CRS Options History — November 2020

In November 2020, CRS traded between $17.93 and $27.22. ATM implied volatility averaged 57.9%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 18.1% (HV 20d: 76.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.22.

Notable Days

  • 2020-11-13: Highest Volume — 1,906 contracts
  • 2020-11-04: Largest IV drop — 14.2% change
  • 2020-11-03: Highest IV Rank — 46.3%
  • 2020-11-03: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.03$17.93$27.22$17.93$24.44
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV57.9%52.8%74.1%74.0%55.7%
Expected Move16.4%15.1%21.2%21.2%16.0%
HV 20d76.0%54.3%87.6%55.6%82.6%
HV 60d58.8%48.3%65.5%49.2%65.5%
IV Rank28.8%22.2%46.3%46.2%25.0%
IV Percentile42.6%29.8%79.4%79.4%36.1%
Term Structure-1.0%-7.3%4.3%-6.9%-1.1%
VWIV57.4%49.0%84.0%84.0%57.3%
Skew 25d8.1%0.5%15.4%14.0%0.5%
Skew 10d18.9%5.4%33.9%31.1%5.4%
Call IV 25d53.2%45.9%66.7%65.8%59.3%
Put IV 25d61.3%55.2%79.8%79.8%59.9%
Bid-Ask Spread %58.9818.6181.3227.4062.22
Gamma HHI0.320.200.440.230.39
Net GEX55.2K8.8K95.7K8.8K83.8K
Net DEX-3.2M-6.0M-183.1K-215.9K-3.7M
Net VEX-10.3K-16.4K-5.4K-5.8K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.250.111.25
Total Volume294.3201,9062036
Total OI3,777.452,9355,1222,9353,981

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$17.93$20.0074.0%21.2%55.6%46.2%84.0%14.0%-6.9%8.8K-215.9K-5.8K0.1127.40N/AN/A1821,8401,095
2020-11-03$18.46$20.0074.1%21.2%54.6%46.3%68.7%10.1%-7.3%11.4K-389.5K-5.9K0.0481.32N/AN/A11041,8401,095
2020-11-04$18.00$20.0063.6%18.2%54.3%36.9%58.7%11.2%-2.6%11.3K-183.1K-5.4K0.0075.70N/AN/A16301,8891,096
2020-11-05$18.99$20.0057.3%15.8%57.6%31.2%60.1%10.1%0.9%18.5K-681.2K-6.1K0.3059.22N/AN/A290861,9861,096
2020-11-06$18.92$20.0055.1%15.8%57.6%29.2%64.4%8.1%0.4%18.4K-724.5K-6.3K0.0663.22N/AN/A8152,0511,143
2020-11-09$22.02$20.0059.5%15.8%78.9%33.2%55.0%9.2%-0.3%26.6K-2.1M-6.6K0.1356.98N/AN/A474602,0321,146
2020-11-10$22.62$20.0059.4%15.8%77.2%32.7%55.1%14.2%0.4%25.2K-2.2M-6.2K0.1118.61N/AN/A186211,9501,105
2020-11-11$22.34$20.0053.9%15.5%77.6%27.8%52.4%9.7%-0.0%32.9K-2.2M-6.3K0.2154.25N/AN/A116242,0871,094
2020-11-12$21.27$20.0053.1%15.2%80.2%22.6%53.1%9.6%-0.7%33.6K-1.7M-6.2K0.2956.37N/AN/A45132,1121,092
2020-11-13$23.30$20.0057.8%16.6%85.4%27.1%53.9%15.4%0.1%34.7K-2.7M-6.5K0.0370.58N/AN/A1,843632,1331,101
2020-11-16$25.21$20.0055.1%15.8%87.6%24.5%55.2%6.0%1.0%82.7K-5.2M-13.9K0.2068.33N/AN/A5551093,4721,152
2020-11-17$25.10$20.0052.8%15.1%86.1%22.2%53.3%5.4%4.3%92.0K-5.4M-16.4K1.2252.55N/AN/A63773,8791,243
2020-11-18$25.94$20.0054.3%15.6%84.9%23.7%54.4%4.2%2.1%95.7K-6.0M-16.1K0.0567.71N/AN/A238133,8631,194
2020-11-19$24.94$20.0056.1%16.1%86.8%25.4%55.5%6.1%-3.9%95.6K-5.1M-15.2K0.0871.82N/AN/A10183,7821,194
2020-11-20$25.51$20.0054.7%15.7%86.7%24.1%53.6%6.4%-1.6%85.7K-5.5M-15.3K0.0351.00N/AN/A10333,7521,193
2020-11-23$26.53$20.0054.6%15.7%84.7%24.0%53.8%4.2%-0.4%90.4K-5.3M-15.0K0.1674.92N/AN/A488773,401691
2020-11-24$27.22$20.0055.3%15.9%83.6%24.7%49.0%6.2%-0.1%82.2K-5.4M-13.7K0.0040.45N/AN/A29203,139718
2020-11-25$25.94$20.0055.3%15.8%79.0%24.7%54.2%7.2%-2.3%86.2K-4.6M-13.6K0.0868.31N/AN/A6353,218718
2020-11-27$25.87$20.0056.0%16.1%78.1%25.4%55.6%4.8%-1.4%88.4K-4.6M-13.5K0.0058.73N/AN/A5103,253723
2020-11-30$24.44$20.0055.7%16.0%82.6%25.0%57.3%0.5%-1.1%83.8K-3.7M-12.6K1.2562.22N/AN/A16203,258723