CRS Options History — July 2021

In July 2021, CRS traded between $35.23 and $40.68. ATM implied volatility averaged 49.5%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 0.0% (HV 20d: 49.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2021-07-16: Highest Volume — 180 contracts
  • 2021-07-06: Largest IV spike — 15.9% change
  • 2021-07-19: Highest IV Rank — 36.1%
  • 2021-07-19: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$35.23$40.68$40.68$37.98
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV49.5%42.0%53.9%45.1%49.5%
Expected Move14.2%12.1%15.5%12.9%14.2%
HV 20d49.5%41.8%56.0%42.9%56.0%
HV 60d51.3%49.1%53.6%49.2%50.5%
IV Rank20.7%0.0%36.1%4.4%22.8%
IV Percentile14.1%0.0%31.3%0.4%13.5%
Term Structure0.0%-2.6%6.2%4.2%-1.6%
VWIV50.7%38.7%60.3%38.7%50.0%
Skew 25d3.2%1.2%10.0%5.3%1.4%
Skew 10d10.2%3.8%21.7%13.9%8.3%
Call IV 25d49.2%34.8%54.1%44.2%49.5%
Put IV 25d52.5%44.7%56.9%49.5%50.8%
Bid-Ask Spread %60.3531.2576.8347.1931.25
Gamma HHI0.270.240.290.240.28
Net GEX-10.2K-17.2K5.3K5.3K-17.2K
Net DEX591.0K-188.1K1.2M-188.1K743.1K
Net VEX-12.4K-15.7K-10.2K-15.7K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.007.140.000.78
Total Volume54.714718034142
Total OI2,935.8572,7963,0182,8733,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$40.68$40.0045.1%12.9%42.9%4.4%0.0%5.3%4.2%5.3K-188.1K-15.7K0.0047.19N/AN/A3401,8141,059
2021-07-02$39.07$40.0042.0%12.1%44.8%0.0%38.7%10.0%6.2%-9.4K412.5K-14.0K0.0953.66N/AN/A8271,8301,059
2021-07-06$37.95$40.0048.7%14.4%45.1%15.2%51.0%1.9%-0.6%-14.6K731.1K-13.0K0.4257.14N/AN/A24101,8651,063
2021-07-07$38.86$40.0047.9%14.3%42.0%13.2%50.1%1.2%-0.3%-10.6K463.6K-13.5K0.0463.98N/AN/A5621,8641,067
2021-07-08$37.81$40.0051.3%14.5%41.8%20.9%50.8%2.6%0.2%-14.1K778.8K-12.8K0.1760.76N/AN/A611,8891,069
2021-07-09$40.21$40.0046.0%14.2%48.5%8.9%50.7%1.9%-0.2%2.5K-60.1K-14.5K0.3353.85N/AN/A30101,8941,071
2021-07-12$39.93$40.0051.5%14.0%48.5%21.5%51.5%2.2%0.2%-2.0K114.5K-13.7K3.2957.23N/AN/A7231,9011,071
2021-07-13$38.41$40.0050.9%13.9%49.9%20.2%50.4%2.1%0.3%-10.0K671.3K-12.7K0.5358.05N/AN/A1581,9031,079
2021-07-14$38.16$40.0047.9%13.7%49.9%16.5%48.6%2.3%-0.5%-11.7K776.3K-11.9K0.2659.83N/AN/A3181,9111,071
2021-07-15$38.36$40.0048.1%13.8%49.8%18.6%50.6%3.0%0.2%-10.3K707.8K-11.9K0.6962.13N/AN/A16111,9191,071
2021-07-16$37.02$40.0049.2%14.1%45.2%21.9%48.2%2.5%-0.4%-12.0K1.1M-10.7K5.6756.97N/AN/A271531,9281,078
2021-07-19$35.23$40.0053.9%15.5%48.1%36.1%54.4%2.7%-1.7%-13.5K1.2M-10.2K1.0268.83N/AN/A43441,7891,007
2021-07-20$37.49$40.0053.0%15.2%53.3%33.4%52.0%4.1%-2.6%-16.9K871.4K-11.4K0.0768.71N/AN/A5841,8081,041
2021-07-21$38.65$40.0049.9%14.3%54.3%24.1%50.3%2.9%0.1%-12.2K543.8K-12.1K0.0064.30N/AN/A8801,8181,042
2021-07-22$37.63$40.0050.3%14.4%54.9%25.3%52.8%4.1%0.0%-13.8K802.1K-11.4K7.1466.81N/AN/A7501,8891,042
2021-07-23$37.71$40.0050.2%14.4%53.1%25.0%50.2%4.3%-0.3%-14.9K810.7K-11.3K0.0070.15N/AN/A1501,8881,044
2021-07-26$38.68$40.0051.8%14.8%54.1%29.6%52.5%3.2%-0.8%-9.4K487.2K-12.1K0.0059.37N/AN/A1301,8881,044
2021-07-27$37.78$40.0053.3%15.3%51.6%34.3%53.4%2.8%-1.9%-13.1K750.4K-11.6K0.0059.67N/AN/A4301,8961,044
2021-07-28$38.34$40.0051.7%14.8%51.9%29.5%60.3%2.7%-1.4%-11.8K590.3K-11.6K3.0070.67N/AN/A11331,8961,044
2021-07-29$39.91$40.0046.5%13.3%53.6%13.7%47.4%4.7%0.9%-5.1K49.2K-12.7K0.1676.83N/AN/A3251,9351,044
2021-07-30$37.98$40.0049.5%14.2%56.0%22.8%50.0%1.4%-1.6%-17.2K743.1K-11.3K0.7831.25N/AN/A80621,9411,077