CRS Options History — November 2021

In November 2021, CRS traded between $27.88 and $34.34. ATM implied volatility averaged 49.7%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 7.3% (HV 20d: 42.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.40.

Notable Days

  • 2021-11-03: Highest Volume — 931 contracts
  • 2021-11-26: Largest IV spike — 17.6% change
  • 2021-11-30: Highest IV Rank — 65.9%
  • 2021-11-30: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.65$27.88$34.34$32.12$27.88
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV49.7%43.5%59.2%51.8%59.2%
Expected Move14.2%13.1%17.0%14.9%17.0%
HV 20d42.3%35.7%48.0%35.9%45.3%
HV 60d38.4%37.5%39.9%37.8%39.9%
IV Rank29.5%7.5%65.9%31.0%65.9%
IV Percentile32.3%1.2%88.1%43.7%88.1%
Term Structure-1.6%-6.9%0.5%-4.4%-6.9%
VWIV49.7%45.6%64.8%49.7%64.8%
Skew 25d3.9%-3.4%8.0%5.0%8.0%
Skew 10d9.1%-10.1%27.1%24.4%27.1%
Call IV 25d48.3%44.7%58.7%47.4%56.2%
Put IV 25d52.3%46.3%65.0%52.4%64.2%
Bid-Ask Spread %63.6133.3784.5438.4182.93
Gamma HHI0.290.180.410.290.18
Net GEX21.6K-26.4K76.8K19.6K2.5K
Net DEX-200.8K-1.1M464.5K-130.6K464.5K
Net VEX-8.1K-9.9K-5.7K-9.4K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.283.980.290.90
Total Volume475.095269931920330
Total OI3,069.3332,5813,3363,1062,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$32.12$35.0051.8%14.9%35.9%31.0%49.7%5.0%-4.4%19.6K-130.6K-9.4K0.2938.41N/AN/A7132072,218888
2021-11-02$31.04$35.0050.5%14.5%37.5%27.6%46.4%-3.4%-3.9%7.6K215.7K-8.6K0.2859.24N/AN/A7202042,248890
2021-11-03$31.70$35.0051.2%14.7%37.1%29.6%50.9%2.4%-3.9%13.2K-10.4K-9.2K0.2869.60N/AN/A7272042,253922
2021-11-04$31.03$35.0049.5%13.3%35.7%29.9%45.6%5.2%-0.0%26288.3K-8.2K0.3260.52N/AN/A7002222,256922
2021-11-05$32.59$35.0043.5%13.1%40.3%7.5%45.7%3.5%0.5%23.2K-312.0K-9.4K0.3360.49N/AN/A6682222,249953
2021-11-08$33.76$35.0048.7%13.4%41.9%26.7%47.4%2.8%-0.4%50.1K-863.4K-9.9K2.0644.65N/AN/A1082222,269953
2021-11-09$33.86$35.0048.9%13.3%41.6%27.4%48.3%4.3%-0.8%56.3K-923.2K-9.8K2.5966.83N/AN/A751942,306953
2021-11-10$32.98$35.0046.1%13.2%41.8%17.1%47.8%4.0%0.3%42.1K-589.9K-9.5K2.3264.59N/AN/A882042,314952
2021-11-11$33.46$35.0046.2%13.2%41.8%17.4%46.5%2.4%-0.6%50.5K-725.3K-9.4K2.1164.65N/AN/A1012132,304959
2021-11-12$34.34$35.0046.0%13.2%42.2%16.9%46.4%3.8%-0.3%76.8K-1.1M-9.5K1.9645.11N/AN/A1092142,324949
2021-11-15$33.50$35.0046.6%13.4%41.9%19.0%46.1%1.6%0.2%60.9K-811.4K-9.0K2.0183.91N/AN/A1082172,326951
2021-11-16$32.53$35.0046.8%13.4%43.2%19.8%46.9%-0.4%0.4%29.3K-393.3K-8.3K2.1178.67N/AN/A1002112,331947
2021-11-17$31.19$35.0047.3%13.6%45.3%21.6%47.2%5.7%-0.2%-23.7K130.5K-7.1K2.5784.54N/AN/A1152952,329954
2021-11-18$31.23$35.0047.5%13.6%44.9%22.2%46.1%5.8%-1.1%-26.4K63.5K-6.9K3.9867.59N/AN/A863422,310971
2021-11-19$30.54$35.0046.3%13.3%44.9%17.7%47.2%4.8%0.4%8.1K190.3K-6.8K1.3339.01N/AN/A1341782,3221,014
2021-11-22$31.44$35.0050.9%14.6%44.3%35.1%48.5%6.5%-1.6%16.8K-128.7K-7.2K0.6833.37N/AN/A2021381,993588
2021-11-23$31.15$35.0051.0%14.6%44.4%35.4%50.9%5.9%-2.8%18.5K-124.7K-7.3K0.9847.47N/AN/A1611582,047582
2021-11-24$30.86$35.0049.6%14.2%44.3%30.1%49.8%6.3%-0.5%17.4K-78.8K-7.3K0.7979.39N/AN/A1641302,060582
2021-11-26$29.25$35.0058.3%16.7%46.9%62.6%63.3%6.3%-3.7%8.8K226.0K-6.3K1.0182.52N/AN/A1721742,060582
2021-11-29$28.18$35.0057.2%16.4%48.0%58.5%58.3%1.9%-4.9%2.3K432.0K-5.7K0.5982.39N/AN/A2811662,060641
2021-11-30$27.88$35.0059.2%17.0%45.3%65.9%64.8%8.0%-6.9%2.5K464.5K-5.7K0.9082.93N/AN/A1741562,082642