CRS Options History — February 2023 In February 2023, CRS traded between $46.84 and $51.40. ATM implied volatility averaged 42.5%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 0.3% (HV 20d: 42.8%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.36.
Notable Days 2023-02-21 : Highest Volume — 139 contracts2023-02-27 : Largest IV spike — 26.2% change2023-02-27 : Highest IV Rank — 12.4%2023-02-21 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $49.54 $46.84 $51.40 $50.16 $48.45 Max Pain $37.63 $30.00 $45.00 $45.00 $40.00 ATM IV 42.5% 34.9% 45.2% 41.4% 43.2% Expected Move 12.0% 10.0% 12.7% 11.9% 12.4% HV 20d 42.8% 37.5% 46.4% 42.8% 37.5% HV 60d 41.6% 40.9% 42.5% 42.5% 42.0% IV Rank 5.4% 0.0% 12.4% 2.8% 11.3% IV Percentile 4.4% 0.0% 9.9% 1.2% 6.7% Term Structure -0.7% -3.0% 0.5% -1.1% -1.4% VWIV 42.5% 37.3% 50.3% 44.6% 43.2% Skew 25d 2.9% -11.0% 4.5% 4.5% 4.3% Skew 10d 8.9% 6.0% 11.4% 8.9% 11.4% Call IV 25d 41.5% 39.7% 43.7% 40.0% 43.1% Put IV 25d 44.4% 32.5% 47.4% 44.5% 47.4% Bid-Ask Spread % 52.53 12.61 74.77 69.12 69.89 Gamma HHI 0.27 0.22 0.39 0.25 0.39 Net GEX 58.2K 42.3K 93.9K 42.3K 93.9K Net DEX -2.6M -3.2M -1.9M -2.7M -2.5M Net VEX -5.3K -6.2K -5.0K -5.1K -6.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.36 0.00 26.00 0.00 0.00 Total Volume 53 4 139 51 28 Total OI 1,149.211 997 1,339 1,020 1,339
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-02-01 $50.16 $45.00 41.4% 11.9% 42.8% 2.8% 44.6% 4.5% -1.1% 42.3K -2.7M -5.1K 0.00 69.12 N/A N/A 51 0 794 226 2023-02-02 $50.45 $30.00 43.7% 11.8% 42.8% 6.1% 41.1% 3.5% 0.3% 44.8K -2.8M -5.1K 0.31 40.43 N/A N/A 13 4 821 226 2023-02-03 $51.28 $30.00 43.3% 12.0% 42.7% 5.5% 40.0% 3.8% -0.1% 46.3K -2.9M -5.1K 0.16 61.55 N/A N/A 32 5 831 230 2023-02-06 $49.39 $30.00 45.2% 12.0% 44.4% 8.3% 41.9% 3.5% -0.2% 47.7K -2.6M -5.2K 0.50 33.77 N/A N/A 10 5 856 230 2023-02-07 $50.77 $30.00 45.1% 12.0% 44.8% 8.1% 0.0% 3.5% 0.1% 50.8K -2.9M -5.1K 5.00 12.61 N/A N/A 12 60 858 230 2023-02-08 $50.14 $30.00 42.4% 12.2% 43.6% 4.2% 50.3% 3.7% -0.1% 48.6K -2.7M -5.3K 26.00 46.97 N/A N/A 1 26 859 287 2023-02-09 $49.31 $40.00 42.1% 12.1% 44.1% 3.7% 41.6% 4.0% 0.4% 46.4K -2.6M -5.3K 9.00 41.13 N/A N/A 8 72 858 311 2023-02-10 $49.47 $40.00 43.1% 12.3% 43.8% 5.2% 43.0% 3.5% -0.1% 49.4K -2.6M -5.3K 0.00 61.21 N/A N/A 4 0 861 293 2023-02-13 $50.25 $40.00 43.8% 12.6% 43.3% 6.2% 0.0% 3.5% -1.0% 52.3K -2.8M -5.0K 1.60 48.33 N/A N/A 5 8 859 294 2023-02-14 $50.70 $40.00 42.4% 12.2% 41.8% 4.3% 42.5% 4.0% -0.2% 54.4K -2.9M -5.0K 0.07 45.63 N/A N/A 67 5 862 302 2023-02-15 $51.40 $40.00 41.9% 12.0% 41.6% 3.5% 41.6% 3.7% -0.1% 61.3K -3.2M -5.1K 0.15 54.20 N/A N/A 20 3 919 307 2023-02-16 $50.25 $40.00 40.9% 11.7% 42.9% 2.0% 40.9% 3.3% 0.5% 68.9K -3.0M -5.2K 0.43 49.63 N/A N/A 7 3 929 310 2023-02-17 $50.39 $40.00 41.0% 11.7% 42.9% 2.2% 40.4% 3.9% 0.1% 82.2K -3.1M -5.1K 0.00 44.99 N/A N/A 100 0 934 313 2023-02-21 $48.27 $40.00 44.1% 12.7% 46.4% 6.7% 43.8% 2.1% -2.0% 57.9K -2.2M -5.1K 1.17 71.34 N/A N/A 64 75 829 168 2023-02-22 $48.05 $40.00 43.6% 12.5% 45.0% 6.0% 43.8% 4.1% -1.0% 57.1K -2.1M -5.4K 0.05 41.68 N/A N/A 19 1 866 242 2023-02-23 $47.53 $40.00 42.2% 12.1% 44.9% 3.9% 42.8% 3.8% -3.0% 57.5K -2.0M -5.5K 0.17 59.20 N/A N/A 107 18 876 244 2023-02-24 $46.84 $40.00 34.9% 10.0% 40.9% 0.0% 37.3% -11.0% -2.7% 68.7K -1.9M -5.8K 0.23 71.58 N/A N/A 47 11 962 259 2023-02-27 $48.16 $40.00 44.0% 12.6% 37.8% 12.4% 43.9% 3.4% -1.7% 75.7K -2.3M -5.9K 0.00 74.77 N/A N/A 116 0 982 268 2023-02-28 $48.45 $40.00 43.2% 12.4% 37.5% 11.3% 43.2% 4.3% -1.4% 93.9K -2.5M -6.2K 0.00 69.89 N/A N/A 28 0 1,072 267
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