CRS Options History — May 2023

In May 2023, CRS traded between $45.15 and $53.89. ATM implied volatility averaged 44.9%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 10.4% (HV 20d: 55.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.09.

Notable Days

  • 2023-05-02: Highest Volume — 1,110 contracts
  • 2023-05-05: Largest IV drop — 9.6% change
  • 2023-05-30: Highest IV Rank — 20.6%
  • 2023-05-30: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.63$45.15$53.89$51.75$45.81
Max Pain$49.32$45.00$50.00$45.00$50.00
ATM IV44.9%41.6%50.1%42.3%49.8%
Expected Move12.8%11.9%14.4%12.1%14.3%
HV 20d55.4%42.7%62.7%53.5%42.7%
HV 60d52.5%50.5%54.4%50.5%52.6%
IV Rank13.6%9.0%20.6%10.0%20.2%
IV Percentile21.9%3.6%48.8%6.7%48.0%
Term Structure-1.0%-4.6%1.7%0.1%-4.0%
VWIV45.3%40.2%51.7%40.2%49.7%
Skew 25d4.6%3.3%6.9%4.7%6.4%
Skew 10d10.1%6.6%14.5%8.6%6.6%
Call IV 25d43.0%40.1%48.7%40.1%47.3%
Put IV 25d47.6%44.8%53.7%44.8%53.7%
Bid-Ask Spread %32.198.0475.6846.8321.74
Gamma HHI0.300.250.360.250.34
Net GEX11.1K-29.6K73.5K70.9K-22.9K
Net DEX-408.2K-3.0M1.1M-2.4M996.5K
Net VEX-9.7K-13.2K-7.1K-7.2K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.0030.252.750.05
Total Volume89.04501,1104522
Total OI2,204.5911,2262,4561,2262,249

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$51.75$45.0042.3%12.1%53.5%10.0%40.2%4.7%0.1%70.9K-2.4M-7.2K2.7546.83N/AN/A1233868358
2023-05-02$53.89$45.0042.0%12.0%54.7%9.6%43.0%3.5%-0.9%73.5K-3.0M-7.1K0.8374.69N/AN/A608502873360
2023-05-03$52.09$45.0045.9%13.2%53.1%14.9%45.7%5.0%-1.9%60.5K-2.2M-13.2K1.8375.68N/AN/A12221,384858
2023-05-04$49.80$50.0047.0%13.1%55.2%16.4%44.9%3.9%-0.4%38.4K-1.1M-12.6K0.4343.54N/AN/A731,384885
2023-05-05$50.30$50.0042.5%12.2%55.2%10.3%41.7%3.9%1.3%40.9K-1.3M-12.3K0.1316.74N/AN/A3041,383885
2023-05-08$50.52$50.0044.2%12.5%55.1%12.6%0.0%4.3%-0.1%41.5K-1.4M-11.7K1.5026.79N/AN/A231,381889
2023-05-09$51.18$50.0044.7%12.5%54.7%13.3%42.1%3.7%0.6%49.7K-1.7M-11.8K30.2531.32N/AN/A41211,383889
2023-05-10$50.30$50.0043.1%12.4%55.4%11.1%0.0%4.5%0.4%37.5K-1.2M-11.9K0.0035.54N/AN/A401,3861,001
2023-05-11$49.46$50.0042.9%12.3%55.5%10.8%44.8%3.4%1.1%27.7K-763.6K-11.4K0.0026.02N/AN/A1801,3901,001
2023-05-12$48.59$50.0042.1%12.1%56.0%9.8%42.1%3.3%1.7%18.1K-399.3K-11.0K0.7023.15N/AN/A33231,3881,019
2023-05-15$50.02$50.0042.5%12.2%56.4%10.3%41.5%4.9%1.2%33.7K-942.6K-11.0K0.2116.93N/AN/A2961,3871,040
2023-05-16$46.05$50.0044.1%12.6%62.2%12.5%44.8%4.2%0.2%-20.1K766.1K-9.1K0.8239.70N/AN/A101831,4101,046
2023-05-17$47.06$50.0043.7%12.5%62.6%12.0%42.9%4.5%-0.2%-23.8K550.1K-9.1K0.3013.72N/AN/A2061,3621,003
2023-05-18$47.38$50.0043.7%12.5%62.6%11.9%41.0%4.8%-1.2%-29.6K448.5K-8.9K0.0022.87N/AN/A8501,3571,005
2023-05-19$47.97$50.0041.6%11.9%62.7%9.0%0.0%4.6%-0.3%-26.0K206.0K-9.2K0.0023.70N/AN/A001,3611,005
2023-05-22$48.06$50.0042.9%12.3%60.8%10.8%44.5%4.0%-1.5%-25.9K210.9K-8.9K0.408.04N/AN/A42171,237931
2023-05-23$47.32$50.0046.3%13.3%60.6%15.5%48.0%4.9%-2.0%-27.0K469.6K-8.7K1.3346.92N/AN/A9121,276937
2023-05-24$45.47$50.0048.8%14.0%62.2%18.9%51.7%4.6%-3.3%-18.4K1.0M-7.9K0.1137.60N/AN/A4551,285930
2023-05-25$45.82$50.0048.9%14.0%45.6%19.0%48.9%6.9%-3.3%-19.7K851.7K-8.0K0.1423.46N/AN/A711,305927
2023-05-26$45.87$50.0048.9%14.0%45.6%19.0%51.7%6.4%-3.7%-18.9K850.7K-7.9K0.0023.61N/AN/A1901,310928
2023-05-30$45.15$50.0050.1%14.4%45.4%20.6%51.7%4.6%-4.6%-16.9K1.1M-7.1K2.0029.67N/AN/A361,319926
2023-05-31$45.81$50.0049.8%14.3%42.7%20.2%49.7%6.4%-4.0%-22.9K996.5K-7.2K0.0521.74N/AN/A2111,318931