CRS Options History — May 2022

In May 2022, CRS traded between $32.43 and $39.50. ATM implied volatility averaged 66.0%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 1.9% (HV 20d: 67.9%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2022-05-13: Highest Volume — 630 contracts
  • 2022-05-05: Largest IV spike — 18.8% change
  • 2022-05-10: Highest IV Rank — 88.2%
  • 2022-05-12: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.68$32.43$39.50$37.57$35.24
Max Pain$36.43$35.00$45.00$45.00$35.00
ATM IV66.0%57.8%77.9%65.7%65.2%
Expected Move18.4%16.6%19.5%18.8%18.7%
HV 20d67.9%61.2%73.4%61.4%62.3%
HV 60d57.8%54.5%64.9%60.9%54.5%
IV Rank63.1%45.7%88.2%62.4%61.3%
IV Percentile94.1%84.9%99.6%98.0%93.3%
Term Structure-5.3%-7.6%-1.7%-5.7%-6.4%
VWIV64.8%46.5%69.7%60.4%66.3%
Skew 25d5.1%1.6%8.6%2.7%5.0%
Skew 10d12.7%7.7%20.1%9.8%9.5%
Call IV 25d63.5%57.1%68.0%65.0%64.5%
Put IV 25d68.6%63.2%74.4%67.7%69.5%
Bid-Ask Spread %68.1462.0176.3662.0167.27
Gamma HHI0.300.230.460.320.26
Net GEX23.0K-33.4K57.0K43.3K54.2K
Net DEX-792.4K-2.3M650.6K-1.7M-1.3M
Net VEX-9.3K-12.3K-7.3K-12.1K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.311.610.900.63
Total Volume362.952241630290298
Total OI2,277.5241,9202,6692,1822,056

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$37.57$45.0065.7%18.8%61.4%62.4%60.4%2.7%-5.7%43.3K-1.7M-12.1K0.9062.01N/AN/A1531371,658524
2022-05-03$37.30$45.0065.4%18.8%61.2%61.9%61.6%4.8%-6.1%43.6K-1.6M-11.8K0.8863.29N/AN/A1281131,667524
2022-05-04$39.50$45.0057.8%16.6%61.4%45.7%46.5%6.1%-1.7%56.4K-2.3M-12.3K0.7174.97N/AN/A1591131,669506
2022-05-05$36.01$35.0068.6%17.3%69.4%68.6%60.8%5.5%-4.8%40.5K-1.3M-11.0K0.7364.10N/AN/A1661211,712506
2022-05-06$34.71$35.0067.8%17.6%70.2%66.9%61.7%4.5%-4.4%33.8K-1.0M-10.2K0.9367.33N/AN/A1651541,721500
2022-05-09$33.79$35.0077.3%18.6%70.4%86.8%66.8%4.9%-6.2%29.0K-763.4K-9.5K1.6162.81N/AN/A1973171,715515
2022-05-10$32.96$35.0077.9%18.9%70.4%88.2%69.3%4.2%-6.3%10.1K-196.0K-9.1K0.6562.34N/AN/A1761151,715682
2022-05-11$33.16$35.0066.0%18.9%70.6%63.1%66.5%7.0%-6.2%1.9K-89.7K-9.5K0.3167.83N/AN/A3591101,730785
2022-05-12$33.02$35.0067.9%19.5%69.1%67.1%69.7%6.4%-7.2%-5.6K88.5K-8.7K0.5765.62N/AN/A3602041,599778
2022-05-13$33.23$35.0064.2%18.4%66.2%59.4%65.5%6.5%-5.2%-15.8K128.6K-8.8K0.4867.53N/AN/A4272031,603864
2022-05-16$32.64$35.0064.4%18.5%66.1%59.7%68.3%3.3%-5.8%-11.0K310.0K-8.2K0.9072.27N/AN/A2482231,677869
2022-05-17$35.10$35.0061.4%17.6%71.3%53.3%64.0%6.3%-4.2%-10.2K-637.2K-9.3K1.3073.23N/AN/A1712231,700869
2022-05-18$34.97$35.0065.7%18.8%71.4%62.4%69.7%5.3%-7.6%-18.9K-645.4K-9.2K1.0973.61N/AN/A1821981,710870
2022-05-19$34.72$35.0065.3%18.7%68.4%61.6%69.2%2.5%-3.6%-33.4K-467.0K-9.1K1.2064.98N/AN/A1672011,720868
2022-05-20$32.43$35.0067.4%19.3%71.6%66.0%67.2%8.6%-6.0%31.8K650.6K-7.3K0.8769.09N/AN/A2322011,738931
2022-05-23$33.23$35.0064.5%18.5%72.3%60.0%67.6%1.6%-4.5%39.7K-876.6K-7.9K0.8073.00N/AN/A1451161,553367
2022-05-24$32.91$35.0065.1%18.7%71.6%61.2%67.1%4.0%-4.3%38.2K-784.0K-7.7K0.7566.08N/AN/A1501131,565373
2022-05-25$34.39$35.0064.8%18.6%73.4%60.5%68.1%3.6%-4.9%46.6K-1.2M-8.6K0.7867.18N/AN/A1511181,594381
2022-05-26$35.38$35.0062.6%17.9%64.8%55.9%62.0%7.1%-4.6%52.5K-1.4M-8.7K0.5876.36N/AN/A2021181,594381
2022-05-27$36.11$35.0061.1%17.5%61.9%52.8%62.5%8.0%-4.7%57.0K-1.5M-8.8K0.5770.04N/AN/A1831051,658381
2022-05-31$35.24$35.0065.2%18.7%62.3%61.3%66.3%5.0%-6.4%54.2K-1.3M-8.2K0.6367.27N/AN/A1831151,656400