CRS Options History — June 2021

In June 2021, CRS traded between $39.17 and $46.56. ATM implied volatility averaged 47.8%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 3.0% (HV 20d: 50.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2021-06-23: Highest Volume — 861 contracts
  • 2021-06-11: Largest IV drop — 9.1% change
  • 2021-06-18: Highest IV Rank — 15.5%
  • 2021-06-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.50$39.17$46.56$46.56$40.16
Max Pain$42.50$35.00$45.00$35.00$40.00
ATM IV47.8%43.2%51.0%50.2%45.8%
Expected Move13.7%12.4%14.4%14.4%13.1%
HV 20d50.8%41.1%56.5%50.5%42.9%
HV 60d52.2%48.3%55.4%55.4%49.3%
IV Rank9.3%0.0%15.5%12.3%6.1%
IV Percentile3.4%0.0%8.3%4.8%1.2%
Term Structure2.6%-0.8%4.6%-0.8%4.4%
VWIV48.7%44.4%54.4%50.3%45.9%
Skew 25d2.6%1.0%4.4%2.0%3.5%
Skew 10d5.5%-2.0%10.1%2.8%9.0%
Call IV 25d48.0%43.8%51.1%50.6%46.5%
Put IV 25d50.7%47.9%53.5%52.6%50.0%
Bid-Ask Spread %52.2024.9586.7738.5653.99
Gamma HHI0.330.250.610.270.25
Net GEX76.5K-120.3K180.9K157.2K-1.2K
Net DEX-2.7M-6.5M278.8K-6.5M22.5K
Net VEX-18.9K-24.7K-14.9K-24.7K-15.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.008.670.070.80
Total Volume133.455108619327
Total OI3,915.8182,6684,7044,5002,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$46.56$35.0050.2%14.4%50.5%12.3%50.3%2.0%-0.8%157.2K-6.5M-24.7K0.0738.56N/AN/A8763,1791,321
2021-06-02$44.81$35.0048.9%14.0%53.0%9.0%51.3%3.3%0.5%144.6K-5.1M-23.9K0.6086.77N/AN/A45273,1741,322
2021-06-03$43.86$45.0050.6%14.4%53.4%13.3%52.3%2.7%1.8%128.8K-4.4M-22.9K0.6744.11N/AN/A643,1701,341
2021-06-04$43.86$45.0048.3%14.0%53.3%7.6%49.3%2.1%2.1%130.3K-4.3M-22.5K0.1340.07N/AN/A3043,1701,348
2021-06-07$44.34$45.0050.4%14.3%53.3%12.7%54.4%2.3%1.8%145.2K-4.6M-22.1K0.0441.83N/AN/A7133,1881,346
2021-06-08$46.48$45.0051.0%14.0%55.5%14.2%48.5%2.4%2.6%177.2K-6.4M-23.2K0.0053.26N/AN/A3703,2131,349
2021-06-09$45.09$45.0050.0%14.3%56.5%11.9%50.1%1.6%1.4%166.7K-5.3M-22.3K0.0952.24N/AN/A3533,2231,349
2021-06-10$44.32$45.0047.6%13.6%56.1%5.9%47.6%1.9%2.8%163.9K-4.6M-21.4K0.0060.48N/AN/A1003,2281,350
2021-06-11$44.31$45.0043.2%12.4%55.0%0.0%45.3%2.2%4.1%175.0K-4.6M-21.0K0.0066.58N/AN/A2403,2271,350
2021-06-14$43.92$45.0046.2%13.3%54.7%7.0%46.7%1.8%2.3%180.9K-4.2M-19.6K0.1860.74N/AN/A4993,2361,350
2021-06-15$43.48$45.0047.2%13.5%47.9%9.2%47.1%1.0%2.7%173.2K-3.6M-18.8K0.0463.98N/AN/A5223,2391,351
2021-06-16$42.64$45.0047.0%13.5%48.1%8.9%47.2%2.9%2.5%109.2K-3.0M-17.8K0.8170.86N/AN/A36293,2441,352
2021-06-17$39.77$45.0048.7%14.0%53.2%12.8%49.7%2.6%3.2%-49.3K-1.3M-15.6K0.8455.62N/AN/A64543,2461,378
2021-06-18$39.70$45.0049.9%14.3%53.0%15.5%50.4%2.4%1.8%-120.3K-993.2K-15.5K3.1945.70N/AN/A481533,2791,425
2021-06-21$40.43$45.0048.6%13.9%53.0%12.6%48.3%4.1%1.8%-1.9K-7.5K-16.3K1.4550.47N/AN/A49711,677991
2021-06-22$39.74$40.0047.4%13.6%50.7%9.7%50.5%2.8%3.1%-1.1K140.7K-15.5K1.2558.67N/AN/A28351,710986
2021-06-23$40.10$40.0046.7%13.4%49.4%8.1%47.8%1.8%4.6%-72149.4K-16.0K8.6750.52N/AN/A897721,7301,021
2021-06-24$41.53$40.0046.0%13.2%50.3%6.5%45.6%4.4%3.3%7.1K-348.9K-16.4K0.0624.95N/AN/A1711,7361,021
2021-06-25$41.26$40.0045.6%13.1%41.1%5.6%44.4%4.2%4.0%5.6K-249.4K-15.9K0.0145.78N/AN/A6811,7511,021
2021-06-28$39.17$40.0046.8%13.4%43.5%8.2%49.9%4.2%3.6%-2.3K278.8K-15.0K0.7128.08N/AN/A35251,8131,022
2021-06-29$39.46$40.0046.0%13.2%43.5%6.5%49.1%1.9%4.0%-4.4K214.7K-14.9K6.5555.12N/AN/A1107201,8141,047
2021-06-30$40.16$40.0045.8%13.1%42.9%6.1%45.9%3.5%4.4%-1.2K22.5K-15.1K0.8053.99N/AN/A15121,8071,053