CRS Options History — December 2020

In December 2020, CRS traded between $25.31 and $29.68. ATM implied volatility averaged 56.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 14.2% (HV 20d: 70.6%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2020-12-04: Highest Volume — 809 contracts
  • 2020-12-21: Largest IV spike — 10.8% change
  • 2020-12-21: Highest IV Rank — 30.4%
  • 2020-12-21: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.27$25.31$29.68$25.31$29.28
Max Pain$26.14$20.00$30.00$20.00$30.00
ATM IV56.5%53.8%61.9%55.0%54.0%
Expected Move16.1%15.4%17.7%15.8%15.5%
HV 20d70.6%57.6%89.1%82.6%57.6%
HV 60d67.0%64.7%68.1%65.6%66.7%
IV Rank25.5%22.6%30.4%24.4%22.7%
IV Percentile35.9%20.6%58.3%33.3%21.4%
Term Structure0.1%-2.9%3.6%-1.4%0.8%
VWIV55.3%36.1%59.1%55.5%54.0%
Skew 25d5.7%3.1%16.4%3.8%16.4%
Skew 10d16.0%6.9%28.2%10.6%27.9%
Call IV 25d54.8%43.0%57.8%55.7%43.0%
Put IV 25d60.4%57.3%62.1%59.5%59.4%
Bid-Ask Spread %60.0445.8372.7751.6671.90
Gamma HHI0.360.310.510.390.33
Net GEX94.3K46.4K174.1K88.4K57.2K
Net DEX-5.1M-7.3M-2.8M-4.2M-3.3M
Net VEX-13.6K-15.7K-12.3K-12.8K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0015.890.050.00
Total Volume146.95528093910
Total OI4,186.3183,0844,8393,9984,245

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$25.31$20.0055.0%15.8%82.6%24.4%55.5%3.8%-1.4%88.4K-4.2M-12.8K0.0551.66N/AN/A3723,256742
2020-12-02$26.86$20.0057.7%16.6%83.8%27.0%58.6%4.4%-0.8%89.4K-5.2M-13.2K0.0366.32N/AN/A3713,261743
2020-12-03$26.76$25.0056.3%15.9%82.7%25.6%51.5%5.9%1.1%90.8K-5.2M-13.1K0.0747.15N/AN/A9473,272744
2020-12-04$29.68$25.0055.5%15.6%87.2%24.9%55.7%4.7%1.2%84.9K-6.9M-13.3K0.0445.83N/AN/A777323,237739
2020-12-07$28.66$25.0057.9%16.4%89.1%27.1%57.5%4.0%-0.2%113.1K-6.6M-14.6K0.0949.06N/AN/A120113,859770
2020-12-08$28.97$25.0057.9%15.9%74.5%27.2%56.1%5.5%0.5%115.9K-6.7M-14.4K0.5749.70N/AN/A87503,902777
2020-12-09$28.27$25.0055.7%16.0%75.5%25.1%57.1%4.9%1.6%112.1K-6.3M-13.9K0.0354.48N/AN/A8833,905779
2020-12-10$28.65$25.0056.5%16.2%75.0%25.8%56.5%5.0%0.6%116.2K-6.6M-14.2K0.1555.52N/AN/A73113,942782
2020-12-11$28.18$25.0057.1%16.4%72.3%26.4%58.4%4.3%0.1%117.1K-6.4M-13.8K0.0049.99N/AN/A204,013773
2020-12-14$27.71$25.0056.7%16.3%66.9%26.1%59.1%4.6%-0.5%109.2K-6.0M-12.9K0.5446.60N/AN/A54294,016773
2020-12-15$29.50$25.0056.2%16.1%64.9%24.9%56.0%4.3%1.2%133.2K-7.2M-13.7K0.2063.63N/AN/A147294,012783
2020-12-16$29.61$25.0058.2%16.7%64.8%26.8%57.3%5.4%-2.3%142.1K-7.3M-13.9K0.4963.38N/AN/A49244,034773
2020-12-17$29.63$25.0054.7%15.7%64.2%23.4%54.4%6.2%0.5%174.1K-7.2M-13.8K0.3565.04N/AN/A113404,013796
2020-12-18$27.98$25.0055.8%16.0%66.1%24.5%57.0%3.1%0.8%68.0K-6.0M-12.9K0.5568.41N/AN/A115634,003836
2020-12-21$27.29$30.0061.9%17.7%66.7%30.4%59.1%4.9%-2.9%62.3K-2.8M-12.3K1.0663.44N/AN/A1081152,706378
2020-12-22$27.41$30.0061.1%17.5%65.3%29.6%57.7%3.7%-1.4%64.3K-2.9M-12.7K0.3270.21N/AN/A85272,796489
2020-12-23$28.59$30.0054.5%15.6%66.4%23.3%0.0%4.7%2.4%77.6K-3.5M-13.6K0.0066.62N/AN/A2202,851506
2020-12-24$28.70$30.0053.8%15.4%63.7%22.6%51.6%3.2%3.6%78.3K-3.5M-13.7K2.6765.77N/AN/A382,865506
2020-12-28$28.66$25.0056.2%16.1%63.6%24.9%57.0%4.7%-0.2%77.4K-3.5M-13.2K2.9872.77N/AN/A401192,867514
2020-12-29$27.78$30.0056.2%16.1%60.9%24.9%36.1%7.4%-2.0%57.0K-2.8M-13.6K15.8965.42N/AN/A284452,883830
2020-12-30$28.48$30.0053.8%15.4%60.4%22.6%55.1%13.3%-0.4%46.4K-2.8M-15.0K4.3367.97N/AN/A241042,9001,228
2020-12-31$29.28$30.0054.0%15.5%57.6%22.7%54.0%16.4%0.8%57.2K-3.3M-15.7K0.0071.90N/AN/A1002,9141,331