CRS Options History — March 2021

In March 2021, CRS traded between $37.38 and $47.24. ATM implied volatility averaged 57.1%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 7.0% (HV 20d: 64.1%). Max pain ranged from $25.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.76.

Notable Days

  • 2021-03-30: Highest Volume — 2,382 contracts
  • 2021-03-04: Largest IV spike — 11.4% change
  • 2021-03-31: Highest IV Rank — 20.3%
  • 2021-03-31: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.54$37.38$47.24$44.14$41.25
Max Pain$41.96$25.00$45.00$25.00$40.00
ATM IV57.1%52.3%62.1%57.0%61.0%
Expected Move16.2%15.0%17.5%16.3%17.5%
HV 20d64.1%51.1%69.8%51.1%68.2%
HV 60d59.1%56.9%63.0%59.0%62.3%
IV Rank14.1%9.1%20.3%13.4%20.3%
IV Percentile29.3%2.4%57.9%28.6%57.9%
Term Structure-0.1%-3.5%2.9%-2.2%-0.1%
VWIV57.4%53.2%63.9%56.9%61.2%
Skew 25d4.1%2.5%6.0%3.6%3.4%
Skew 10d10.8%4.6%23.9%11.6%8.1%
Call IV 25d55.7%51.9%60.7%57.1%60.6%
Put IV 25d59.8%57.0%64.0%60.6%64.0%
Bid-Ask Spread %56.2030.6285.7885.7876.70
Gamma HHI0.220.170.340.220.34
Net GEX51.1K24.5K118.8K59.9K118.8K
Net DEX-5.6M-8.1M-1.9M-7.3M-5.2M
Net VEX-10.1K-18.7K-9.0K-9.5K-18.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.003.810.020.07
Total Volume210.652112,38244604
Total OI2,568.6961,7053,4472,6853,447

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$44.14$25.0057.0%16.3%51.1%13.4%56.9%3.6%-2.2%59.9K-7.3M-9.5K0.0285.78N/AN/A4312,092593
2021-03-02$42.48$25.0060.1%17.2%54.1%16.8%57.0%4.3%-3.5%63.7K-6.8M-9.7K0.3785.33N/AN/A52192,124594
2021-03-03$43.60$25.0055.7%16.0%54.2%11.9%0.0%4.1%-1.4%63.0K-7.1M-9.8K0.3885.15N/AN/A832,130613
2021-03-04$40.78$40.0062.1%17.0%61.6%19.1%57.3%5.5%-2.2%62.5K-6.1M-9.9K3.8159.59N/AN/A21802,135614
2021-03-05$41.51$45.0060.1%16.8%60.7%16.9%63.9%4.9%-2.7%62.5K-6.3M-10.2K0.7058.20N/AN/A30212,150677
2021-03-08$44.67$45.0061.4%16.2%64.4%18.4%58.6%2.6%0.2%59.6K-7.4M-10.1K0.1650.47N/AN/A3762,160696
2021-03-09$44.73$45.0060.3%15.7%64.1%17.1%56.0%2.5%0.1%58.9K-7.5M-10.1K0.4150.25N/AN/A1772,168733
2021-03-10$45.94$45.0055.4%15.9%63.9%11.5%54.2%4.3%1.1%57.4K-7.6M-9.6K0.0052.33N/AN/A1302,095735
2021-03-11$47.24$45.0056.8%16.3%64.0%13.2%57.3%4.7%-1.4%53.3K-8.1M-9.4K0.1253.58N/AN/A143172,100735
2021-03-12$46.87$45.0055.7%16.0%64.5%11.9%58.2%3.1%0.7%66.0K-8.1M-9.8K0.0855.46N/AN/A6052,181750
2021-03-15$45.03$45.0057.9%16.6%67.3%14.4%59.0%2.7%-1.0%67.3K-7.3M-9.6K0.9254.40N/AN/A26242,180755
2021-03-16$44.12$45.0054.0%15.5%66.7%10.0%55.5%3.4%1.0%65.3K-6.9M-9.6K1.8345.98N/AN/A30552,196755
2021-03-17$44.81$45.0056.0%16.0%66.7%12.2%56.4%4.2%0.3%63.3K-7.3M-9.5K1.5856.80N/AN/A19302,189708
2021-03-18$42.45$45.0058.0%16.6%69.8%14.5%56.2%5.6%1.9%47.6K-6.3M-9.4K1.5734.73N/AN/A1372152,190738
2021-03-19$42.46$45.0054.1%15.5%69.1%11.5%58.7%3.7%1.2%25.1K-6.3M-9.2K2.2132.37N/AN/A1162562,199749
2021-03-22$40.51$45.0052.8%15.1%64.2%9.7%53.2%4.1%2.2%24.7K-2.6M-9.3K1.1836.61N/AN/A38451,225480
2021-03-23$38.03$45.0052.3%15.0%67.5%9.1%54.3%5.5%2.9%24.6K-2.0M-9.0K0.2130.62N/AN/A58121,241518
2021-03-24$37.38$45.0055.5%15.9%64.8%13.2%55.3%4.6%0.1%24.7K-1.9M-9.1K0.2340.19N/AN/A2661,276530
2021-03-25$39.08$45.0054.7%15.7%67.1%12.2%55.4%4.6%0.4%24.5K-2.4M-9.8K0.0635.84N/AN/A6641,288536
2021-03-26$40.79$45.0055.6%16.0%67.1%13.4%0.0%6.0%0.3%26.0K-2.9M-10.3K0.0376.51N/AN/A6521,341540
2021-03-29$38.80$45.0056.3%16.2%64.2%14.3%59.7%4.8%0.7%29.0K-2.5M-10.3K1.4259.39N/AN/A19271,402542
2021-03-30$41.75$45.0060.8%17.4%68.9%20.0%60.5%3.2%-0.1%27.5K-3.3M-10.8K0.0776.24N/AN/A2,2291531,413567
2021-03-31$41.25$40.0061.0%17.5%68.2%20.3%61.2%3.4%-0.1%118.8K-5.2M-18.7K0.0776.70N/AN/A566382,762685