CRS Options History — February 2021

In February 2021, CRS traded between $31.08 and $44.36. ATM implied volatility averaged 57.1%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 9.3% (HV 20d: 47.8%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.56.

Notable Days

2021-02-22: Highest Volume — 214 contracts
2021-02-02: Largest IV drop — 9.5% change
2021-02-01: Highest IV Rank — 34.4%
2021-02-01: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.69	$31.08	$44.36	$31.08	$41.24
Max Pain	$26.58	$25.00	$35.00	$35.00	$25.00
ATM IV	57.1%	52.5%	66.7%	66.7%	60.6%
Expected Move	16.5%	15.1%	19.1%	19.1%	17.4%
HV 20d	47.8%	37.3%	65.3%	65.3%	52.5%
HV 60d	61.0%	56.6%	69.5%	69.5%	58.0%
IV Rank	22.5%	14.1%	34.4%	34.4%	17.4%
IV Percentile	28.6%	4.4%	65.5%	65.5%	49.2%
Term Structure	-0.3%	-2.7%	2.6%	-1.6%	-1.5%
VWIV	58.9%	54.7%	79.5%	79.5%	64.8%
Skew 25d	4.1%	1.8%	7.6%	7.6%	5.0%
Skew 10d	10.7%	3.1%	25.6%	14.8%	9.7%
Call IV 25d	57.1%	53.6%	65.5%	65.5%	59.7%
Put IV 25d	61.2%	55.8%	73.1%	73.1%	64.7%
Bid-Ask Spread %	80.86	66.46	89.26	66.46	81.72
Gamma HHI	0.25	0.22	0.37	0.22	0.22
Net GEX	46.4K	18.9K	60.0K	18.9K	59.8K
Net DEX	-4.8M	-7.3M	-2.6M	-2.6M	-6.3M
Net VEX	-9.7K	-10.8K	-8.2K	-10.8K	-9.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	4.43	4.43	0.25
Total Volume	84.053	5	214	114	85
Total OI	3,335.842	2,410	3,732	3,460	2,670

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
2021-02-01	$31.08	$35.00	66.7%	19.1%	65.3%	34.4%	79.5%	7.6%	-1.6%	18.9K	-2.6M	-10.8K	4.43	66.46	N/A	N/A	21	93	1,993	1,467
2021-02-02	$31.53	$35.00	60.4%	17.3%	63.2%	28.2%	61.0%	4.0%	2.4%	24.5K	-2.8M	-10.5K	1.63	70.52	N/A	N/A	30	49	1,988	1,498
2021-02-03	$31.53	$35.00	61.5%	17.6%	51.8%	29.3%	57.0%	5.5%	-0.8%	23.9K	-2.8M	-10.2K	0.00	86.68	N/A	N/A	103	0	1,992	1,522
2021-02-04	$32.86	$25.00	56.5%	16.3%	45.7%	24.4%	0.0%	2.8%	0.3%	38.5K	-3.4M	-10.6K	0.00	77.50	N/A	N/A	6	0	2,076	1,522
2021-02-05	$32.92	$25.00	54.6%	16.3%	45.4%	22.5%	59.8%	3.1%	0.1%	40.1K	-3.5M	-10.5K	0.03	73.84	N/A	N/A	36	1	2,081	1,522
2021-02-08	$34.12	$25.00	54.3%	16.2%	47.1%	22.2%	58.5%	2.6%	0.2%	46.9K	-3.9M	-10.0K	0.84	80.62	N/A	N/A	37	31	2,049	1,523
2021-02-09	$33.97	$25.00	53.0%	15.8%	46.4%	21.0%	59.1%	1.8%	0.1%	43.8K	-3.8M	-10.2K	0.47	78.74	N/A	N/A	90	42	2,053	1,552
2021-02-10	$34.43	$25.00	55.7%	16.0%	44.6%	23.6%	55.9%	3.9%	0.3%	46.2K	-4.0M	-10.1K	0.05	81.89	N/A	N/A	106	5	2,066	1,552
2021-02-11	$35.22	$25.00	54.9%	15.7%	45.2%	22.8%	54.7%	7.2%	1.9%	46.9K	-4.3M	-10.2K	0.04	79.24	N/A	N/A	24	1	2,078	1,547
2021-02-12	$35.82	$25.00	56.1%	16.1%	37.3%	24.0%	55.9%	3.8%	-0.3%	48.2K	-4.6M	-9.7K	1.03	83.48	N/A	N/A	65	67	2,078	1,548
2021-02-16	$37.62	$25.00	55.1%	15.8%	40.6%	23.1%	55.4%	4.2%	-0.4%	60.0K	-5.4M	-9.0K	0.17	79.98	N/A	N/A	64	11	2,088	1,611
2021-02-17	$37.64	$25.00	55.6%	15.9%	40.4%	23.5%	56.4%	2.7%	0.4%	56.9K	-5.5M	-9.2K	0.24	80.73	N/A	N/A	45	11	2,118	1,614
2021-02-18	$37.01	$25.00	56.6%	16.2%	40.9%	24.6%	0.0%	5.6%	-0.3%	49.7K	-5.2M	-8.9K	0.00	89.26	N/A	N/A	0	5	2,102	1,604
2021-02-19	$38.27	$25.00	52.5%	15.1%	40.3%	20.0%	55.9%	1.9%	2.6%	53.6K	-5.7M	-8.7K	0.00	87.29	N/A	N/A	54	0	2,102	1,599
2021-02-22	$41.76	$25.00	56.4%	16.2%	49.6%	22.2%	56.1%	5.5%	-2.2%	53.9K	-6.4M	-8.2K	0.24	81.64	N/A	N/A	173	41	1,909	501
2021-02-23	$42.37	$25.00	58.0%	16.6%	49.7%	14.5%	57.0%	3.8%	-1.9%	56.0K	-6.7M	-9.1K	0.28	83.97	N/A	N/A	96	27	1,993	542
2021-02-24	$44.36	$25.00	57.6%	16.5%	50.8%	14.1%	56.8%	2.5%	-2.3%	53.7K	-7.3M	-9.2K	0.13	85.25	N/A	N/A	78	10	2,018	564
2021-02-25	$43.27	$25.00	58.3%	16.7%	51.7%	14.8%	58.4%	4.4%	-2.7%	59.8K	-7.0M	-9.6K	0.27	87.47	N/A	N/A	71	19	2,073	566
2021-02-26	$41.24	$25.00	60.6%	17.4%	52.5%	17.4%	64.8%	5.0%	-1.5%	59.8K	-6.3M	-9.9K	0.25	81.72	N/A	N/A	68	17	2,089	581