CRS Options History — September 2021

In September 2021, CRS traded between $31.42 and $34.10. ATM implied volatility averaged 48.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 10.6% (HV 20d: 37.8%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2021-09-08: Highest Volume — 930 contracts
  • 2021-09-20: Largest IV spike — 13.0% change
  • 2021-09-20: Highest IV Rank — 41.2%
  • 2021-09-20: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.58$31.42$34.10$33.34$32.94
Max Pain$34.52$30.00$40.00$40.00$35.00
ATM IV48.4%41.5%55.2%45.6%51.1%
Expected Move14.0%13.0%15.8%13.1%14.6%
HV 20d37.8%35.3%41.1%40.8%35.8%
HV 60d46.3%44.9%47.4%46.7%44.9%
IV Rank20.5%0.0%41.2%10.7%28.8%
IV Percentile19.2%0.0%56.7%2.4%34.9%
Term Structure0.8%-2.0%3.0%2.3%-0.0%
VWIV47.8%43.3%56.1%47.2%50.7%
Skew 25d4.1%1.2%6.0%2.0%5.9%
Skew 10d5.7%-12.2%24.1%24.1%12.2%
Call IV 25d47.8%45.4%53.8%47.0%47.7%
Put IV 25d51.8%49.0%58.8%49.0%53.6%
Bid-Ask Spread %55.6729.1679.3870.2269.32
Gamma HHI0.450.350.570.500.45
Net GEX84.4K51.5K140.5K100.8K81.7K
Net DEX316.1K-1.1M1.8M326.6K-647.8K
Net VEX-10.5K-16.9K-7.9K-14.5K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.003.220.050.00
Total Volume129.6191293016315
Total OI4,060.2862,5055,5935,2392,677

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$33.34$40.0045.6%13.1%40.8%10.7%47.2%2.0%2.3%100.8K326.6K-14.5K0.0570.22N/AN/A15584,0051,234
2021-09-02$33.91$30.0043.8%13.6%40.5%5.4%47.2%3.0%2.0%140.5K-422.9K-16.9K0.0067.13N/AN/A15804,3551,238
2021-09-03$33.36$30.0041.5%13.3%39.8%0.0%46.4%3.4%2.1%137.1K87.0K-15.0K0.8235.95N/AN/A85704,3141,238
2021-09-07$32.70$30.0046.9%13.4%40.1%16.1%46.9%2.6%1.4%122.2K627.7K-13.3K0.1738.45N/AN/A145244,1901,235
2021-09-08$31.59$35.0048.7%14.0%37.1%21.6%45.5%5.5%0.1%94.0K1.3M-11.7K0.0133.10N/AN/A92374,2321,275
2021-09-09$32.21$35.0049.1%14.1%37.8%23.0%45.9%5.7%-0.4%106.4K1.1M-12.2K0.0345.13N/AN/A9434,1461,276
2021-09-10$31.82$35.0049.4%14.2%37.4%23.7%47.8%3.6%-1.0%60.8K1.6M-9.9K0.0445.96N/AN/A5323,5821,271
2021-09-13$32.40$35.0049.3%14.1%38.2%23.5%46.7%3.6%0.0%75.3K1.4M-10.1K3.2250.72N/AN/A23743,5731,260
2021-09-14$31.65$35.0050.4%14.4%37.6%26.6%47.2%5.2%-2.0%51.5K1.7M-8.7K0.9150.34N/AN/A23213,5421,260
2021-09-15$33.09$35.0046.0%13.2%39.7%13.6%46.0%4.6%0.9%90.4K1.3M-9.7K0.0065.28N/AN/A6403,5401,260
2021-09-16$32.06$35.0048.5%13.9%41.1%21.1%43.3%4.5%2.0%61.1K1.6M-8.6K1.8558.71N/AN/A811503,5331,260
2021-09-17$31.45$35.0048.9%14.0%37.6%22.1%46.6%6.0%1.8%57.0K1.8M-7.9K0.1343.74N/AN/A3853,5701,260
2021-09-20$31.43$35.0055.2%15.8%37.6%41.2%56.1%5.0%-0.9%54.3K-354.0K-8.5K0.5069.24N/AN/A98492,104403
2021-09-21$31.42$35.0052.8%15.1%35.3%33.8%52.4%5.1%-0.5%54.7K-314.2K-8.0K0.8960.09N/AN/A28252,099406
2021-09-22$32.23$35.0052.2%15.0%36.2%32.0%49.4%1.2%-0.0%63.6K-478.2K-8.9K0.0075.72N/AN/A2502,132455
2021-09-23$32.90$35.0046.3%13.3%37.1%14.3%45.9%3.1%3.0%74.3K-654.9K-9.5K0.0355.48N/AN/A3612,156477
2021-09-24$32.97$35.0046.0%13.2%36.1%13.4%45.4%2.4%2.8%77.3K-721.7K-9.8K0.0562.22N/AN/A11662,172477
2021-09-27$34.10$35.0045.5%13.0%35.8%12.0%45.5%3.8%2.1%97.8K-1.1M-10.2K0.0063.77N/AN/A9202,197478
2021-09-28$33.39$35.0049.1%14.1%35.6%23.0%51.1%5.3%0.7%88.0K-847.1K-9.5K0.0079.38N/AN/A1202,220479
2021-09-29$33.12$35.0050.1%14.4%35.7%25.8%50.2%3.9%-0.1%83.8K-729.9K-9.3K0.1829.16N/AN/A1122,206479
2021-09-30$32.94$35.0051.1%14.6%35.8%28.8%50.7%5.9%-0.0%81.7K-647.8K-9.1K0.0069.32N/AN/A1502,198479