CRS Options History — May 2021

In May 2021, CRS traded between $39.57 and $49.00. ATM implied volatility averaged 52.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 2.3% (HV 20d: 54.4%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2021-05-27: Highest Volume — 424 contracts
  • 2021-05-10: Largest IV spike — 12.2% change
  • 2021-05-12: Highest IV Rank — 30.3%
  • 2021-05-12: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.36$39.57$49.00$39.74$47.80
Max Pain$34.75$30.00$40.00$40.00$35.00
ATM IV52.0%46.4%57.6%50.1%46.4%
Expected Move14.8%13.3%16.5%14.4%13.3%
HV 20d54.4%51.7%58.9%52.1%51.7%
HV 60d57.7%55.0%60.0%59.0%55.2%
IV Rank16.7%3.1%30.3%12.1%3.1%
IV Percentile11.6%0.4%46.0%2.0%0.4%
Term Structure-0.2%-2.4%2.8%-0.7%0.3%
VWIV52.2%46.7%59.2%50.0%46.7%
Skew 25d3.0%1.0%4.3%3.8%3.0%
Skew 10d8.5%5.8%19.3%7.4%12.3%
Call IV 25d51.7%47.4%56.8%50.4%47.9%
Put IV 25d54.6%49.7%61.0%54.2%50.9%
Bid-Ask Spread %62.1814.4780.5837.9450.63
Gamma HHI0.280.230.340.300.23
Net GEX115.9K76.7K156.9K78.8K156.9K
Net DEX-4.7M-8.1M-2.9M-2.9M-7.3M
Net VEX-26.3K-27.1K-25.2K-25.5K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.007.250.660.08
Total Volume105.7134247839
Total OI4,626.24,1354,8904,8904,500

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$39.74$40.0050.1%14.4%52.1%12.1%50.0%3.8%-0.7%78.8K-2.9M-25.5K0.6637.94N/AN/A47313,4311,459
2021-05-04$39.57$40.0053.4%15.3%52.1%20.3%54.1%2.0%-1.8%76.7K-2.9M-25.7K0.0014.47N/AN/A6503,4211,458
2021-05-05$40.56$40.0052.3%15.0%52.4%17.4%52.8%3.4%-1.0%86.8K-3.5M-26.6K0.5077.96N/AN/A44223,4021,458
2021-05-06$41.11$30.0053.6%14.7%52.4%20.7%51.4%3.4%0.3%94.7K-3.8M-26.5K0.1973.98N/AN/A1633,4011,461
2021-05-07$41.34$30.0050.5%14.1%52.2%13.0%49.3%2.4%1.7%98.0K-3.9M-26.4K0.0964.58N/AN/A2323,4021,460
2021-05-10$41.45$35.0056.6%15.1%52.2%28.0%51.6%3.4%-0.4%101.7K-3.4M-26.2K0.0380.58N/AN/A7723,2451,459
2021-05-11$42.46$35.0057.1%15.4%52.7%29.2%52.0%3.4%-2.4%116.2K-4.1M-26.7K0.0579.22N/AN/A367183,2281,458
2021-05-12$41.41$35.0057.6%16.5%52.2%30.3%59.2%4.3%-0.9%87.7K-3.4M-26.6K0.0079.51N/AN/A5003,1501,458
2021-05-13$42.78$35.0054.9%15.7%53.5%23.8%56.1%2.1%-0.6%108.5K-4.2M-27.0K3.5075.33N/AN/A14493,1401,458
2021-05-14$42.10$30.0052.9%15.2%53.9%18.9%53.4%3.2%2.8%101.1K-3.7M-25.2K0.1046.62N/AN/A7173,1371,437
2021-05-17$45.31$30.0052.7%15.1%58.9%18.3%54.1%3.7%0.2%155.4K-6.1M-27.1K1.2977.94N/AN/A1291663,1821,437
2021-05-18$44.61$35.0052.2%15.0%56.2%17.3%52.5%2.7%1.1%144.6K-5.4M-27.1K0.1380.19N/AN/A1623,2051,503
2021-05-19$43.47$35.0053.8%15.4%56.8%21.1%54.9%2.9%-0.4%125.4K-4.6M-26.4K0.0878.57N/AN/A1213,2061,502
2021-05-20$43.71$35.0052.0%14.9%56.0%16.6%54.5%1.5%-0.4%146.4K-4.7M-26.1K7.2566.02N/AN/A12873,1981,502
2021-05-21$44.56$35.0049.9%14.3%55.0%11.6%52.4%3.0%-0.2%112.7K-5.0M-25.9K0.5056.10N/AN/A24123,2041,524
2021-05-24$46.26$35.0050.0%14.3%55.6%11.9%49.5%3.9%-1.6%125.0K-6.1M-25.6K0.4657.20N/AN/A150692,8921,243
2021-05-25$44.39$35.0048.9%14.0%57.9%9.2%50.4%2.7%-0.4%122.3K-4.9M-25.5K0.0046.17N/AN/A1702,9881,299
2021-05-26$45.55$35.0047.9%13.7%57.8%6.8%49.0%3.4%0.2%134.5K-5.7M-25.9K0.5932.94N/AN/A29172,9911,309
2021-05-27$49.00$35.0047.3%13.5%55.4%5.1%49.2%1.0%1.3%144.4K-8.1M-26.4K0.0967.65N/AN/A389352,9981,318
2021-05-28$47.80$35.0046.4%13.3%51.7%3.1%46.7%3.0%0.3%156.9K-7.3M-26.7K0.0850.63N/AN/A3633,1761,324