CRS Options History — January 2022

In January 2022, CRS traded between $28.43 and $33.06. ATM implied volatility averaged 50.7%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 6.9% (HV 20d: 43.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2022-01-21: Highest Volume — 329 contracts
  • 2022-01-12: Largest IV spike — 26.4% change
  • 2022-01-24: Highest IV Rank — 80.2%
  • 2022-01-24: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.03$28.43$33.06$30.12$29.33
Max Pain$30.50$30.00$35.00$30.00$30.00
ATM IV50.7%36.1%62.0%44.0%57.6%
Expected Move14.8%12.6%17.8%12.6%16.5%
HV 20d43.8%35.0%49.7%48.1%40.4%
HV 60d43.9%43.0%45.0%43.0%44.1%
IV Rank41.5%0.0%80.2%9.4%68.1%
IV Percentile45.8%0.0%96.0%2.8%87.3%
Term Structure-2.0%-6.1%2.7%2.5%-4.4%
VWIV52.1%43.2%62.0%45.0%61.2%
Skew 25d5.0%2.9%7.0%4.9%5.9%
Skew 10d11.8%0.8%47.1%8.6%11.3%
Call IV 25d50.2%41.9%60.1%45.8%57.1%
Put IV 25d55.2%44.9%66.2%50.8%63.0%
Bid-Ask Spread %54.4039.2878.8550.3143.15
Gamma HHI0.260.200.340.230.21
Net GEX15.4K-2.1K38.8K12.5K2.9K
Net DEX-281.4K-795.6K214.4K-72.8K-98.9K
Net VEX-5.6K-6.5K-4.8K-5.7K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.642.541.581.27
Total Volume259.95181329315220
Total OI2,131.11,9632,2102,1222,076

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$30.12$30.0044.0%12.6%48.1%9.4%45.0%4.9%2.5%12.5K-72.8K-5.7K1.5850.31N/AN/A1221931,528594
2022-01-04$31.69$30.0046.0%13.2%49.7%16.8%46.3%3.0%2.3%21.3K-408.5K-6.1K1.2346.71N/AN/A1331641,540596
2022-01-05$31.97$30.0046.1%13.2%49.7%17.1%43.2%3.8%2.7%23.1K-450.4K-6.1K0.8978.85N/AN/A1361211,543596
2022-01-06$32.20$30.0047.9%14.1%49.7%23.9%48.2%5.2%-1.7%28.0K-546.6K-6.4K0.8171.47N/AN/A1471191,568591
2022-01-07$32.63$30.0040.3%13.6%48.2%0.0%48.3%3.2%-1.1%31.8K-658.3K-6.5K1.6165.78N/AN/A741191,571594
2022-01-10$32.30$30.0049.0%14.6%48.0%31.0%50.0%4.6%-2.0%29.9K-562.6K-6.2K1.4258.18N/AN/A811151,584594
2022-01-11$32.53$30.0036.1%13.3%47.9%0.0%47.7%3.8%-0.9%32.6K-646.7K-6.1K1.4140.25N/AN/A751061,593595
2022-01-12$32.66$30.0045.6%13.1%47.9%29.5%48.6%4.3%0.7%31.8K-631.8K-5.8K1.3648.37N/AN/A781061,594594
2022-01-13$33.06$30.0046.5%13.3%47.8%32.3%48.5%2.9%-0.0%38.8K-795.6K-6.2K0.8241.18N/AN/A1481211,607594
2022-01-14$32.71$30.0046.3%13.3%46.1%31.7%48.0%3.0%-0.6%26.7K-498.9K-5.7K0.6446.41N/AN/A1881211,562609
2022-01-18$31.90$30.0052.2%15.0%45.1%49.9%51.5%5.1%-2.7%15.4K-313.7K-5.4K0.6556.19N/AN/A1891231,568619
2022-01-19$31.26$35.0051.6%14.8%40.1%48.0%50.1%6.8%-2.9%8.3K-188.4K-5.0K1.2539.28N/AN/A1021281,570621
2022-01-20$30.01$35.0050.2%14.4%39.8%43.6%50.4%6.0%-2.3%2.6K66.7K-4.9K2.3442.75N/AN/A892081,569622
2022-01-21$29.25$30.0056.3%16.1%37.3%62.5%49.4%5.8%-4.4%-633214.4K-5.0K0.9645.48N/AN/A1681611,576634
2022-01-24$30.16$30.0062.0%17.8%38.6%80.2%60.6%4.8%-5.3%1.9K-79.5K-5.1K1.5861.31N/AN/A1141801,407556
2022-01-25$30.61$30.0060.2%17.2%35.0%74.5%61.4%6.8%-5.3%5.1K-210.8K-5.4K1.1966.10N/AN/A1161381,447555
2022-01-26$29.16$30.0059.9%17.2%39.1%73.7%60.5%5.7%-4.9%47018.8K-5.1K2.4874.26N/AN/A842081,463576
2022-01-27$28.63$30.0060.0%17.2%39.2%73.9%60.8%6.5%-6.1%-1.6K111.8K-4.8K2.5472.21N/AN/A822081,476573
2022-01-28$28.43$30.0056.7%16.3%38.8%63.9%62.0%7.0%-3.4%-2.1K124.1K-4.8K1.3539.76N/AN/A911231,494573
2022-01-31$29.33$30.0057.6%16.5%40.4%68.1%61.2%5.9%-4.4%2.9K-98.9K-5.1K1.2743.15N/AN/A971231,501575