CRS Options History — January 2021

In January 2021, CRS traded between $28.09 and $36.35. ATM implied volatility averaged 61.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 1.8% (HV 20d: 63.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.22.

Notable Days

2021-01-14: Highest Volume — 420 contracts
2021-01-11: Largest IV spike — 22.1% change
2021-01-29: Highest IV Rank — 36.1%
2021-01-29: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.78	$28.09	$36.35	$28.09	$31.33
Max Pain	$33.16	$30.00	$35.00	$35.00	$35.00
ATM IV	61.2%	54.8%	68.4%	62.5%	68.4%
Expected Move	17.1%	16.1%	19.6%	16.3%	19.6%
HV 20d	63.0%	59.6%	65.8%	59.9%	65.7%
HV 60d	70.6%	67.4%	72.3%	67.4%	69.6%
IV Rank	29.3%	23.5%	36.1%	31.0%	36.1%
IV Percentile	50.0%	23.4%	68.7%	59.1%	68.7%
Term Structure	-1.0%	-2.6%	1.0%	-0.8%	-1.9%
VWIV	61.1%	56.1%	76.7%	65.1%	76.7%
Skew 25d	5.3%	3.7%	7.3%	4.0%	6.3%
Skew 10d	13.0%	8.5%	33.9%	9.1%	8.5%
Call IV 25d	58.8%	55.3%	70.9%	56.9%	67.3%
Put IV 25d	64.1%	60.5%	74.7%	60.9%	73.6%
Bid-Ask Spread %	62.11	41.67	74.52	41.67	70.16
Gamma HHI	0.37	0.23	0.68	0.32	0.23
Net GEX	81.2K	19.3K	185.5K	37.1K	19.3K
Net DEX	-5.4M	-8.7M	-2.5M	-2.5M	-3.1M
Net VEX	-13.2K	-15.8K	-9.8K	-15.0K	-11.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.00	15.40	0.48	1.32
Total Volume	139.474	14	420	68	186
Total OI	4,024.263	3,402	4,543	4,250	3,519

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$28.09	$35.00	62.5%	16.3%	59.9%	31.0%	65.1%	4.0%	-0.8%	37.1K	-2.5M	-15.0K	0.48	41.67	N/A	N/A	46	22	2,919	1,331
2021-01-05	$31.12	$35.00	62.7%	16.6%	59.6%	31.2%	57.5%	6.3%	-1.4%	89.2K	-4.4M	-15.3K	0.37	49.10	N/A	N/A	135	50	2,921	1,353
2021-01-06	$33.67	$30.00	59.8%	16.5%	63.7%	28.4%	59.4%	5.3%	-0.6%	130.4K	-6.3M	-15.5K	0.04	57.53	N/A	N/A	361	16	3,014	1,387
2021-01-07	$33.14	$30.00	55.5%	16.1%	64.2%	24.2%	56.4%	5.1%	0.5%	135.3K	-5.9M	-15.8K	0.05	59.09	N/A	N/A	40	2	3,103	1,386
2021-01-08	$33.02	$30.00	54.8%	16.1%	63.3%	23.5%	56.2%	5.1%	-0.3%	136.9K	-5.8M	-15.6K	0.65	61.09	N/A	N/A	23	15	3,114	1,387
2021-01-11	$32.33	$30.00	66.8%	17.3%	64.1%	35.2%	62.2%	4.4%	-2.6%	117.1K	-5.3M	-15.0K	1.85	57.76	N/A	N/A	27	50	3,128	1,394
2021-01-12	$33.63	$30.00	67.5%	16.2%	64.5%	35.8%	58.0%	3.9%	0.2%	160.4K	-6.2M	-15.0K	0.27	59.11	N/A	N/A	142	39	3,147	1,396
2021-01-13	$33.73	$30.00	56.0%	16.1%	63.9%	24.7%	56.1%	5.2%	1.0%	166.7K	-6.2M	-14.1K	0.04	62.01	N/A	N/A	23	1	3,131	1,385
2021-01-14	$36.28	$30.00	58.9%	16.9%	65.1%	26.7%	57.5%	7.3%	-1.3%	185.5K	-8.7M	-13.3K	0.13	63.02	N/A	N/A	372	48	3,143	1,386
2021-01-15	$35.65	$35.00	58.6%	16.8%	65.8%	26.5%	59.0%	6.7%	-0.2%	45.7K	-8.5M	-13.1K	15.40	64.03	N/A	N/A	5	77	3,100	1,434
2021-01-19	$36.18	$35.00	59.4%	17.0%	65.8%	27.2%	58.9%	4.3%	-0.8%	41.5K	-5.7M	-12.9K	0.26	69.35	N/A	N/A	81	21	2,260	1,329
2021-01-20	$36.35	$35.00	59.9%	17.2%	60.9%	27.8%	59.4%	4.6%	-2.0%	46.5K	-5.8M	-12.7K	0.19	70.53	N/A	N/A	52	10	2,309	1,347
2021-01-21	$35.14	$35.00	59.4%	17.0%	61.7%	27.2%	59.8%	5.7%	-0.8%	46.8K	-5.4M	-13.0K	0.75	62.03	N/A	N/A	8	6	2,346	1,353
2021-01-22	$34.92	$35.00	59.2%	17.0%	62.0%	27.0%	59.2%	5.0%	-0.8%	46.0K	-5.3M	-13.0K	0.00	62.82	N/A	N/A	411	1	2,358	1,353
2021-01-25	$35.11	$35.00	61.8%	17.7%	61.0%	29.6%	63.1%	4.6%	-2.5%	37.6K	-4.7M	-10.0K	0.48	62.79	N/A	N/A	23	11	2,049	1,353
2021-01-26	$34.83	$35.00	61.8%	17.7%	61.3%	29.6%	64.8%	5.9%	-1.7%	38.7K	-4.6M	-9.8K	0.00	66.43	N/A	N/A	67	0	2,063	1,354
2021-01-27	$34.32	$35.00	67.8%	19.4%	61.8%	35.5%	69.6%	3.7%	-1.9%	32.1K	-4.3M	-10.7K	0.10	74.52	N/A	N/A	164	16	2,085	1,354
2021-01-28	$32.90	$35.00	62.2%	17.8%	62.9%	30.0%	62.7%	7.2%	-1.4%	29.7K	-3.9M	-10.4K	0.87	67.10	N/A	N/A	53	46	2,111	1,359
2021-01-29	$31.33	$35.00	68.4%	19.6%	65.7%	36.1%	76.7%	6.3%	-1.9%	19.3K	-3.1M	-11.0K	1.32	70.16	N/A	N/A	80	106	2,125	1,394