CRS Options History — June 2023

In June 2023, CRS traded between $46.27 and $56.15. ATM implied volatility averaged 41.8%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 1.1% (HV 20d: 42.9%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2023-06-28: Highest Volume — 155 contracts
  • 2023-06-12: Largest IV spike — 19.0% change
  • 2023-06-12: Highest IV Rank — 24.7%
  • 2023-06-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.77$46.27$56.15$46.27$56.15
Max Pain$44.29$40.00$50.00$50.00$40.00
ATM IV41.8%34.7%53.2%48.1%34.7%
Expected Move11.4%9.9%13.8%13.8%9.9%
HV 20d42.9%38.1%50.4%42.0%38.7%
HV 60d48.9%45.9%54.1%52.6%45.9%
IV Rank9.4%0.0%24.7%17.9%0.0%
IV Percentile15.3%0.0%63.1%40.1%0.0%
Term Structure1.6%-3.3%4.1%-3.3%4.1%
VWIV39.5%34.3%48.1%48.1%34.5%
Skew 25d3.7%2.8%5.6%5.6%3.6%
Skew 10d8.2%4.9%12.9%6.1%4.9%
Call IV 25d38.6%33.9%45.8%45.8%33.9%
Put IV 25d42.4%37.6%51.4%51.4%37.6%
Bid-Ask Spread %29.719.2755.1339.1732.76
Gamma HHI0.370.240.640.350.38
Net GEX-2.4K-108.7K71.6K-23.4K71.6K
Net DEX-1.4M-2.7M795.4K795.4K-2.0M
Net VEX-6.7K-7.8K-5.6K-7.2K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.860.160.88
Total Volume48.905515529111
Total OI1,730.7627682,4052,2711,033

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$46.27$50.0048.1%13.8%42.0%17.9%48.1%5.6%-3.3%-23.4K795.4K-7.2K0.1639.17N/AN/A2541,339932
2023-06-02$49.19$50.0043.5%12.5%45.7%11.7%45.7%4.4%-2.0%-39.6K-425.2K-7.8K0.3331.48N/AN/A931,346932
2023-06-05$47.94$40.0045.0%11.9%46.3%13.6%41.6%3.4%1.4%-44.6K185.4K-6.8K0.2747.18N/AN/A1131,350934
2023-06-06$50.07$40.0044.9%11.7%49.1%13.5%45.8%4.4%1.8%-54.5K-820.5K-7.0K0.0925.66N/AN/A6861,347936
2023-06-07$51.80$40.0046.6%11.9%50.4%15.9%39.1%4.3%1.3%-29.0K-1.7M-7.2K0.0232.73N/AN/A9221,376934
2023-06-08$52.21$40.0045.9%11.8%50.0%14.9%40.8%3.3%1.9%-26.5K-2.0M-7.3K0.1234.54N/AN/A6071,407936
2023-06-09$51.12$45.0044.7%11.8%50.2%13.2%40.7%4.0%1.5%-65.8K-1.5M-7.6K0.2320.05N/AN/A47111,431939
2023-06-12$51.58$45.0053.2%11.9%49.8%24.7%34.3%4.1%1.5%-66.0K-1.8M-7.0K0.1113.37N/AN/A911,448950
2023-06-13$52.78$45.0046.8%11.3%49.4%16.1%39.5%3.2%1.4%-22.3K-2.5M-6.5K0.1037.62N/AN/A2121,450951
2023-06-14$51.55$45.0040.8%11.7%39.2%8.1%39.7%3.4%1.2%-108.7K-2.0M-6.5K0.0555.13N/AN/A2211,449953
2023-06-15$52.16$45.0041.1%11.8%38.9%8.5%0.0%3.6%0.7%-1.3K-2.7M-5.8K0.0031.24N/AN/A501,447956
2023-06-16$51.63$45.0039.0%11.2%39.2%5.5%38.9%3.3%1.8%29.5K-2.7M-5.6K0.0031.18N/AN/A3601,449956
2023-06-20$52.02$45.0040.8%11.7%39.1%8.0%39.0%4.2%1.5%30.4K-1.1M-5.6K1.5828.71N/AN/A1930495273
2023-06-21$53.19$45.0036.2%10.4%39.7%1.8%37.6%3.0%3.2%33.4K-1.2M-5.8K0.0623.95N/AN/A684514301
2023-06-22$52.11$45.0038.8%11.1%40.0%5.4%36.9%4.1%2.1%36.8K-1.1M-6.3K0.7126.68N/AN/A1410577302
2023-06-23$50.82$45.0038.5%11.0%38.1%4.9%37.4%4.2%2.1%33.1K-968.6K-6.2K0.0038.13N/AN/A260589312
2023-06-26$52.28$45.0039.3%11.3%39.0%5.9%38.1%3.8%2.5%39.4K-1.2M-6.3K0.5528.80N/AN/A2011600314
2023-06-27$52.84$45.0036.6%10.5%39.0%2.3%0.0%2.9%3.0%42.6K-1.2M-6.5K1.869.27N/AN/A713608325
2023-06-28$53.99$45.0037.0%10.6%38.3%2.8%37.0%3.0%3.1%48.0K-1.4M-6.6K0.1712.97N/AN/A13322614320
2023-06-29$55.40$45.0036.2%10.4%38.7%1.8%36.0%2.8%3.7%66.1K-1.9M-7.1K0.4223.25N/AN/A6628685336
2023-06-30$56.15$40.0034.7%9.9%38.7%0.0%34.5%3.6%4.1%71.6K-2.0M-7.2K0.8832.76N/AN/A5952697336