CRS Options History — November 2022

In November 2022, CRS traded between $35.66 and $41.70. ATM implied volatility averaged 52.0%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 6.8% (HV 20d: 45.2%). 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 4 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2022-11-01: Highest Volume — 261 contracts
  • 2022-11-09: Largest IV drop — 11.9% change
  • 2022-11-08: Highest IV Rank — 45.5%
  • 2022-11-02: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$35.66$41.70$37.96$40.88
Max Pain$34.05$30.00$35.00$35.00$35.00
ATM IV52.0%46.0%57.7%52.4%52.5%
Expected Move14.7%13.2%15.8%15.0%15.1%
HV 20d45.2%38.9%49.8%38.9%41.9%
HV 60d59.2%54.6%64.5%63.0%54.7%
IV Rank33.6%20.8%45.5%34.3%34.6%
IV Percentile31.3%7.5%54.4%37.3%36.1%
Term Structure-1.7%-9.9%5.6%-2.5%-4.6%
VWIV51.2%32.1%56.0%55.2%32.1%
Skew 25d5.9%-0.9%20.7%3.5%7.3%
Skew 10d9.9%-0.5%34.4%11.3%10.5%
Call IV 25d49.8%33.4%58.3%53.3%49.4%
Put IV 25d55.7%49.7%62.9%56.8%56.8%
Bid-Ask Spread %88.2275.7498.4675.7494.70
Gamma HHI0.310.260.360.290.29
Net GEX62.3K44.2K82.6K58.0K57.7K
Net DEX-2.0M-2.7M-1.1M-1.6M-1.8M
Net VEX-4.9K-5.4K-4.2K-5.4K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.000.490.080.00
Total Volume159.381026126195
Total OI1,582.191,4381,7011,5461,555

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$37.96$35.0052.4%15.0%38.9%34.3%55.2%3.5%-2.5%58.0K-1.6M-5.4K0.0875.74N/AN/A241201,304242
2022-11-02$35.66$35.0055.3%15.8%44.9%40.5%55.6%5.4%-2.1%44.2K-1.1M-4.7K0.1379.76N/AN/A222281,313247
2022-11-03$36.44$30.0056.2%15.6%45.1%42.5%55.0%0.6%0.3%48.6K-1.3M-4.9K0.0991.71N/AN/A214201,323257
2022-11-04$38.70$30.0056.3%14.7%48.5%42.6%52.0%2.7%-2.0%60.8K-1.8M-5.3K0.1781.67N/AN/A105181,322257
2022-11-07$39.41$30.0055.4%15.1%48.3%40.7%52.1%3.3%-2.0%67.3K-2.0M-5.4K0.2681.58N/AN/A146381,327252
2022-11-08$39.24$30.0057.7%14.9%47.8%45.5%53.8%3.5%-1.0%66.6K-2.0M-5.3K0.3683.06N/AN/A129461,344251
2022-11-09$38.89$35.0050.8%14.6%48.0%31.1%53.0%8.6%3.5%55.3K-1.8M-5.0K0.4293.34N/AN/A109461,345263
2022-11-10$40.63$35.0048.9%14.0%49.8%27.0%50.7%2.3%5.6%71.9K-2.4M-5.0K0.4986.52N/AN/A96471,355263
2022-11-11$40.16$35.0051.4%14.7%46.7%32.4%51.4%4.7%0.0%76.7K-2.3M-5.1K0.3983.21N/AN/A107421,362263
2022-11-14$40.74$35.0052.0%14.9%46.3%33.6%46.8%5.4%-1.5%77.7K-2.4M-5.1K0.3782.34N/AN/A105391,375273
2022-11-15$41.70$35.0054.7%15.7%46.6%39.3%52.1%6.9%-2.3%78.5K-2.7M-5.2K0.3283.30N/AN/A121391,383275
2022-11-16$41.24$35.0051.6%14.8%46.7%32.8%52.0%2.7%-1.5%82.6K-2.6M-4.9K0.3984.66N/AN/A122481,398275
2022-11-17$40.65$35.0052.0%14.9%47.4%33.5%54.4%6.8%-3.3%78.4K-2.4M-4.6K0.3490.34N/AN/A140481,398285
2022-11-18$41.05$35.0049.8%14.3%44.2%29.0%53.0%1.4%-2.8%59.1K-2.7M-4.8K0.2489.74N/AN/A174411,416285
2022-11-21$41.13$35.0052.2%15.0%43.6%34.0%47.6%11.8%-9.9%48.6K-1.7M-4.5K0.2892.49N/AN/A171481,235203
2022-11-22$41.59$35.0049.5%14.2%43.2%28.4%56.0%16.5%-0.9%62.5K-1.9M-4.9K0.2896.30N/AN/A161451,256215
2022-11-23$41.18$35.0048.3%13.9%43.5%25.8%49.3%-0.9%-1.3%59.4K-1.8M-4.7K0.2990.10N/AN/A194561,280217
2022-11-25$41.18$35.0046.0%13.2%41.8%20.8%0.0%6.5%-0.4%58.8K-1.9M-4.6K0.0096.57N/AN/A001,308229
2022-11-28$39.80$35.0048.7%14.0%44.0%26.6%49.9%4.6%-1.9%46.9K-1.6M-4.2K0.0098.46N/AN/A011,308229
2022-11-29$40.02$35.0050.3%14.4%41.4%30.0%32.1%20.7%-4.2%49.3K-1.6M-4.2K0.0097.05N/AN/A2501,308230
2022-11-30$40.88$35.0052.5%15.1%41.9%34.6%0.0%7.3%-4.6%57.7K-1.8M-4.4K0.0094.70N/AN/A9501,324231