CRS Options History — August 2022

In August 2022, CRS traded between $32.84 and $39.18. ATM implied volatility averaged 47.0%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 1.1% (HV 20d: 48.0%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2022-08-03: Highest Volume — 351 contracts
  • 2022-08-17: Largest IV spike — 16.2% change
  • 2022-08-30: Highest IV Rank — 37.0%
  • 2022-08-30: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.85$32.84$39.18$32.86$34.23
Max Pain$31.09$25.00$35.00$25.00$35.00
ATM IV47.0%42.6%53.6%47.6%52.7%
Expected Move13.5%12.2%15.4%13.6%15.1%
HV 20d48.0%32.7%66.2%44.0%66.2%
HV 60d50.3%46.5%53.8%51.7%53.8%
IV Rank22.9%13.8%37.0%24.2%35.0%
IV Percentile17.9%1.2%52.8%18.7%51.2%
Term Structure0.8%-14.3%3.7%-0.9%1.1%
VWIV51.0%41.2%77.0%58.9%52.8%
Skew 25d4.4%-9.0%8.3%8.0%5.3%
Skew 10d11.7%-0.5%22.9%15.3%5.7%
Call IV 25d45.3%40.7%52.3%44.5%51.4%
Put IV 25d49.7%42.0%58.6%52.5%56.7%
Bid-Ask Spread %80.4257.4090.2580.5480.61
Gamma HHI0.280.250.320.250.26
Net GEX52.6K35.9K64.7K42.8K35.9K
Net DEX-2.0M-3.4M-929.9K-1.3M-929.9K
Net VEX-7.1K-7.8K-5.8K-6.7K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.003.630.430.50
Total Volume102.3041351278156
Total OI1,8701,7382,1191,7501,786

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$32.86$25.0047.6%13.6%44.0%24.2%58.9%8.0%-0.9%42.8K-1.3M-6.7K0.4380.54N/AN/A195831,427323
2022-08-02$32.84$25.0048.1%13.8%37.0%25.3%77.0%6.6%-0.3%44.1K-1.4M-6.8K0.6572.62N/AN/A1911251,446333
2022-08-03$33.19$25.0044.9%12.9%35.0%18.7%64.7%8.3%0.8%43.3K-1.4M-6.9K0.6187.70N/AN/A2181331,449382
2022-08-04$33.77$30.0046.2%13.2%34.6%21.3%48.7%3.4%1.6%48.0K-1.6M-7.2K0.7768.37N/AN/A1731341,489390
2022-08-05$33.93$30.0043.6%12.9%34.6%15.9%47.4%5.7%2.1%49.8K-1.7M-7.1K0.5173.54N/AN/A172881,491391
2022-08-08$33.70$30.0046.0%13.1%34.0%20.9%49.2%4.3%2.7%49.5K-1.6M-7.2K0.4857.40N/AN/A181871,496403
2022-08-09$33.57$30.0046.0%13.3%32.7%20.9%0.0%4.1%1.7%49.2K-1.6M-6.8K0.0581.22N/AN/A2011,496404
2022-08-10$35.16$30.0045.0%12.9%35.0%18.7%44.8%6.2%2.4%56.8K-2.0M-7.2K0.0077.99N/AN/A0111,506405
2022-08-11$36.44$30.0045.8%13.1%35.2%20.4%0.0%4.2%1.8%58.9K-2.4M-7.4K0.0079.73N/AN/A2301,506404
2022-08-12$37.17$30.0044.0%12.6%35.1%16.8%41.2%5.4%3.1%57.9K-2.7M-7.1K0.0079.19N/AN/A4001,508404
2022-08-15$37.12$30.0045.6%13.1%35.5%20.0%53.9%5.3%2.7%64.7K-2.8M-7.0K0.2080.92N/AN/A1021,570404
2022-08-16$39.18$30.0043.0%12.3%35.2%14.6%47.4%4.0%3.7%60.3K-3.4M-7.4K3.6377.61N/AN/A27981,570403
2022-08-17$35.39$30.0050.0%14.3%54.1%29.3%62.9%-9.0%-14.3%54.0K-2.4M-7.5K0.0087.68N/AN/A2101,585448
2022-08-18$38.43$30.0042.6%12.2%58.5%13.8%42.8%2.1%2.7%57.2K-3.2M-7.2K0.0978.16N/AN/A7671,602448
2022-08-19$38.08$30.0044.3%12.7%58.0%17.3%45.5%2.8%2.2%60.1K-3.1M-7.7K1.0080.50N/AN/A11111,664455
2022-08-22$36.22$35.0048.9%14.0%62.2%27.0%47.5%6.0%1.0%46.5K-1.4M-7.0K0.1987.80N/AN/A2751,334404
2022-08-23$37.06$35.0049.0%14.1%62.1%27.3%46.8%3.6%-0.4%53.4K-1.7M-7.4K0.2580.84N/AN/A821,361407
2022-08-24$38.34$35.0045.9%13.2%62.3%20.7%45.7%3.8%1.6%61.1K-2.0M-7.6K0.0087.37N/AN/A501,369408
2022-08-25$38.82$35.0045.4%13.0%60.6%19.6%45.2%5.0%2.7%64.1K-2.2M-7.8K0.0090.10N/AN/A101,374408
2022-08-26$37.17$35.0050.5%14.5%63.3%30.3%46.8%4.3%0.3%56.0K-1.8M-7.2K0.0087.13N/AN/A401,375408
2022-08-29$36.59$35.0051.3%14.7%63.4%32.1%51.2%5.1%0.2%53.8K-1.6M-6.7K0.0082.35N/AN/A041,379408
2022-08-30$35.22$35.0053.6%15.4%65.3%37.0%0.0%6.3%-0.5%43.4K-1.2M-6.4K2.0090.25N/AN/A121,379408
2022-08-31$34.23$35.0052.7%15.1%66.2%35.0%52.8%5.3%1.1%35.9K-929.9K-5.8K0.5080.61N/AN/A104521,377409