CRS Options History — September 2022

In September 2022, CRS traded between $31.25 and $38.98. ATM implied volatility averaged 58.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 12.2% (HV 20d: 70.3%). 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 2 of 21 days. Put/call ratio averaged 3.57.

Notable Days

  • 2022-09-16: Highest Volume — 269 contracts
  • 2022-09-07: Largest IV drop — 11.4% change
  • 2022-09-29: Highest IV Rank — 66.8%
  • 2022-09-29: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.45$31.25$38.98$32.48$31.25
Max Pain$34.05$30.00$35.00$35.00$35.00
ATM IV58.1%50.1%67.7%55.5%66.7%
Expected Move16.5%13.9%19.4%15.9%19.1%
HV 20d70.3%67.4%79.6%68.6%70.1%
HV 60d57.4%53.2%60.1%54.8%60.1%
IV Rank46.3%29.6%66.8%41.0%64.5%
IV Percentile64.4%35.7%94.0%57.1%91.3%
Term Structure-2.1%-14.0%2.8%2.8%-2.8%
VWIV58.6%51.8%73.2%52.6%65.4%
Skew 25d4.1%-8.8%6.5%5.5%5.6%
Skew 10d10.6%1.8%17.8%10.2%7.7%
Call IV 25d56.1%47.8%65.5%52.1%65.1%
Put IV 25d60.2%49.9%70.6%57.6%70.6%
Bid-Ask Spread %67.3944.4794.3794.3775.12
Gamma HHI0.350.240.560.240.25
Net GEX45.1K11.6K108.7K22.0K11.6K
Net DEX-1.2M-3.3M-224.8K-509.2K-224.8K
Net VEX-5.5K-6.6K-4.3K-5.3K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.570.0059.000.440.40
Total Volume125.2862269234148
Total OI1,729.7621,2022,2311,7921,348

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$32.48$35.0055.5%15.9%68.6%41.0%52.6%5.5%2.8%22.0K-509.2K-5.3K0.4494.37N/AN/A163711,382410
2022-09-02$32.32$35.0057.8%16.6%68.5%45.9%52.8%4.3%-3.3%35.9K-589.0K-5.5K0.0093.51N/AN/A13201,539409
2022-09-06$32.40$30.0061.4%16.3%68.5%53.3%57.0%5.6%-2.0%46.3K-613.4K-5.3K0.9760.39N/AN/A1171141,641409
2022-09-07$33.32$30.0054.4%15.1%69.4%38.6%54.3%4.0%-0.5%67.9K-977.1K-5.5K0.5059.69N/AN/A108541,664413
2022-09-08$33.74$30.0052.0%15.3%67.4%33.7%56.5%4.0%-1.3%78.6K-1.1M-5.4K59.0044.47N/AN/A1591,665414
2022-09-09$35.84$30.0050.1%14.8%69.7%29.6%52.3%5.5%-0.2%108.7K-2.0M-6.0K0.3865.11N/AN/A1351,665473
2022-09-12$38.98$35.0051.0%13.9%75.7%31.5%51.8%4.6%0.6%93.4K-3.3M-6.2K0.0059.24N/AN/A15501,668479
2022-09-13$37.31$35.0055.9%15.4%77.5%41.8%53.6%3.9%-0.3%107.0K-2.8M-6.2K0.3367.39N/AN/A181601,752479
2022-09-14$34.48$35.0055.9%16.0%79.6%41.7%61.2%-1.1%-5.8%66.5K-1.7M-5.9K0.2464.71N/AN/A102241,693479
2022-09-15$34.05$35.0056.7%16.3%71.2%43.5%0.0%-8.8%-14.0%62.1K-1.5M-5.1K0.0065.10N/AN/A081,693479
2022-09-16$36.01$35.0055.8%16.0%67.6%41.5%56.2%4.3%-0.8%31.0K-2.6M-5.3K0.4962.44N/AN/A180891,693483
2022-09-19$37.85$35.0054.2%15.5%70.1%38.2%56.1%5.1%-0.1%37.8K-1.3M-5.8K1.4857.96N/AN/A61901,002200
2022-09-20$37.07$35.0057.1%16.4%68.1%44.4%57.2%6.1%-1.3%32.3K-1.1M-6.6K0.2565.38N/AN/A411,057289
2022-09-21$35.69$35.0057.4%16.4%69.0%44.8%73.2%4.2%-1.4%28.0K-915.3K-6.0K0.0070.90N/AN/A061,060290
2022-09-22$35.20$35.0058.0%16.6%67.7%46.3%51.9%6.4%-3.5%25.8K-810.6K-5.8K0.0071.73N/AN/A201,060295
2022-09-23$33.39$35.0061.3%17.6%69.5%53.2%61.3%5.0%-0.5%19.9K-556.8K-5.3K0.0065.06N/AN/A401,062295
2022-09-26$32.90$35.0063.3%18.2%68.3%57.4%63.7%6.1%-3.0%18.4K-486.3K-5.1K1.5266.56N/AN/A851291,060295
2022-09-27$32.74$35.0064.3%18.4%68.2%59.6%65.9%6.5%-3.1%17.0K-440.9K-5.0K0.9959.19N/AN/A85841,045297
2022-09-28$34.23$35.0062.6%17.9%69.3%55.9%62.8%5.5%-1.5%21.7K-646.8K-5.3K0.4071.80N/AN/A106421,045298
2022-09-29$32.29$35.0067.7%19.4%71.6%66.8%66.0%4.7%-2.6%15.0K-364.5K-4.6K0.4075.01N/AN/A106421,046299
2022-09-30$31.25$35.0066.7%19.1%70.1%64.5%65.4%5.6%-2.8%11.6K-224.8K-4.3K0.4075.12N/AN/A106421,048300