CRS Options History — March 2022

In March 2022, CRS traded between $34.77 and $42.27. ATM implied volatility averaged 59.3%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 2.2% (HV 20d: 61.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.04.

Notable Days

  • 2022-03-03: Highest Volume — 695 contracts
  • 2022-03-08: Largest IV drop — 18.2% change
  • 2022-03-04: Highest IV Rank — 100.0%
  • 2022-03-08: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.59$34.77$42.27$36.62$42.27
Max Pain$34.74$30.00$40.00$35.00$40.00
ATM IV59.3%48.7%83.5%67.6%49.8%
Expected Move17.8%14.6%24.3%19.4%14.8%
HV 20d61.5%40.4%79.7%73.7%40.4%
HV 60d57.0%54.6%59.1%55.7%54.6%
IV Rank54.1%26.6%100.0%99.8%28.9%
IV Percentile77.8%33.7%100.0%99.6%44.4%
Term Structure-1.7%-6.5%2.9%-6.2%2.4%
VWIV63.3%51.7%83.3%65.0%51.7%
Skew 25d4.3%2.4%6.7%6.7%2.4%
Skew 10d10.1%4.4%18.3%12.1%5.0%
Call IV 25d56.9%47.1%68.0%65.2%49.0%
Put IV 25d61.2%50.9%71.8%71.8%51.3%
Bid-Ask Spread %53.4529.2686.9063.2059.84
Gamma HHI0.410.270.810.410.27
Net GEX72.7K28.1K149.4K104.2K37.1K
Net DEX-2.2M-3.7M-1.2M-2.4M-2.3M
Net VEX-7.9K-10.8K-6.1K-10.1K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.471.691.060.60
Total Volume323.304126695386131
Total OI2,720.7391,0483,7733,2911,367

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$36.62$35.0067.6%19.4%73.7%99.8%65.0%6.7%-6.2%104.2K-2.4M-10.1K1.0663.20N/AN/A1871992,644647
2022-03-02$39.40$35.0060.3%17.3%76.9%76.7%61.7%2.7%-2.4%149.4K-3.7M-10.8K1.0746.88N/AN/A2072212,640644
2022-03-03$38.34$35.0064.6%18.5%77.7%90.4%64.0%3.8%-5.1%139.3K-3.3M-10.8K0.4776.65N/AN/A4742212,715664
2022-03-04$36.51$35.0070.9%20.3%77.6%100.0%71.0%4.3%-4.5%119.9K-2.5M-10.3K1.0577.32N/AN/A1661753,013664
2022-03-07$35.82$35.0083.5%23.9%77.7%100.0%80.3%3.3%-6.3%106.8K-2.2M-9.6K1.0761.10N/AN/A1771903,015663
2022-03-08$36.22$35.0068.3%24.3%77.6%68.0%83.3%4.2%-4.7%110.9K-2.3M-9.5K0.7974.75N/AN/A2862273,026673
2022-03-09$34.77$35.0065.3%22.8%79.7%61.6%80.9%3.8%-6.5%79.8K-1.5M-8.1K1.1770.51N/AN/A1932253,016666
2022-03-10$35.83$35.0065.0%22.0%78.3%61.0%77.0%5.3%-5.1%94.9K-1.8M-8.2K1.6976.09N/AN/A1903212,985676
2022-03-11$34.96$35.0062.0%21.6%76.8%54.7%75.7%4.3%-1.0%62.1K-1.2M-7.5K1.4086.90N/AN/A1922682,994767
2022-03-14$35.76$30.0064.7%17.2%51.3%60.3%61.1%5.0%-4.7%74.6K-1.5M-7.2K1.1732.06N/AN/A1491742,992768
2022-03-15$37.13$30.0064.5%17.7%53.4%59.9%61.5%3.4%-2.9%107.9K-2.0M-7.1K1.2738.74N/AN/A1411793,001772
2022-03-16$36.73$30.0062.5%17.2%52.7%55.7%59.4%4.8%-3.1%28.1K-1.7M-6.1K1.1538.37N/AN/A1511733,009763
2022-03-17$37.91$0.0056.7%16.8%53.6%43.4%0.0%3.5%1.7%139.8K-2.2M-6.6K1.2041.73N/AN/A1431723,007766
2022-03-18$38.67$0.0053.4%15.9%54.1%36.5%0.0%5.3%2.1%33.8K-2.0M-6.2K1.5329.26N/AN/A1211853,006767
2022-03-21$39.22$0.0052.1%15.4%54.1%33.8%0.0%3.1%1.4%35.0K-1.7M-6.1K1.1740.56N/AN/A130152823225
2022-03-22$41.17$0.0051.0%14.9%55.6%31.5%51.8%6.0%0.3%35.0K-2.0M-7.1K1.0040.34N/AN/A115115907346
2022-03-23$40.74$40.0051.6%15.0%54.6%32.8%53.8%5.0%0.9%32.9K-2.0M-7.3K0.6139.63N/AN/A12777934370
2022-03-24$41.22$35.0048.7%14.8%54.7%26.6%55.2%4.8%2.9%33.8K-2.1M-7.1K0.8641.86N/AN/A124107925372
2022-03-25$42.06$35.0050.4%14.6%52.0%30.3%54.4%4.2%-0.1%34.8K-2.2M-7.1K0.9644.28N/AN/A111107930388
2022-03-28$41.82$35.0051.7%14.8%51.9%32.9%53.3%5.4%-0.5%37.1K-2.2M-7.0K1.1545.65N/AN/A8193948388
2022-03-29$42.10$35.0049.9%14.7%48.7%29.0%52.6%3.9%1.1%36.9K-2.3M-7.0K0.8251.95N/AN/A7360950390
2022-03-30$42.23$35.0050.1%14.8%42.0%29.6%51.8%2.7%1.4%37.5K-2.3M-7.0K0.6451.76N/AN/A7749950401
2022-03-31$42.27$40.0049.8%14.8%40.4%28.9%51.7%2.4%2.4%37.1K-2.3M-7.1K0.6059.84N/AN/A8249959408