CRS Options History — December 2022

In December 2022, CRS traded between $36.65 and $42.99. ATM implied volatility averaged 55.1%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 17.3% (HV 20d: 37.7%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2022-12-19: Highest Volume — 76 contracts
  • 2022-12-12: Largest IV spike — 124.7% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-29: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.18$36.65$42.99$41.27$36.84
Max Pain$34.05$30.00$40.00$35.00$30.00
ATM IV55.1%39.5%108.9%58.2%49.0%
Expected Move13.9%11.3%19.3%16.7%14.1%
HV 20d37.7%31.6%43.9%33.8%43.2%
HV 60d47.7%41.1%55.0%54.5%41.1%
IV Rank30.5%4.7%100.0%46.7%17.8%
IV Percentile32.2%0.4%100.0%56.7%19.4%
Term Structure2.4%-13.3%12.1%-13.3%2.6%
VWIV49.0%38.8%60.0%57.7%51.2%
Skew 25d8.7%-2.9%21.7%11.2%4.3%
Skew 10d12.0%-2.8%93.1%20.5%4.0%
Call IV 25d42.0%32.8%49.8%49.8%42.7%
Put IV 25d50.7%44.2%61.7%61.0%47.0%
Bid-Ask Spread %96.3786.08107.15100.09100.57
Gamma HHI0.340.300.390.300.32
Net GEX43.9K20.4K80.8K70.2K23.3K
Net DEX-1.3M-2.4M-583.5K-2.0M-689.1K
Net VEX-3.6K-4.9K-2.6K-4.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.002.000.101.00
Total Volume16.714076110
Total OI1,215.7625841,6351,613701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$41.27$35.0058.2%16.7%33.8%46.7%57.7%11.2%-13.3%70.2K-2.0M-4.9K0.10100.09N/AN/A1011,382231
2022-12-02$42.99$35.0046.7%13.4%35.6%22.5%47.7%4.5%-2.6%80.8K-2.4M-4.7K0.00100.17N/AN/A1701,377230
2022-12-05$41.55$40.0052.0%13.6%33.0%33.6%0.0%10.8%2.3%68.7K-2.1M-4.3K0.0093.54N/AN/A001,387230
2022-12-06$41.84$40.0053.6%14.7%32.5%36.9%0.0%6.1%-2.9%67.0K-2.1M-4.1K0.0091.81N/AN/A001,387230
2022-12-07$41.47$40.0061.3%14.2%32.7%53.1%0.0%2.3%0.2%67.1K-2.0M-4.2K0.0088.07N/AN/A2001,387230
2022-12-08$41.20$40.0052.7%13.5%32.6%35.0%48.6%11.2%5.9%60.2K-1.9M-4.0K0.0095.22N/AN/A041,393230
2022-12-09$39.55$40.0046.2%13.9%32.4%21.3%44.1%-2.9%-1.3%52.4K-1.7M-3.6K0.0693.83N/AN/A1611,393231
2022-12-12$40.11$35.00103.7%13.8%32.6%100.0%51.7%7.2%0.9%56.3K-1.7M-3.8K0.2986.12N/AN/A721,394232
2022-12-13$40.49$35.00108.9%13.2%32.3%100.0%48.5%9.9%2.9%60.2K-1.8M-3.7K2.0090.44N/AN/A121,396234
2022-12-14$39.81$35.0045.9%13.2%31.6%13.5%51.3%2.1%3.7%52.5K-1.6M-3.5K0.4392.58N/AN/A731,396236
2022-12-15$37.27$35.0055.7%16.0%38.8%26.9%60.0%13.5%-8.4%28.3K-1.1M-2.9K0.2299.62N/AN/A46101,396239
2022-12-16$37.06$35.0050.3%14.4%38.6%19.6%49.9%5.8%0.4%20.8K-1.0M-2.8K0.1197.24N/AN/A4651,375239
2022-12-19$36.65$30.0048.1%13.8%38.3%16.6%45.2%2.6%8.4%20.4K-583.5K-2.6K0.1096.01N/AN/A69753747
2022-12-20$38.59$30.0044.7%12.8%43.3%11.9%42.0%7.8%11.8%27.6K-837.7K-3.5K0.0086.08N/AN/A24059650
2022-12-21$38.65$30.0044.6%12.8%43.0%11.7%38.8%9.4%2.9%29.8K-895.1K-3.6K0.1797.67N/AN/A24461950
2022-12-22$37.64$30.0039.5%11.3%43.8%4.7%0.0%21.7%12.1%27.8K-787.8K-3.4K0.00102.22N/AN/A21062354
2022-12-23$37.88$30.0039.9%11.4%43.9%5.3%0.0%20.9%6.9%29.6K-832.8K-3.6K0.00102.54N/AN/A0064454
2022-12-27$37.98$30.0045.0%12.9%42.5%12.3%0.0%10.5%7.7%27.7K-789.3K-3.4K0.00100.26N/AN/A2064554
2022-12-28$36.72$30.0042.8%12.3%43.8%9.3%0.0%6.5%8.5%25.0K-709.8K-3.3K0.00107.15N/AN/A0064754
2022-12-29$37.30$30.0067.2%19.3%43.4%42.8%51.2%16.7%1.6%27.1K-747.4K-3.4K1.00102.62N/AN/A1164754
2022-12-30$36.84$30.0049.0%14.1%43.2%17.8%0.0%4.3%2.6%23.3K-689.1K-3.2K0.00100.57N/AN/A0064655