CRS Options History — April 2021

In April 2021, CRS traded between $37.54 and $42.65. ATM implied volatility averaged 54.6%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 1.9% (HV 20d: 52.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2021-04-13: Highest Volume — 1,821 contracts
  • 2021-04-12: Largest IV spike — 20.5% change
  • 2021-04-12: Highest IV Rank — 38.6%
  • 2021-04-05: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.97$37.54$42.65$41.38$37.54
Max Pain$42.14$40.00$45.00$40.00$40.00
ATM IV54.6%48.0%63.4%56.4%49.0%
Expected Move15.5%13.8%17.3%16.2%14.1%
HV 20d52.8%35.9%64.1%63.9%48.1%
HV 60d56.3%54.8%59.0%59.0%58.5%
IV Rank18.9%7.0%38.6%14.4%9.4%
IV Percentile19.9%1.2%68.7%29.0%1.6%
Term Structure-0.7%-3.8%2.5%2.5%-0.3%
VWIV54.8%50.2%60.8%55.1%50.2%
Skew 25d2.5%-0.1%4.3%4.3%1.0%
Skew 10d7.9%4.1%35.2%6.3%4.1%
Call IV 25d53.9%49.9%59.8%54.9%49.9%
Put IV 25d56.3%50.4%62.2%59.2%50.9%
Bid-Ask Spread %44.5227.4272.9039.6235.91
Gamma HHI0.390.270.560.390.27
Net GEX134.5K51.6K198.4K132.8K51.6K
Net DEX-4.9M-6.5M-1.8M-5.5M-1.8M
Net VEX-30.0K-35.0K-20.2K-20.2K-24.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.001.110.160.54
Total Volume282.381391,821308277
Total OI5,051.2863,6965,9403,6964,941

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$41.38$40.0056.4%16.2%63.9%14.4%55.1%4.3%2.5%132.8K-5.5M-20.2K0.1639.62N/AN/A265432,981715
2021-04-05$42.31$40.0063.4%17.3%64.1%25.4%58.9%2.4%-1.1%152.6K-6.3M-21.1K0.2144.75N/AN/A96203,148715
2021-04-06$42.00$40.0062.3%16.7%58.1%25.6%60.8%2.4%-0.7%148.3K-5.7M-32.4K0.1240.54N/AN/A90113,7481,317
2021-04-07$41.07$40.0056.0%16.3%58.5%20.1%58.3%2.6%-0.2%139.5K-4.8M-30.7K0.0338.84N/AN/A15653,7111,320
2021-04-08$41.60$40.0056.4%16.4%57.7%20.8%59.7%2.8%0.2%155.5K-5.3M-31.6K0.0139.23N/AN/A33743,8371,323
2021-04-09$41.05$40.0052.4%16.2%56.4%15.6%58.4%2.0%0.0%173.7K-5.5M-33.1K0.1630.78N/AN/A63104,1571,324
2021-04-12$41.32$40.0063.2%16.3%56.6%38.6%56.5%2.8%0.1%180.3K-5.7M-32.7K0.0633.64N/AN/A12884,1911,333
2021-04-13$40.85$40.0061.5%15.6%55.2%35.0%57.5%2.4%0.4%183.2K-5.2M-31.2K0.7342.69N/AN/A1,0557664,2061,334
2021-04-14$42.18$40.0054.2%15.5%56.4%19.3%54.9%-0.1%-2.4%198.4K-6.5M-33.5K0.3164.60N/AN/A206634,2911,347
2021-04-15$41.89$40.0053.2%15.2%56.0%17.1%53.2%3.0%0.2%163.6K-6.4M-35.0K1.1146.26N/AN/A64714,4761,406
2021-04-16$41.86$45.0051.7%14.8%52.7%13.9%52.0%3.0%0.6%149.1K-6.4M-35.0K0.0240.53N/AN/A5314,5031,437
2021-04-19$40.89$45.0053.5%15.3%53.3%17.9%53.5%2.8%-1.4%143.4K-5.1M-33.7K0.1235.61N/AN/A193243,9431,268
2021-04-20$39.00$45.0054.8%15.7%53.4%20.7%56.6%3.6%-2.2%120.4K-3.7M-31.1K0.2644.10N/AN/A126333,9781,290
2021-04-21$40.05$45.0052.8%15.1%49.0%16.3%53.5%2.8%-2.0%139.2K-4.3M-32.9K0.0349.83N/AN/A992264,0191,316
2021-04-22$39.18$45.0052.5%15.1%49.3%17.6%53.3%1.3%-2.2%84.8K-3.1M-27.9K0.0051.35N/AN/A6303,4201,321
2021-04-23$40.64$45.0050.3%14.4%48.5%12.7%50.7%1.2%-1.7%100.4K-3.9M-28.6K0.1832.48N/AN/A68123,4011,321
2021-04-26$41.82$45.0054.2%15.5%47.2%22.1%54.4%4.2%-3.8%108.1K-4.7M-30.1K0.0827.42N/AN/A7863,4001,333
2021-04-27$41.50$45.0050.9%14.6%43.3%14.0%50.2%3.5%-0.7%102.3K-4.3M-28.6K0.0854.42N/AN/A3633,3571,329
2021-04-28$42.65$45.0050.5%14.5%35.9%13.0%53.4%3.5%-0.4%117.4K-5.1M-29.6K0.6872.90N/AN/A2351593,3621,332
2021-04-29$39.65$40.0048.0%13.8%44.4%7.0%50.4%0.4%0.4%79.8K-3.0M-26.3K0.1469.45N/AN/A74103,4941,432
2021-04-30$37.54$40.0049.0%14.1%48.1%9.4%50.2%1.0%-0.3%51.6K-1.8M-24.0K0.5435.91N/AN/A180973,5091,432