CRS Options History — October 2020

In October 2020, CRS traded between $16.22 and $19.19. ATM implied volatility averaged 58.4%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 12.0% (HV 20d: 46.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2020-10-22: Highest Volume — 575 contracts
  • 2020-10-28: Largest IV spike — 23.6% change
  • 2020-10-30: Highest IV Rank — 47.0%
  • 2020-10-30: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.19$16.22$19.19$18.23$17.28
Max Pain$19.77$17.50$20.00$20.00$20.00
ATM IV58.4%45.2%74.8%58.7%74.8%
Expected Move17.4%15.3%21.5%16.8%21.5%
HV 20d46.4%35.8%55.9%49.3%53.9%
HV 60d47.1%44.0%49.0%48.7%48.6%
IV Rank32.2%20.3%47.0%32.5%47.0%
IV Percentile52.4%36.1%80.2%52.0%80.2%
Term Structure-1.8%-9.1%3.6%3.6%-9.0%
VWIV59.1%50.9%77.9%51.9%77.9%
Skew 25d10.4%7.3%14.4%9.6%10.7%
Skew 10d25.8%9.7%42.0%17.4%42.0%
Call IV 25d55.4%46.1%70.5%51.5%70.5%
Put IV 25d65.8%60.5%81.2%61.1%81.2%
Bid-Ask Spread %62.1218.1480.7251.9855.40
Gamma HHI0.290.200.470.380.21
Net GEX4.5K-9.3K16.4K-3.4K6.4K
Net DEX-7.9K-311.2K263.4K210.3K-44.1K
Net VEX-4.4K-6.2K-3.7K-4.2K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.007.330.260.04
Total Volume136.364185753496
Total OI2,438.7271,8683,0142,2762,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$18.23$20.0058.7%16.8%49.3%32.5%51.9%9.6%3.6%-3.4K210.3K-4.2K0.2651.98N/AN/A2771,423853
2020-10-02$18.92$20.0053.5%15.3%51.8%27.8%55.0%11.7%2.0%81-17.4K-4.6K0.0253.45N/AN/A4511,440852
2020-10-05$19.19$20.0051.7%16.4%51.0%26.2%55.0%10.1%1.7%1.8K-101.9K-4.5K0.5961.60N/AN/A17101,471852
2020-10-06$18.37$20.0058.1%18.2%49.5%31.9%57.6%11.0%-1.7%-3.3K169.8K-4.0K0.0463.48N/AN/A2411,475852
2020-10-07$18.89$20.0053.9%16.1%48.6%28.1%62.6%11.7%0.0%-19825.5K-4.1K0.0458.50N/AN/A7531,478852
2020-10-08$19.10$20.0046.5%15.9%48.4%21.5%58.6%11.5%-0.5%2.1K-97.3K-4.2K0.6452.71N/AN/A1171,518855
2020-10-09$18.98$20.0045.2%16.0%48.4%20.3%55.5%8.7%1.1%947-46.0K-4.0K7.3369.40N/AN/A3221,524856
2020-10-12$19.05$20.0046.9%15.8%45.7%21.8%55.5%9.5%-1.1%386-32.8K-3.8K0.2364.27N/AN/A2661,526874
2020-10-13$18.30$20.0052.2%17.4%47.5%26.6%54.9%9.3%-2.9%-9.3K263.4K-3.7K2.6171.45N/AN/A28731,529960
2020-10-14$18.61$20.0059.8%17.1%48.0%33.5%0.0%8.5%-2.4%-8.3K149.3K-3.9K0.0062.66N/AN/A6701,5281,005
2020-10-15$18.52$20.0061.9%17.7%46.8%35.3%57.0%12.4%-2.3%446145.8K-3.7K1.2764.95N/AN/A30381,5951,005
2020-10-16$18.50$20.0059.9%17.2%46.3%33.5%55.9%10.7%-2.0%9.0K112.2K-3.7K0.6072.83N/AN/A70421,6021,007
2020-10-19$18.09$20.0062.5%17.9%35.8%35.9%57.7%7.3%-4.6%9.3K-121.8K-3.8K0.0666.92N/AN/A216131,301567
2020-10-20$17.52$20.0061.9%17.7%37.0%35.3%60.9%8.6%-3.7%12.2K-58.7K-3.9K0.1659.42N/AN/A116181,439574
2020-10-21$17.13$20.0060.3%17.3%37.2%33.9%60.4%9.1%-1.9%11.3K8.8K-3.7K0.0144.83N/AN/A28821,444590
2020-10-22$17.99$20.0059.6%17.1%41.5%33.3%50.9%10.3%-0.9%15.4K-245.1K-4.7K1.8579.25N/AN/A2023731,585592
2020-10-23$18.55$20.0056.6%16.2%42.9%30.6%61.0%14.4%-1.8%16.4K-311.2K-5.4K0.6275.39N/AN/A2631641,670820
2020-10-26$17.88$17.5059.6%17.1%42.6%33.2%55.0%9.3%0.5%12.0K-196.6K-5.5K0.3565.05N/AN/A2381,720978
2020-10-27$17.59$17.5059.8%17.1%42.0%33.4%58.8%9.0%-0.1%11.2K-107.0K-5.3K0.1018.14N/AN/A106111,728982
2020-10-28$16.22$20.0073.9%21.2%50.5%46.1%70.2%11.1%-9.1%6.3K189.7K-5.0K1.0180.72N/AN/A1471491,773988
2020-10-29$17.25$20.0068.0%19.5%55.9%40.8%68.0%13.3%-3.7%7.5K-69.7K-6.2K0.1374.34N/AN/A152201,9181,096
2020-10-30$17.28$20.0074.8%21.5%53.9%47.0%77.9%10.7%-9.0%6.4K-44.1K-5.9K0.0455.40N/AN/A9241,8551,100