CRS Options History — August 2023

In August 2023, CRS traded between $56.86 and $62.79. ATM implied volatility averaged 37.1%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.1% (HV 20d: 28.0%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.74.

Notable Days

  • 2023-08-23: Highest Volume — 229 contracts
  • 2023-08-02: Largest IV spike — 7.7% change
  • 2023-08-09: Highest IV Rank — 8.5%
  • 2023-08-09: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.88$56.86$62.79$60.04$62.79
Max Pain$55.43$50.00$60.00$55.00$60.00
ATM IV37.1%29.4%41.0%37.4%29.4%
Expected Move10.6%8.4%11.8%10.7%8.4%
HV 20d28.0%26.2%29.9%29.1%26.2%
HV 60d33.7%28.5%37.6%36.5%28.5%
IV Rank4.3%0.0%8.5%3.7%0.0%
IV Percentile6.1%0.0%16.3%4.4%0.0%
Term Structure1.3%-2.1%3.9%-0.5%3.6%
VWIV38.0%32.0%42.7%39.8%32.0%
Skew 25d3.2%1.2%3.9%2.8%1.8%
Skew 10d8.2%4.0%14.8%4.3%5.2%
Call IV 25d36.6%30.2%39.6%36.6%30.2%
Put IV 25d39.7%31.7%43.1%39.4%32.0%
Bid-Ask Spread %37.8712.4179.5044.7816.17
Gamma HHI0.440.370.580.370.38
Net GEX118.7K77.7K175.8K89.7K175.8K
Net DEX-2.9M-4.7M-2.1M-3.0M-4.7M
Net VEX-9.3K-9.9K-8.4K-8.4K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.003.321.000.17
Total Volume69.6091722911075
Total OI1,615.1741,3031,9321,3031,932

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$60.04$55.0037.4%10.7%29.1%3.7%39.8%2.8%-0.5%89.7K-3.0M-8.4K1.0044.78N/AN/A5555876427
2023-08-02$58.47$55.0040.3%11.6%29.9%7.5%41.4%2.7%-2.1%82.8K-2.6M-9.2K1.0331.68N/AN/A3435925470
2023-08-03$57.77$50.0039.9%11.2%27.1%7.0%39.6%3.4%0.7%81.4K-2.4M-9.3K0.1540.08N/AN/A203954478
2023-08-04$58.33$50.0038.4%11.1%26.5%5.0%38.8%2.9%1.0%85.9K-2.6M-9.3K0.0331.85N/AN/A381952480
2023-08-07$59.86$50.0039.3%11.2%27.5%6.3%41.6%3.3%0.5%102.9K-3.1M-9.2K0.0928.80N/AN/A464976480
2023-08-08$58.55$50.0040.7%11.3%28.0%8.1%40.1%3.3%0.8%94.7K-2.7M-9.3K0.5524.72N/AN/A116981482
2023-08-09$56.86$55.0041.0%11.8%28.8%8.5%39.8%3.8%-0.2%77.7K-2.2M-9.0K0.4033.74N/AN/A8233984487
2023-08-10$57.47$55.0040.3%11.6%28.9%7.5%39.3%3.9%0.8%84.1K-2.3M-9.1K2.4013.86N/AN/A5121,031501
2023-08-11$57.41$55.0039.3%11.3%27.9%6.1%38.3%3.3%1.2%82.9K-2.3M-8.9K0.0321.73N/AN/A11031,032513
2023-08-14$59.00$55.0038.6%11.1%29.0%5.3%41.4%2.9%0.9%135.6K-3.1M-9.2K1.2335.07N/AN/A31381,131513
2023-08-15$58.03$55.0038.1%10.9%28.5%4.5%38.3%3.5%1.9%122.5K-2.7M-9.1K0.0013.54N/AN/A7901,160520
2023-08-16$58.58$55.0038.0%10.9%28.3%4.4%39.4%3.1%1.8%156.9K-3.1M-9.5K0.0866.36N/AN/A5341,225520
2023-08-17$57.79$55.0039.2%11.2%28.7%6.1%0.0%3.1%1.1%123.3K-2.8M-9.4K0.0322.52N/AN/A3411,259522
2023-08-18$58.31$55.0038.5%11.0%28.1%5.1%42.7%2.9%1.2%120.7K-2.9M-9.4K0.5670.26N/AN/A27151,247521
2023-08-21$57.80$55.0038.1%10.9%28.3%4.6%38.8%3.9%0.4%121.5K-2.6M-8.9K0.5668.73N/AN/A41231,083395
2023-08-22$57.73$55.0038.3%11.0%28.2%4.9%39.9%3.7%0.9%127.8K-2.6M-9.1K0.0033.00N/AN/A2101,122409
2023-08-23$58.35$55.0036.8%10.6%28.5%2.9%36.8%3.3%1.6%140.8K-2.9M-9.2K3.3279.50N/AN/A531761,143409
2023-08-24$57.78$60.0034.5%9.9%26.4%0.0%36.4%3.8%1.9%110.7K-2.1M-9.9K1.1750.82N/AN/A12141,187574
2023-08-25$58.98$60.0032.0%9.2%27.3%0.0%34.1%2.7%3.9%130.3K-2.6M-9.9K0.8675.33N/AN/A14121,194575
2023-08-28$60.10$60.0032.8%9.4%27.1%0.9%32.6%3.3%3.0%148.2K-3.2M-9.5K0.4121.59N/AN/A61251,200574
2023-08-29$61.50$60.0032.1%9.2%28.2%0.0%32.2%3.9%3.1%163.5K-4.0M-9.9K2.4734.37N/AN/A30741,247592
2023-08-30$62.63$60.0030.1%8.6%26.9%0.0%32.4%1.2%3.6%171.2K-4.7M-9.4K0.5512.41N/AN/A87481,260606
2023-08-31$62.79$60.0029.4%8.4%26.2%0.0%32.0%1.8%3.6%175.8K-4.7M-9.9K0.1716.17N/AN/A64111,302630