CRS Options History — June 2022

In June 2022, CRS traded between $27.41 and $35.98. ATM implied volatility averaged 62.8%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 11.9% (HV 20d: 50.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2022-06-06: Highest Volume — 656 contracts
  • 2022-06-08: Largest IV drop — 11.7% change
  • 2022-06-13: Highest IV Rank — 67.9%
  • 2022-06-13: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.39$27.41$35.98$34.65$27.63
Max Pain$34.05$30.00$35.00$35.00$30.00
ATM IV62.8%55.1%68.3%63.0%64.7%
Expected Move17.6%15.8%19.6%18.1%18.6%
HV 20d50.9%46.2%62.4%62.4%48.9%
HV 60d55.2%54.1%57.1%54.5%57.1%
IV Rank56.3%40.2%67.9%56.8%60.4%
IV Percentile85.7%68.7%97.6%88.5%90.1%
Term Structure-1.9%-5.5%0.7%-4.9%-3.4%
VWIV60.9%53.7%71.5%66.7%71.5%
Skew 25d5.8%2.9%9.8%5.9%5.4%
Skew 10d11.7%6.4%21.2%9.4%6.4%
Call IV 25d60.3%52.9%66.4%62.7%65.3%
Put IV 25d66.1%58.6%72.0%68.7%70.7%
Bid-Ask Spread %62.9741.7479.5767.8078.81
Gamma HHI0.300.250.350.280.32
Net GEX19.1K3.6K51.7K51.4K20.2K
Net DEX-45.2K-1.3M1.2M-1.1M75.3K
Net VEX-6.2K-8.8K-4.3K-7.8K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.442.181.321.84
Total Volume371.81272656424293
Total OI2,050.1431,1922,5832,0671,583

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$34.65$35.0063.0%18.1%62.4%56.8%66.7%5.9%-4.9%51.4K-1.1M-7.8K1.3267.80N/AN/A1832411,656411
2022-06-02$35.98$35.0062.3%16.2%60.3%55.2%56.4%7.1%-0.1%51.7K-1.3M-8.7K1.3152.18N/AN/A2062691,657511
2022-06-03$35.07$35.0062.5%16.3%51.3%55.8%57.5%5.3%0.0%48.6K-1.1M-8.4K1.4355.39N/AN/A2052931,698501
2022-06-06$35.67$35.0065.3%16.5%49.9%61.6%57.4%5.5%-0.2%51.4K-1.2M-8.3K2.1851.77N/AN/A2064501,700541
2022-06-07$35.71$35.0062.4%16.0%48.8%55.6%56.1%4.3%0.3%26.2K-937.3K-8.8K1.1141.74N/AN/A2222471,724747
2022-06-08$34.51$35.0055.1%15.8%49.6%40.2%54.4%7.5%0.7%15.8K-474.4K-8.1K1.0455.29N/AN/A1591651,727757
2022-06-09$33.46$35.0057.6%16.5%51.0%45.5%57.0%4.5%-1.3%7.7K24.4K-7.5K1.0759.13N/AN/A1591701,728801
2022-06-10$32.21$35.0063.4%18.2%52.8%57.5%59.0%7.1%-3.6%8.0K353.8K-7.1K0.9355.38N/AN/A1631521,758804
2022-06-13$30.96$35.0068.3%19.6%54.4%67.9%65.5%5.6%-5.5%6.7K665.1K-6.1K0.8653.07N/AN/A1571351,759808
2022-06-14$31.06$35.0067.2%19.3%54.2%65.5%65.1%7.0%-4.6%6.4K733.5K-5.9K0.8343.71N/AN/A1491231,758822
2022-06-15$30.76$35.0062.9%18.0%46.3%56.5%60.6%5.1%-2.7%6.9K851.8K-5.7K0.8361.79N/AN/A1831521,759824
2022-06-16$28.77$35.0064.6%18.5%51.0%60.2%65.6%4.0%-1.1%6.6K1.2M-4.5K0.9563.61N/AN/A1741661,760823
2022-06-17$29.39$35.0062.9%18.0%52.2%56.5%63.5%5.6%-1.9%3.6K1.1M-4.5K0.9671.73N/AN/A1631571,758761
2022-06-21$30.25$35.0062.4%17.9%48.7%55.5%61.1%7.2%-2.4%3.7K83.5K-4.6K0.5676.33N/AN/A211118882310
2022-06-22$29.25$35.0062.5%17.9%48.6%55.8%62.6%5.3%-1.5%7.7K43.2K-5.1K0.6574.20N/AN/A1751141,016311
2022-06-23$28.40$35.0062.2%17.8%49.3%55.0%53.7%6.5%0.0%7.1K147.2K-4.6K0.6564.92N/AN/A1781151,020314
2022-06-24$29.46$35.0057.9%16.6%48.3%46.0%55.5%2.9%0.6%9.0K49.8K-5.1K0.4579.57N/AN/A2761241,043326
2022-06-27$29.77$30.0061.7%17.7%47.0%54.1%62.1%9.8%-2.4%22.4K-192.9K-5.5K0.4477.70N/AN/A3051331,216344
2022-06-28$28.91$30.0062.0%17.8%46.2%54.6%62.2%7.3%-2.2%21.8K-72.3K-5.0K0.4472.46N/AN/A2851251,222344
2022-06-29$27.41$30.0067.8%19.4%48.4%66.8%66.0%3.3%-2.9%17.9K160.7K-4.3K1.6065.91N/AN/A1181891,223346
2022-06-30$27.63$30.0064.7%18.6%48.9%60.4%71.5%5.4%-3.4%20.2K75.3K-4.4K1.8478.81N/AN/A1031901,224359