CRS Options History — March 2023

In March 2023, CRS traded between $38.62 and $52.09. ATM implied volatility averaged 49.6%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 0.3% (HV 20d: 49.3%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.59.

Notable Days

  • 2023-03-20: Highest Volume — 209 contracts
  • 2023-03-13: Largest IV spike — 17.0% change
  • 2023-03-13: Highest IV Rank — 41.3%
  • 2023-03-15: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.47$38.62$52.09$50.67$44.37
Max Pain$45.22$40.00$50.00$40.00$45.00
ATM IV49.6%40.8%65.5%45.4%40.8%
Expected Move13.6%11.7%15.9%13.0%11.7%
HV 20d49.3%34.5%61.2%39.9%58.8%
HV 60d46.1%41.7%49.5%42.8%48.5%
IV Rank19.9%8.1%41.3%14.2%8.1%
IV Percentile31.7%1.6%88.5%16.3%1.6%
Term Structure-0.2%-3.5%3.8%-2.4%3.8%
VWIV47.5%41.3%57.2%45.4%42.9%
Skew 25d4.5%-1.4%6.2%4.7%5.2%
Skew 10d11.4%7.0%15.9%15.9%13.2%
Call IV 25d45.4%39.5%53.1%43.4%40.5%
Put IV 25d49.9%43.6%58.3%48.1%45.7%
Bid-Ask Spread %49.9315.0181.3441.2060.60
Gamma HHI0.310.170.550.400.28
Net GEX50.6K7.3K113.7K101.3K39.4K
Net DEX-1.1M-3.6M1.9K-3.2M-936.5K
Net VEX-5.8K-7.3K-4.0K-6.3K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.320.730.53
Total Volume58.739520920123
Total OI1,303.4357661,5961,3641,155

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$50.67$40.0045.4%13.0%39.9%14.2%45.4%4.7%-2.4%101.3K-3.2M-6.3K0.7341.20N/AN/A116851,097267
2023-03-02$50.78$40.0043.5%12.5%34.5%11.7%44.9%5.7%-1.4%107.7K-3.5M-7.3K0.0181.34N/AN/A15721,218350
2023-03-03$52.09$45.0042.3%12.1%35.6%10.0%42.6%4.5%-1.1%107.1K-3.6M-7.0K1.2272.96N/AN/A18221,128352
2023-03-06$49.92$45.0044.1%11.8%38.4%12.4%41.5%3.9%0.5%106.6K-2.6M-6.8K0.0551.23N/AN/A4321,140352
2023-03-07$49.36$50.0045.2%12.0%36.1%13.9%0.0%3.3%0.4%113.4K-2.5M-6.8K0.0026.29N/AN/A901,160353
2023-03-08$48.95$50.0045.0%11.8%34.7%13.6%41.3%3.5%1.0%113.7K-2.3M-6.6K0.0056.85N/AN/A6501,162353
2023-03-09$47.12$50.0048.1%13.1%36.9%17.8%0.0%3.8%-0.7%103.5K-1.6M-6.3K0.0034.08N/AN/A2801,223353
2023-03-10$44.89$45.0055.9%13.7%40.0%28.5%49.7%4.2%-1.8%64.3K-924.0K-5.7K1.0843.63N/AN/A12131,237353
2023-03-13$44.56$45.0065.5%13.9%39.9%41.3%0.0%4.6%-1.4%55.4K-774.2K-5.3K0.0055.06N/AN/A501,228366
2023-03-14$45.33$45.0064.2%14.1%40.0%39.6%50.0%5.3%-1.6%60.2K-892.7K-5.2K2.1754.17N/AN/A6131,224366
2023-03-15$41.37$45.0055.3%15.9%50.0%27.6%52.7%5.9%-3.5%21.3K-136.0K-4.5K1.0756.01N/AN/A15161,218378
2023-03-16$42.20$45.0052.0%14.9%50.4%23.2%51.8%5.1%-0.2%22.0K-557.7K-4.8K0.0061.28N/AN/A3701,232321
2023-03-17$38.62$45.0054.4%15.6%57.6%26.5%53.1%-1.4%-0.9%7.3K1.9K-4.0K0.2764.39N/AN/A94251,235321
2023-03-20$40.31$45.0052.0%14.9%60.7%23.1%57.2%4.8%0.6%12.2K-233.0K-4.8K2.3264.98N/AN/A63146514252
2023-03-21$41.03$45.0049.1%14.1%60.3%19.3%47.5%5.4%0.2%13.7K-273.6K-5.4K2.1342.03N/AN/A1532571370
2023-03-22$40.25$45.0048.8%14.0%60.4%18.9%0.0%5.7%0.7%12.5K-177.7K-5.3K0.0072.33N/AN/A70583380
2023-03-23$40.16$45.0050.6%14.5%60.5%21.3%49.4%5.4%0.1%11.3K-147.8K-5.8K0.0015.01N/AN/A60590420
2023-03-24$40.95$45.0054.0%15.5%61.2%25.9%47.8%6.2%-1.8%12.6K-227.2K-5.9K0.1356.88N/AN/A304591420
2023-03-27$41.56$45.0048.4%13.9%60.4%18.3%45.6%5.7%0.3%15.1K-318.9K-5.9K0.0017.45N/AN/A360599420
2023-03-28$41.89$45.0048.4%13.9%60.5%18.2%46.3%4.6%0.8%18.4K-398.5K-6.0K0.7432.44N/AN/A1914634420
2023-03-29$43.07$45.0043.9%12.6%58.8%12.2%45.2%4.0%1.8%21.1K-529.0K-6.1K1.1055.36N/AN/A2123622421
2023-03-30$43.34$45.0043.0%12.3%58.9%10.9%42.9%3.8%2.6%22.9K-594.9K-5.9K0.0232.87N/AN/A1263627403
2023-03-31$44.37$45.0040.8%11.7%58.8%8.1%0.0%5.2%3.8%39.4K-936.5K-6.7K0.5360.60N/AN/A158752403