CRS Options History — December 2021

In December 2021, CRS traded between $28.08 and $30.22. ATM implied volatility averaged 51.6%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 6.7% (HV 20d: 44.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2021-12-17: Highest Volume — 470 contracts
  • 2021-12-15: Largest IV drop — 17.3% change
  • 2021-12-03: Highest IV Rank — 97.2%
  • 2021-12-03: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.19$28.08$30.22$28.11$29.29
Max Pain$31.59$30.00$35.00$35.00$30.00
ATM IV51.6%43.4%67.6%58.5%43.4%
Expected Move14.4%12.4%19.4%16.8%12.4%
HV 20d44.9%38.8%51.1%44.4%48.4%
HV 60d41.1%39.1%44.5%39.8%43.1%
IV Rank37.7%7.1%97.2%63.3%7.1%
IV Percentile42.8%1.2%99.2%86.5%1.2%
Term Structure0.5%-10.0%3.3%-3.3%3.2%
VWIV51.8%37.5%72.6%68.0%42.3%
Skew 25d4.7%-0.9%15.5%4.8%2.6%
Skew 10d9.0%-3.6%30.4%9.2%2.7%
Call IV 25d50.0%45.7%69.1%59.9%46.8%
Put IV 25d54.7%47.9%69.4%64.7%49.4%
Bid-Ask Spread %54.2424.3590.5036.2775.63
Gamma HHI0.240.170.510.170.25
Net GEX7.1K-39.8K18.3K4.4K9.6K
Net DEX133.8K-207.5K407.6K407.6K78.5K
Net VEX-5.7K-6.4K-4.9K-5.8K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.592.790.991.34
Total Volume323.5231470311356
Total OI2,506.8181,8332,9482,7582,109

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$28.11$35.0058.5%16.8%44.4%63.3%68.0%4.8%-3.3%4.4K407.6K-5.8K0.9936.27N/AN/A1561552,105653
2021-12-02$28.89$35.0059.7%17.1%44.9%67.8%68.5%15.5%-6.3%8.0K261.0K-6.3K0.7090.50N/AN/A2211542,110656
2021-12-03$28.08$35.0067.6%19.4%45.3%97.2%72.6%0.4%-10.0%9.0K329.5K-6.1K0.7084.42N/AN/A2201542,213656
2021-12-06$29.10$30.0063.0%16.1%43.4%79.9%54.5%2.4%-2.1%12.1K183.4K-6.4K0.6256.93N/AN/A2241392,213655
2021-12-07$29.27$30.0053.7%14.7%40.9%45.3%52.6%3.6%-0.0%10.9K194.4K-6.3K1.3662.41N/AN/A1021392,209657
2021-12-08$29.44$30.0049.6%14.6%41.0%30.0%52.4%4.3%0.5%8.5K240.9K-5.9K1.4961.71N/AN/A931392,215657
2021-12-09$28.60$30.0051.8%14.2%41.2%38.3%52.4%4.0%0.1%6.0K386.8K-5.6K1.5156.00N/AN/A921392,224654
2021-12-10$29.36$30.0048.2%13.9%42.2%24.9%50.3%7.8%2.0%5.8K289.1K-5.6K1.6245.28N/AN/A991602,224663
2021-12-13$29.31$30.0056.5%13.9%40.5%55.6%49.0%3.5%1.6%4.6K278.3K-5.6K1.6843.18N/AN/A1031732,215664
2021-12-14$29.35$30.0059.3%14.1%40.1%66.0%50.5%6.8%0.8%1.9K242.8K-5.4K1.4244.91N/AN/A1221732,212652
2021-12-15$29.77$30.0049.0%14.1%39.8%28.0%49.7%6.7%1.6%68381.5K-5.8K1.4162.81N/AN/A1231742,236651
2021-12-16$28.80$30.0048.9%14.0%38.8%27.6%37.5%5.9%2.7%1.6K326.6K-5.2K2.2465.21N/AN/A1212712,239651
2021-12-17$30.11$35.0048.8%14.0%42.5%27.2%47.1%4.4%3.3%-39.8K111.0K-5.9K2.7945.14N/AN/A1243462,237711
2021-12-20$28.42$35.0052.1%14.9%46.4%39.5%49.3%4.9%1.5%10.6K61.2K-4.9K0.7563.51N/AN/A1621211,408425
2021-12-21$29.80$35.0049.9%14.3%48.5%31.3%49.6%6.4%0.2%16.6K-155.3K-5.8K0.5928.69N/AN/A1961151,460432
2021-12-22$28.47$35.0047.6%13.7%50.9%22.8%48.9%1.7%1.5%13.4K13.1K-5.3K0.9624.35N/AN/A1691631,506433
2021-12-23$28.80$30.0045.8%13.1%51.1%16.1%49.4%3.6%2.6%11.7K15.1K-5.3K1.2647.78N/AN/A1531931,516482
2021-12-27$30.22$30.0047.2%13.5%50.7%21.2%50.6%6.6%1.6%18.3K-206.1K-5.9K1.2549.81N/AN/A1541921,517499
2021-12-28$30.15$30.0046.7%13.4%48.6%19.2%47.2%5.3%2.7%18.2K-207.5K-5.9K1.0258.34N/AN/A1571601,533497
2021-12-29$29.64$30.0045.0%12.9%48.9%12.9%48.2%3.1%3.2%15.4K-94.0K-5.4K1.1739.37N/AN/A1571841,524502
2021-12-30$29.13$30.0044.0%12.6%49.3%9.3%48.0%-0.9%2.7%9.2K104.9K-5.3K1.3750.97N/AN/A1562131,523552
2021-12-31$29.29$30.0043.4%12.4%48.4%7.1%42.3%2.6%3.2%9.6K78.5K-5.5K1.3475.63N/AN/A1522041,527582