CRS Options History — February 2022

In February 2022, CRS traded between $28.92 and $39.52. ATM implied volatility averaged 56.1%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 4.0% (HV 20d: 60.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.89.

Notable Days

2022-02-11: Highest Volume — 2,043 contracts
2022-02-11: Largest IV spike — 25.5% change
2022-02-14: Highest IV Rank — 88.8%
2022-02-14: Largest Expected Move — 18.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.80	$28.92	$39.52	$29.80	$38.24
Max Pain	$32.37	$30.00	$35.00	$30.00	$35.00
ATM IV	56.1%	47.8%	64.1%	56.6%	59.8%
Expected Move	15.9%	13.7%	18.4%	16.2%	17.1%
HV 20d	60.1%	37.6%	75.6%	39.6%	71.1%
HV 60d	50.7%	43.6%	56.2%	44.1%	55.0%
IV Rank	63.5%	37.2%	88.8%	65.2%	75.1%
IV Percentile	76.8%	26.2%	99.6%	85.3%	91.3%
Term Structure	-1.9%	-8.0%	2.3%	-5.0%	-1.9%
VWIV	56.4%	46.3%	67.3%	55.3%	65.3%
Skew 25d	5.0%	2.8%	7.0%	6.5%	6.1%
Skew 10d	10.9%	5.6%	17.6%	10.4%	15.2%
Call IV 25d	54.5%	46.4%	61.3%	55.3%	59.1%
Put IV 25d	59.4%	50.7%	65.2%	61.8%	65.2%
Bid-Ask Spread %	53.36	25.26	74.76	28.93	71.27
Gamma HHI	0.31	0.22	0.44	0.22	0.44
Net GEX	68.8K	403	144.3K	2.9K	126.8K
Net DEX	-1.7M	-3.5M	-27.2K	-159.0K	-3.0M
Net VEX	-7.7K	-11.0K	-4.7K	-5.1K	-10.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.27	1.67	0.70	0.59
Total Volume	506.842	184	2,043	184	539
Total OI	2,757.895	2,100	3,758	2,100	3,288

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$29.80	$30.00	56.6%	16.2%	39.6%	65.2%	55.3%	6.5%	-5.0%	2.9K	-159.0K	-5.1K	0.70	28.93	N/A	N/A	108	76	1,525	575
2022-02-02	$30.96	$30.00	53.5%	15.3%	37.6%	55.1%	46.3%	5.6%	-2.5%	9.9K	-433.2K	-5.3K	0.77	63.15	N/A	N/A	123	95	1,541	578
2022-02-03	$29.45	$30.00	56.5%	15.2%	41.1%	64.8%	55.3%	7.0%	-1.2%	3.5K	-132.2K	-5.1K	0.85	64.69	N/A	N/A	114	97	1,564	583
2022-02-04	$28.92	$30.00	54.0%	14.5%	41.2%	56.9%	54.7%	4.5%	2.3%	403	-27.2K	-4.8K	0.94	31.27	N/A	N/A	105	99	1,566	590
2022-02-07	$29.36	$30.00	56.4%	14.6%	41.3%	64.5%	54.6%	5.5%	0.5%	1.4K	-88.5K	-4.8K	1.01	31.54	N/A	N/A	105	106	1,582	592
2022-02-08	$29.53	$30.00	50.0%	14.1%	41.5%	44.0%	50.0%	5.5%	1.9%	753	-97.2K	-4.7K	1.04	48.13	N/A	N/A	134	140	1,588	601
2022-02-09	$31.21	$30.00	47.8%	13.7%	46.5%	37.2%	47.4%	4.3%	2.2%	13.0K	-545.2K	-5.2K	0.77	40.24	N/A	N/A	158	121	1,617	624
2022-02-10	$32.99	$30.00	48.0%	13.8%	50.8%	37.7%	49.7%	2.8%	1.1%	25.6K	-979.0K	-5.6K	0.45	25.26	N/A	N/A	248	111	1,614	624
2022-02-11	$38.64	$30.00	60.2%	17.3%	75.6%	76.5%	62.2%	4.6%	-4.3%	59.4K	-2.5M	-7.6K	0.27	56.93	N/A	N/A	1,603	440	1,613	624
2022-02-14	$38.66	$30.00	64.1%	18.4%	75.3%	88.8%	67.3%	3.7%	-8.0%	134.4K	-3.3M	-10.1K	1.12	59.08	N/A	N/A	288	323	2,553	803
2022-02-15	$39.52	$35.00	55.6%	15.9%	74.4%	61.9%	57.1%	4.7%	-0.6%	144.3K	-3.5M	-10.2K	1.47	48.08	N/A	N/A	202	296	2,521	829
2022-02-16	$38.60	$35.00	56.9%	16.3%	74.6%	65.9%	58.4%	5.5%	-3.1%	126.6K	-2.9M	-9.2K	1.67	66.48	N/A	N/A	152	254	2,521	830
2022-02-17	$38.63	$35.00	55.4%	15.9%	72.2%	61.3%	55.2%	4.3%	-1.6%	137.4K	-2.8M	-9.0K	0.52	70.44	N/A	N/A	555	287	2,520	852
2022-02-18	$38.15	$35.00	54.0%	15.5%	71.4%	56.9%	53.9%	5.0%	-0.6%	111.7K	-3.0M	-10.3K	0.51	53.30	N/A	N/A	538	277	2,907	851
2022-02-22	$37.22	$35.00	61.4%	17.6%	72.3%	80.3%	61.5%	5.7%	-4.6%	98.7K	-2.3M	-9.3K	1.42	74.76	N/A	N/A	173	246	2,356	618
2022-02-23	$36.21	$35.00	60.7%	17.4%	73.6%	77.9%	58.8%	3.4%	-4.4%	87.2K	-1.9M	-8.9K	1.42	38.99	N/A	N/A	149	212	2,394	648
2022-02-24	$36.53	$35.00	60.3%	17.3%	70.4%	76.8%	61.9%	5.8%	-4.0%	89.9K	-1.9M	-8.7K	0.69	71.83	N/A	N/A	353	245	2,398	655
2022-02-25	$38.56	$35.00	55.2%	15.8%	71.1%	60.7%	55.9%	4.1%	-2.5%	133.3K	-3.2M	-11.0K	0.70	69.57	N/A	N/A	329	229	2,610	645
2022-02-28	$38.24	$35.00	59.8%	17.1%	71.1%	75.1%	65.3%	6.1%	-1.9%	126.8K	-3.0M	-10.5K	0.59	71.27	N/A	N/A	338	201	2,647	641