CRS Options History — August 2021

In August 2021, CRS traded between $32.48 and $38.66. ATM implied volatility averaged 48.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 2.7% (HV 20d: 51.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2021-08-30: Highest Volume — 1,374 contracts
  • 2021-08-23: Largest IV drop — 11.0% change
  • 2021-08-20: Highest IV Rank — 33.3%
  • 2021-08-20: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.41$32.48$38.66$38.10$33.35
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV48.3%44.6%53.0%50.3%45.2%
Expected Move13.8%12.8%15.2%14.4%13.0%
HV 20d51.0%46.2%57.6%54.3%46.5%
HV 60d49.9%47.3%52.4%50.5%48.0%
IV Rank19.2%7.9%33.3%25.0%9.7%
IV Percentile12.4%0.8%34.5%17.1%2.0%
Term Structure0.6%-1.7%2.9%-1.4%2.8%
VWIV48.4%39.7%52.5%51.2%45.3%
Skew 25d2.9%0.9%4.5%0.9%3.4%
Skew 10d7.3%-1.5%17.8%11.4%-1.5%
Call IV 25d48.4%44.4%52.1%50.3%47.2%
Put IV 25d51.3%48.0%56.6%51.3%50.5%
Bid-Ask Spread %54.0725.4073.7967.7473.79
Gamma HHI0.260.220.290.290.22
Net GEX-11.9K-28.6K6.3K-18.1K6.3K
Net DEX1.1M-176.5K2.1M722.7K1.7M
Net VEX-12.4K-17.4K-9.6K-10.9K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.008.940.670.02
Total Volume154.09121,374152454
Total OI3,704.5453,0283,9273,0283,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$38.10$40.0050.3%14.4%54.3%25.0%51.2%0.9%-1.4%-18.1K722.7K-10.9K0.6767.74N/AN/A91611,9521,076
2021-08-03$38.20$40.0048.9%14.0%53.3%21.0%52.1%1.8%-0.2%-19.6K604.7K-11.9K0.0073.36N/AN/A6302,0281,137
2021-08-04$35.74$40.0050.1%14.4%57.6%24.5%52.5%2.9%-0.0%-26.6K1.3M-10.5K0.0465.16N/AN/A544202,1091,142
2021-08-05$36.48$40.0051.5%14.3%57.5%28.8%50.7%3.4%-0.2%-25.8K1.1M-11.2K0.9351.13N/AN/A15142,1551,142
2021-08-06$37.18$40.0048.4%13.7%53.1%19.5%47.2%2.8%1.5%-10.9K375.2K-16.8K0.6931.76N/AN/A16112,6851,157
2021-08-09$36.68$40.0050.3%13.8%53.2%25.3%49.2%3.3%-0.4%-14.6K587.8K-15.6K0.8652.34N/AN/A762,6841,158
2021-08-10$38.26$40.0046.3%13.4%54.0%12.9%0.0%2.4%1.8%-8.9K-14.8K-17.0K0.0065.51N/AN/A202,6811,156
2021-08-11$38.66$40.0045.8%13.1%54.1%11.3%46.3%2.2%2.0%-7.8K-176.5K-17.4K0.1459.18N/AN/A1422,6831,162
2021-08-12$37.70$40.0046.0%13.2%54.8%12.0%0.0%3.6%2.9%-15.1K265.7K-16.2K0.0049.67N/AN/A0102,6851,162
2021-08-13$36.89$40.0047.7%13.7%53.8%17.2%46.1%3.5%-0.1%-21.5K687.3K-14.7K1.1348.12N/AN/A892,6891,165
2021-08-16$35.74$40.0048.4%13.9%52.0%19.4%48.5%2.3%0.5%-27.2K1.1M-13.5K0.0066.58N/AN/A402,6891,174
2021-08-17$34.44$40.0049.4%14.2%48.2%22.3%49.3%3.6%0.5%-26.5K1.5M-11.8K2.6142.54N/AN/A18472,6831,174
2021-08-18$34.21$40.0049.0%14.1%46.5%21.2%49.1%1.9%0.3%-28.6K1.6M-11.1K0.8567.72N/AN/A26222,6801,174
2021-08-19$32.52$40.0052.2%15.0%48.6%31.1%52.5%4.5%0.1%-1.8K2.0M-9.7K1.2465.67N/AN/A17212,6771,219
2021-08-20$32.48$40.0053.0%15.2%48.5%33.3%39.7%3.4%-1.7%-102.1M-9.6K8.9462.04N/AN/A171522,7011,226
2021-08-23$33.58$40.0047.1%13.5%49.3%15.6%49.3%2.7%1.4%-3.2K1.5M-10.4K1.2861.10N/AN/A47602,5361,031
2021-08-24$34.09$40.0047.6%13.6%49.5%16.8%47.1%3.1%0.2%-8.1K1.5M-10.8K0.3525.40N/AN/A84292,5471,105
2021-08-25$33.89$40.0046.8%13.4%49.0%14.6%46.8%3.7%0.8%-5.6K1.6M-10.8K0.7527.98N/AN/A24182,5801,144
2021-08-26$33.06$40.0047.0%13.5%46.2%15.1%47.2%2.1%0.5%5371.7M-10.0K0.8230.26N/AN/A40332,6321,148
2021-08-27$34.28$40.0044.6%12.8%46.3%7.9%0.0%3.6%1.7%-2.9K1.5M-10.8K1.0040.76N/AN/A552,6441,166
2021-08-30$33.51$40.0047.5%13.6%46.6%16.8%49.0%2.5%0.6%3.7K1.7M-10.7K0.0361.75N/AN/A1,340342,6811,197
2021-08-31$33.35$40.0045.2%13.0%46.5%9.7%45.3%3.4%2.8%6.3K1.7M-10.4K0.0273.79N/AN/A44592,6811,203