$18.21
Max Pain$20.71$20.00$22.50$22.50$20.00
ATM IV59.1%54.2%67.8%54.2%59.7%
Expected Move16.9%15.5%18.6%15.5%17.1%
HV 20d45.3%38.7%51.7%41.7%49.5%
HV 60d51.8%49.1%60.4%60.4%49.1%
IV Rank32.8%28.4%40.6%28.4%33.3%
IV Percentile55.8%44.0%70.2%50.4%54.8%
Term Structure1.9%-1.4%5.5%-0.5%4.5%
VWIV57.0%48.5%73.2%54.5%48.5%
Skew 25d9.7%6.3%15.0%6.3%10.5%
Skew 10d19.8%-3.3%36.6%12.8%21.6%
Call IV 25d54.0%47.5%60.3%53.8%52.4%
Put IV 25d63.7%59.3%68.2%60.1%62.9%
Bid-Ask Spread %54.5626.0881.2860.6652.49
Gamma HHI0.440.250.860.330.38
Net GEX-37.0K-202.9K-1.7K-17.6K-3.1K
Net DEX342.6K-181.5K924.5K26.2K214.5K
Net VEX-4.6K-5.9K-3.6K-5.8K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.015.000.090.04
Total Volume127.333184886325
Total OI2,998.6191,7703,7613,4502,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$21.29$22.5054.2%15.5%41.7%28.4%54.5%6.3%-0.5%-17.6K26.2K-5.8K0.0960.66N/AN/A5851,9541,496
2020-09-02$21.47$22.5055.9%16.0%41.7%29.9%55.9%10.5%3.0%-14.0K-70.6K-5.9K0.5081.28N/AN/A1261,9611,493
2020-09-03$21.19$20.0065.2%18.4%41.6%38.3%52.2%12.5%-1.4%-17.1K48.3K-5.8K0.1565.87N/AN/A124191,9631,500
2020-09-04$21.75$20.0057.2%16.8%42.6%31.1%56.4%11.9%2.8%-10.0K-181.5K-5.9K0.0458.18N/AN/A12452,0121,502
2020-09-08$20.56$20.0067.8%18.2%43.7%40.6%58.7%6.3%0.4%-30.5K356.4K-5.2K0.1152.39N/AN/A154172,0131,501
2020-09-09$19.65$20.0060.4%17.3%45.6%34.0%57.0%6.3%1.5%-41.8K757.5K-4.7K0.3956.77N/AN/A3181232,0661,512
2020-09-10$19.29$22.5057.3%16.4%45.6%31.2%59.7%9.2%2.1%-51.2K910.4K-4.5K0.2862.13N/AN/A57162,0431,528
2020-09-11$19.27$22.5056.6%16.2%38.7%30.5%56.6%8.7%3.1%-51.7K924.5K-4.4K0.3670.52N/AN/A33122,0441,543
2020-09-14$20.10$22.5058.1%16.6%42.4%31.9%55.8%8.7%0.9%-64.9K543.0K-4.4K0.2179.88N/AN/A121252,0551,544
2020-09-15$20.20$22.5055.5%15.9%42.6%29.6%55.5%8.1%3.0%-72.2K415.0K-4.5K1.6467.47N/AN/A39642,1451,546
2020-09-16$20.34$20.0054.9%15.7%41.8%29.0%54.8%6.5%5.1%-80.0K283.8K-4.6K2.5766.63N/AN/A491262,1731,568
2020-09-17$19.69$20.0057.0%16.3%42.3%30.9%55.7%10.2%5.5%-92.9K750.7K-4.4K0.6865.15N/AN/A19132,1831,578
2020-09-18$19.99$20.0054.9%15.7%42.8%29.0%55.2%10.2%3.4%-202.9K595.1K-4.2K2.0059.48N/AN/A26522,1601,562
2020-09-21$18.35$20.0064.7%18.6%51.7%37.9%59.5%7.9%0.7%-6.1K296.5K-3.6K1.8740.66N/AN/A1703181,021749
2020-09-22$18.60$20.0061.8%17.7%50.1%35.3%58.3%9.6%0.0%-5.4K240.7K-4.0K0.0154.28N/AN/A10511,096810
2020-09-23$18.26$20.0062.5%17.9%49.5%35.9%58.3%12.7%0.0%-3.7K243.0K-4.2K0.0428.92N/AN/A2311,185811
2020-09-24$18.11$20.0060.9%17.5%48.6%34.5%58.6%12.4%2.7%-4.4K295.4K-4.0K0.0130.33N/AN/A14311,199812
2020-09-25$18.06$20.0060.3%17.3%48.1%33.9%57.7%8.6%0.7%-3.4K266.5K-4.0K0.1526.08N/AN/A4161,249813
2020-09-28$18.76$20.0054.6%15.7%49.7%28.8%54.6%15.0%2.7%-2.1K99.1K-4.2K0.0127.32N/AN/A17921,265818
2020-09-29$18.26$20.0060.9%17.4%49.9%34.4%73.2%10.5%-0.1%-1.7K179.5K-4.4K5.0039.19N/AN/A7351,410818
2020-09-30$18.21$20.0059.7%17.1%49.5%33.3%48.5%10.5%4.5%-3.1K214.5K-4.2K0.0452.49N/AN/A2411,417853