CRS Options History — October 2021

In October 2021, CRS traded between $30.68 and $34.26. ATM implied volatility averaged 49.7%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 13.4% (HV 20d: 36.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2021-10-22: Highest Volume — 1,217 contracts
  • 2021-10-11: Largest IV spike — 16.3% change
  • 2021-10-11: Highest IV Rank — 44.2%
  • 2021-10-04: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.70$30.68$34.26$34.26$30.90
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV49.7%45.6%56.2%50.1%48.3%
Expected Move14.1%13.1%14.9%14.4%13.8%
HV 20d36.3%33.6%39.0%38.0%33.8%
HV 60d41.2%37.1%45.5%45.5%37.1%
IV Rank24.7%12.1%44.2%25.8%20.3%
IV Percentile27.9%3.2%69.4%29.0%18.7%
Term Structure-1.5%-3.3%0.3%0.3%-2.2%
VWIV48.6%43.4%53.0%50.1%47.8%
Skew 25d3.1%1.0%6.1%4.2%4.6%
Skew 10d10.0%1.5%21.3%6.0%12.9%
Call IV 25d49.1%45.5%51.9%50.3%47.4%
Put IV 25d52.2%47.6%56.0%54.5%52.1%
Bid-Ask Spread %53.3622.2072.8372.8322.20
Gamma HHI0.350.210.530.470.30
Net GEX48.1K4.4K113.6K101.7K5.0K
Net DEX-177.8K-1.2M431.2K-1.2M302.6K
Net VEX-8.4K-10.1K-7.4K-10.1K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.0017.000.000.27
Total Volume42221,217231,019
Total OI2,719.3332,1863,1062,6743,106

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$34.26$35.0050.1%14.4%38.0%25.8%50.1%4.2%0.3%101.7K-1.2M-10.1K0.0072.83N/AN/A2302,197477
2021-10-04$33.27$35.0054.6%14.9%39.0%39.3%0.0%3.3%-2.4%87.3K-694.5K-8.7K1.2949.02N/AN/A58752,183477
2021-10-05$33.54$35.0051.5%14.2%38.4%29.9%0.0%2.9%-1.0%94.8K-719.1K-8.6K1.0046.65N/AN/A112,162477
2021-10-06$32.53$35.0054.1%14.8%38.0%37.7%53.0%4.0%-2.3%68.3K-259.8K-8.2K17.0054.50N/AN/A2342,140550
2021-10-07$33.55$35.0049.2%14.3%38.9%23.2%50.1%1.1%-1.3%94.5K-582.5K-9.0K0.0051.99N/AN/A5602,140550
2021-10-08$33.38$35.0048.4%13.8%38.6%20.6%0.0%3.0%-0.6%89.3K-379.4K-8.6K0.0056.60N/AN/A2102,139584
2021-10-11$33.94$35.0056.2%14.4%38.5%44.2%50.3%3.0%-1.6%113.6K-620.6K-8.8K0.4444.11N/AN/A59262,169584
2021-10-12$33.49$35.0050.2%14.0%37.8%26.3%48.9%2.8%-1.2%102.9K-328.7K-8.2K0.1753.93N/AN/A1222,161574
2021-10-13$32.69$35.0049.4%14.2%35.6%23.8%50.6%2.3%-1.6%57.8K-13.9K-7.5K2.7065.92N/AN/A23622,181593
2021-10-14$33.16$35.0048.8%14.0%33.9%21.8%48.9%2.2%-1.9%18.6K37.0K-7.4K2.7660.01N/AN/A501382,180593
2021-10-15$33.85$35.0045.6%13.1%33.6%12.1%45.9%2.1%-0.6%18.7K-40.7K-8.0K0.1868.26N/AN/A187342,185636
2021-10-18$32.89$35.0046.8%13.4%35.5%15.9%47.3%1.0%-1.0%12.8K99.3K-7.4K0.2670.39N/AN/A91241,606580
2021-10-19$32.99$35.0046.6%13.4%35.5%15.4%46.6%1.9%-1.0%21.8K-94.2K-7.9K1.1861.88N/AN/A17201,734584
2021-10-20$33.38$35.0045.8%13.1%34.7%12.8%50.7%2.9%-0.1%25.6K-171.9K-8.4K0.2366.08N/AN/A7401671,812628
2021-10-21$32.70$35.0046.6%13.4%34.8%15.4%45.6%2.5%-0.1%37.7K-334.7K-9.3K0.2065.74N/AN/A8461702,071628
2021-10-22$32.01$35.0050.9%14.6%35.6%28.3%50.0%3.1%-2.1%31.4K-119.8K-8.5K0.4461.41N/AN/A8443732,057631
2021-10-25$30.85$35.0050.1%14.4%35.1%25.7%43.4%1.8%-1.6%6.8K359.6K-8.2K0.2824.95N/AN/A6951982,059822
2021-10-26$31.07$35.0051.4%14.7%34.8%29.6%46.1%5.1%-3.3%7.2K326.4K-8.6K0.2732.01N/AN/A6891892,077868
2021-10-27$30.68$35.0050.5%14.5%35.0%26.9%50.7%5.8%-2.1%4.4K431.2K-8.2K0.3031.66N/AN/A6832022,086855
2021-10-28$31.55$35.0049.2%14.1%36.7%23.1%48.1%6.1%-3.0%10.4K228.8K-8.0K0.2660.40N/AN/A8162152,090880
2021-10-29$30.90$35.0048.3%13.8%33.8%20.3%47.8%4.6%-2.2%5.0K302.6K-8.8K0.2722.20N/AN/A8042152,218888