CRS Options History — July 2022

In July 2022, CRS traded between $25.42 and $32.08. ATM implied volatility averaged 63.3%, placing in the 57.4% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 16.2% (HV 20d: 47.1%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2022-07-28: Highest Volume — 454 contracts
  • 2022-07-11: Largest IV spike — 21.6% change
  • 2022-07-11: Highest IV Rank — 97.2%
  • 2022-07-01: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.02$25.42$32.08$27.44$32.08
Max Pain$27.50$25.00$30.00$30.00$25.00
ATM IV63.3%49.0%82.2%66.7%49.0%
Expected Move17.3%14.1%19.1%19.1%14.1%
HV 20d47.1%43.5%50.8%45.4%44.0%
HV 60d55.7%51.4%57.5%55.8%52.9%
IV Rank57.4%27.3%97.2%64.6%27.3%
IV Percentile76.0%28.6%99.6%94.4%28.6%
Term Structure-1.6%-3.3%0.9%0.0%-0.6%
VWIV62.3%50.7%68.4%65.6%52.5%
Skew 25d5.2%2.0%7.4%5.3%4.1%
Skew 10d16.8%11.5%27.2%27.2%26.6%
Call IV 25d58.7%45.5%63.2%62.9%45.5%
Put IV 25d63.9%49.6%69.0%68.1%49.6%
Bid-Ask Spread %59.3228.7284.7656.4575.81
Gamma HHI0.220.180.320.320.26
Net GEX15.9K8.3K41.5K20.3K41.5K
Net DEX-118.0K-1.2M381.3K128.2K-1.2M
Net VEX-4.4K-6.7K-3.3K-4.2K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.401.841.480.40
Total Volume285.4171454352335
Total OI1,535.31,2701,7161,5871,716

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$27.44$30.0066.7%19.1%45.4%64.6%65.6%5.3%0.0%20.3K128.2K-4.2K1.4856.45N/AN/A1422101,227360
2022-07-05$25.95$25.0077.5%18.8%47.7%87.3%68.4%6.0%-2.3%11.8K306.4K-3.5K1.8139.94N/AN/A1302351,229383
2022-07-06$25.42$25.0074.8%18.7%46.2%81.7%67.4%5.4%-2.3%8.3K381.3K-3.3K1.5450.31N/AN/A1402161,234407
2022-07-07$26.14$25.0070.1%18.4%48.5%71.7%63.1%2.6%-1.1%11.6K325.2K-3.6K1.2247.78N/AN/A1341631,231410
2022-07-08$26.28$25.0067.6%18.2%48.5%66.5%62.0%5.0%-2.6%11.1K350.5K-3.5K1.4944.63N/AN/A1011501,233414
2022-07-11$25.92$25.0082.2%18.6%48.1%97.2%65.7%5.6%-2.4%8.5K370.2K-3.4K1.4559.09N/AN/A1001451,245417
2022-07-12$27.03$25.0073.7%18.8%50.8%79.3%65.0%4.9%-3.3%15.2K292.3K-3.8K1.1628.72N/AN/A1251451,246423
2022-07-13$27.53$25.0060.7%17.4%50.3%51.9%63.8%5.7%-0.9%21.0K219.0K-4.1K1.8430.45N/AN/A791451,283424
2022-07-14$27.36$25.0066.0%18.9%50.2%63.1%63.4%5.9%-3.3%8.9K281.0K-3.8K1.4944.66N/AN/A821221,289424
2022-07-15$27.48$30.0063.1%18.1%50.3%57.0%61.6%3.6%-2.1%8.7K51.8K-3.8K1.0568.46N/AN/A1161221,291349
2022-07-18$27.72$30.0061.3%17.6%45.0%53.1%62.1%2.0%-2.2%10.2K-224.1K-4.4K0.5566.64N/AN/A110611,037233
2022-07-19$29.32$30.0059.4%17.0%48.9%49.2%60.7%7.1%-1.3%14.3K-364.4K-4.5K0.4866.63N/AN/A126611,049223
2022-07-20$29.22$30.0057.0%16.4%47.7%44.2%62.5%5.6%-0.3%15.5K-391.1K-4.9K0.8365.04N/AN/A117971,082235
2022-07-21$28.60$30.0057.1%16.4%46.8%44.3%63.4%4.7%-2.3%13.8K-284.3K-4.2K0.7670.10N/AN/A1781351,085194
2022-07-22$28.12$30.0057.3%16.4%46.0%44.8%64.2%4.8%-0.0%13.1K-287.1K-4.4K0.5668.14N/AN/A1781001,123234
2022-07-25$28.93$30.0058.7%16.8%45.2%47.6%65.5%5.1%-1.0%15.6K-384.3K-4.7K0.6066.68N/AN/A1671011,125242
2022-07-26$28.85$30.0058.8%16.9%45.0%47.9%60.4%5.4%-2.4%14.9K-355.0K-4.7K0.6576.13N/AN/A1981281,130247
2022-07-27$29.73$30.0055.9%16.0%45.1%41.8%58.1%7.4%-2.1%20.7K-529.0K-5.6K0.5375.99N/AN/A2361241,238310
2022-07-28$31.30$25.0049.6%14.2%43.5%28.5%50.7%7.1%0.9%33.8K-1.0M-6.0K0.6984.76N/AN/A2681861,370314
2022-07-29$32.08$25.0049.0%14.1%44.0%27.3%52.5%4.1%-0.6%41.5K-1.2M-6.7K0.4075.81N/AN/A239961,422294