CRS Options History — October 2022

In October 2022, CRS traded between $33.26 and $37.80. ATM implied volatility averaged 62.1%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 0.9% (HV 20d: 61.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2022-10-28: Highest Volume — 379 contracts
  • 2022-10-27: Largest IV drop — 11.3% change
  • 2022-10-10: Highest IV Rank — 71.0%
  • 2022-10-11: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.25$33.26$37.80$33.26$37.80
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV62.1%52.4%69.7%65.0%52.4%
Expected Move17.6%15.0%18.9%18.6%15.0%
HV 20d61.3%45.7%77.7%73.7%45.7%
HV 60d62.3%61.3%63.0%61.3%63.0%
IV Rank54.9%34.3%71.0%60.9%34.3%
IV Percentile72.4%37.7%96.4%86.5%37.7%
Term Structure-3.0%-4.8%-0.6%-3.1%-1.0%
VWIV62.5%52.0%68.8%65.2%56.0%
Skew 25d5.3%3.3%6.7%3.3%5.1%
Skew 10d11.9%6.2%15.7%14.4%15.7%
Call IV 25d59.7%49.9%65.3%65.3%51.5%
Put IV 25d65.0%56.3%69.7%68.6%56.6%
Bid-Ask Spread %63.9839.6582.4082.2181.97
Gamma HHI0.300.260.400.290.29
Net GEX35.4K18.2K56.7K18.2K53.6K
Net DEX-909.0K-1.5M-502.0K-502.0K-1.5M
Net VEX-4.6K-5.2K-3.9K-4.7K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.060.690.420.06
Total Volume219.19139379141379
Total OI1,393.6191,2651,5201,3481,520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$33.26$35.0065.0%18.6%73.7%60.9%65.2%3.3%-3.1%18.2K-502.0K-4.7K0.4282.21N/AN/A99421,048300
2022-10-04$35.68$35.0063.7%18.3%77.6%58.3%63.6%6.4%-2.8%26.7K-862.4K-5.2K0.4282.32N/AN/A99421,051300
2022-10-05$35.02$35.0063.8%18.3%77.6%58.4%63.6%5.8%-2.3%24.8K-770.3K-5.0K0.4278.27N/AN/A99421,051300
2022-10-06$34.55$35.0065.5%17.8%77.7%62.1%64.0%5.3%-3.3%23.1K-695.7K-5.0K0.4353.45N/AN/A97421,051300
2022-10-07$33.84$35.0066.7%17.8%74.8%64.6%64.8%5.8%-3.6%20.2K-572.8K-4.7K0.3657.25N/AN/A117421,052301
2022-10-10$34.67$35.0069.7%18.4%68.3%71.0%66.8%4.5%-3.9%24.8K-742.4K-4.9K0.3551.90N/AN/A121421,067301
2022-10-11$34.12$35.0068.1%18.9%66.9%67.6%68.8%5.0%-3.7%22.7K-641.3K-4.6K0.3649.85N/AN/A112401,070301
2022-10-12$34.59$35.0063.7%18.3%61.1%58.3%66.1%4.4%-3.9%32.6K-815.3K-4.8K0.3149.85N/AN/A145451,125303
2022-10-13$35.11$35.0063.7%18.3%61.1%58.3%65.2%4.5%-4.8%35.6K-897.0K-4.8K0.6945.05N/AN/A1451001,122303
2022-10-14$33.62$35.0064.3%18.4%59.5%59.4%66.9%4.8%-4.2%28.9K-591.6K-4.3K0.2756.24N/AN/A145391,122304
2022-10-17$34.48$35.0065.1%18.7%57.2%61.2%66.6%4.8%-4.1%36.0K-735.3K-4.2K0.2865.63N/AN/A145401,122305
2022-10-18$34.94$35.0061.4%17.6%57.2%53.3%63.7%5.1%-4.5%43.6K-829.3K-4.2K0.3057.38N/AN/A133401,122306
2022-10-19$34.64$35.0061.1%17.5%55.8%52.8%62.6%4.8%-2.1%48.1K-769.0K-4.1K0.3063.73N/AN/A133401,125306
2022-10-20$34.66$35.0061.3%17.6%55.6%53.2%61.4%5.9%-2.3%56.7K-745.6K-3.9K0.1362.51N/AN/A304391,127306
2022-10-21$36.58$35.0060.6%17.4%55.2%51.6%60.9%6.7%-2.6%37.5K-1.5M-4.6K0.1869.72N/AN/A222411,196306
2022-10-24$36.08$35.0062.1%17.8%55.2%54.8%61.6%6.4%-4.0%38.1K-1.1M-4.6K0.2367.59N/AN/A213501,085180
2022-10-25$36.94$35.0060.8%17.4%55.4%52.2%60.6%5.9%-2.7%41.8K-1.3M-4.7K0.1264.43N/AN/A187221,117192
2022-10-26$37.32$35.0059.7%17.1%53.6%49.9%58.7%5.2%-1.7%44.7K-1.3M-4.7K0.2039.65N/AN/A256521,122194
2022-10-27$36.27$35.0053.0%15.2%49.9%35.6%52.0%6.4%-0.6%43.7K-1.1M-4.4K0.1082.40N/AN/A248251,197233
2022-10-28$36.13$35.0053.3%15.3%47.9%36.2%52.5%6.2%-2.4%42.9K-1.1M-4.3K0.0782.10N/AN/A354251,197236
2022-10-31$37.80$35.0052.4%15.0%45.7%34.3%56.0%5.1%-1.0%53.6K-1.5M-5.0K0.0681.97N/AN/A358211,284236