CRS Options History — July 2023

In July 2023, CRS traded between $53.34 and $59.73. ATM implied volatility averaged 39.2%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 8.0% (HV 20d: 31.2%). Max pain ranged from $40.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.43.

Notable Days

2023-07-28: Highest Volume — 143 contracts
2023-07-27: Largest IV drop — 10.7% change
2023-07-26: Highest IV Rank — 9.7%
2023-07-26: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.82	$53.34	$59.73	$56.34	$59.73
Max Pain	$50.75	$40.00	$55.00	$40.00	$50.00
ATM IV	39.2%	35.6%	41.9%	35.8%	37.8%
Expected Move	11.4%	10.2%	12.0%	10.3%	10.8%
HV 20d	31.2%	28.5%	33.6%	33.6%	29.1%
HV 60d	44.0%	37.8%	46.3%	45.4%	37.8%
IV Rank	6.0%	1.3%	9.7%	1.5%	4.2%
IV Percentile	6.9%	0.8%	15.9%	0.8%	4.4%
Term Structure	-0.8%	-2.3%	3.5%	3.5%	-1.1%
VWIV	40.5%	34.7%	47.1%	34.7%	38.1%
Skew 25d	3.6%	2.3%	4.4%	4.4%	3.1%
Skew 10d	8.1%	5.0%	10.4%	5.0%	8.5%
Call IV 25d	38.6%	33.8%	40.2%	33.8%	36.6%
Put IV 25d	42.1%	38.1%	43.9%	38.3%	39.7%
Bid-Ask Spread %	40.01	20.43	66.46	27.94	66.46
Gamma HHI	0.36	0.31	0.40	0.38	0.36
Net GEX	78.2K	56.7K	99.1K	71.9K	82.0K
Net DEX	-2.2M	-2.9M	-1.4M	-2.1M	-2.9M
Net VEX	-7.5K	-8.7K	-6.7K	-7.2K	-8.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	1.60	0.25	0.27
Total Volume	54.2	4	143	25	70
Total OI	1,148.8	1,061	1,267	1,061	1,267

Daily Data (20 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
2023-07-03	$56.34	$40.00	35.8%	10.3%	33.6%	1.5%	34.7%	4.4%	3.5%	71.9K	-2.1M	-7.2K	0.25	27.94	N/A	N/A	20	5	713	348
2023-07-05	$55.22	$45.00	36.7%	10.5%	33.0%	2.6%	37.2%	2.4%	2.8%	69.5K	-1.8M	-7.0K	0.02	41.58	N/A	N/A	50	1	718	353
2023-07-06	$53.34	$50.00	39.0%	11.6%	33.2%	5.9%	42.6%	4.2%	-0.8%	59.5K	-1.4M	-7.0K	0.21	42.67	N/A	N/A	34	7	729	354
2023-07-07	$54.40	$50.00	37.0%	11.7%	31.8%	3.2%	40.6%	2.6%	-1.4%	69.6K	-1.6M	-7.0K	0.27	33.02	N/A	N/A	11	3	738	357
2023-07-10	$55.07	$50.00	39.0%	11.9%	31.9%	5.7%	41.3%	3.7%	-1.3%	75.9K	-1.8M	-7.0K	1.00	35.09	N/A	N/A	2	2	749	358
2023-07-11	$56.41	$50.00	39.1%	11.9%	31.5%	6.0%	44.6%	4.4%	-1.4%	81.9K	-2.1M	-6.9K	0.57	33.18	N/A	N/A	7	4	751	359
2023-07-12	$57.78	$50.00	39.5%	11.3%	32.2%	6.5%	39.5%	3.5%	-1.0%	87.2K	-2.4M	-6.7K	0.15	22.36	N/A	N/A	27	4	746	358
2023-07-13	$58.23	$50.00	39.4%	11.3%	31.6%	6.4%	39.8%	3.1%	-1.0%	89.9K	-2.5M	-6.7K	0.01	32.58	N/A	N/A	137	1	748	359
2023-07-14	$57.01	$50.00	41.3%	11.8%	31.3%	8.9%	39.5%	3.3%	-1.6%	96.9K	-2.4M	-7.7K	0.00	41.66	N/A	N/A	4	0	820	360
2023-07-17	$56.27	$50.00	41.4%	11.9%	31.8%	9.0%	41.5%	3.7%	-1.5%	99.1K	-2.2M	-7.3K	1.60	43.31	N/A	N/A	5	8	821	360
2023-07-18	$57.64	$55.00	38.9%	11.2%	32.1%	5.7%	39.5%	3.7%	-1.0%	97.8K	-2.5M	-7.3K	0.44	37.29	N/A	N/A	18	8	821	365
2023-07-19	$56.94	$55.00	40.5%	11.6%	32.7%	7.9%	40.2%	4.0%	-1.3%	93.6K	-2.4M	-7.1K	0.39	41.44	N/A	N/A	46	18	832	370
2023-07-20	$57.33	$55.00	40.7%	11.7%	32.1%	8.0%	47.1%	3.7%	-1.4%	82.7K	-2.4M	-7.0K	0.02	55.13	N/A	N/A	90	2	813	371
2023-07-21	$56.37	$55.00	40.1%	11.5%	31.7%	7.2%	40.5%	4.1%	-1.5%	56.7K	-2.4M	-7.8K	0.07	62.33	N/A	N/A	96	7	873	370
2023-07-24	$56.67	$50.00	40.7%	11.7%	29.8%	8.1%	39.7%	3.6%	-1.8%	62.2K	-2.0M	-8.0K	0.10	50.64	N/A	N/A	40	4	754	347
2023-07-25	$57.05	$55.00	41.7%	11.9%	28.6%	9.4%	41.1%	3.8%	-2.0%	65.9K	-2.1M	-8.0K	1.26	44.32	N/A	N/A	23	29	772	350
2023-07-26	$57.13	$55.00	41.9%	12.0%	28.5%	9.7%	42.6%	4.2%	-2.3%	68.8K	-2.1M	-8.2K	0.23	24.71	N/A	N/A	65	15	790	365
2023-07-27	$58.92	$50.00	37.4%	10.7%	29.4%	3.6%	41.4%	3.5%	-0.4%	76.9K	-2.6M	-8.4K	1.23	44.11	N/A	N/A	35	43	817	376
2023-07-28	$58.47	$50.00	35.6%	10.2%	28.6%	1.3%	38.0%	2.3%	0.2%	76.4K	-2.5M	-8.5K	0.40	20.43	N/A	N/A	102	41	823	401
2023-07-31	$59.73	$50.00	37.8%	10.8%	29.1%	4.2%	38.1%	3.1%	-1.1%	82.0K	-2.9M	-8.7K	0.27	66.46	N/A	N/A	55	15	852	415