CRS Options History — September 2023

In September 2023, CRS traded between $61.80 and $69.87. ATM implied volatility averaged 37.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 5.2% (HV 20d: 32.0%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2023-09-18: Highest Volume — 2,442 contracts
  • 2023-09-05: Largest IV spike — 22.8% change
  • 2023-09-26: Highest IV Rank — 17.9%
  • 2023-09-26: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.55$61.80$69.87$64.43$67.05
Max Pain$64.50$60.00$70.00$60.00$70.00
ATM IV37.2%27.6%42.1%27.6%39.5%
Expected Move10.6%7.9%12.1%7.9%11.3%
HV 20d32.0%25.7%36.3%27.3%36.3%
HV 60d30.0%28.2%31.9%28.2%29.7%
IV Rank11.8%0.0%17.9%0.0%14.6%
IV Percentile13.5%0.0%35.3%0.0%21.0%
Term Structure1.8%0.4%5.1%5.1%2.4%
VWIV37.2%28.9%41.7%28.9%40.8%
Skew 25d3.0%2.3%4.0%2.6%3.0%
Skew 10d6.8%3.3%9.0%3.3%9.0%
Call IV 25d36.1%27.3%40.7%27.3%38.9%
Put IV 25d39.0%30.0%44.1%30.0%41.9%
Bid-Ask Spread %27.2813.3259.1113.3237.18
Gamma HHI0.410.340.560.380.34
Net GEX360.6K154.6K599.1K178.8K509.8K
Net DEX-8.4M-12.5M-4.3M-5.7M-8.7M
Net VEX-29.1K-51.4K-9.5K-9.5K-48.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.031.500.300.10
Total Volume415.05752,442285147
Total OI3,775.41,9735,9781,9735,978

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$64.43$60.0027.6%7.9%27.3%0.0%28.9%2.6%5.1%178.8K-5.7M-9.5K0.3013.32N/AN/A220651,337636
2023-09-05$62.13$65.0033.9%10.1%29.8%7.8%34.9%4.0%1.2%188.4K-4.5M-11.5K0.0427.69N/AN/A16461,490702
2023-09-06$62.11$60.0035.1%10.1%28.4%9.2%34.9%2.9%1.8%182.3K-4.4M-11.6K1.5019.73N/AN/A30451,461705
2023-09-07$61.80$60.0035.3%10.3%26.0%9.5%39.7%3.9%1.7%186.3K-4.3M-11.8K0.8919.28N/AN/A45401,468746
2023-09-08$62.34$60.0033.6%10.0%25.9%7.4%33.9%2.9%2.1%195.8K-4.8M-11.6K0.1118.98N/AN/A144161,496784
2023-09-11$64.00$60.0035.5%9.7%27.0%9.7%34.1%2.7%1.7%261.0K-6.7M-13.0K0.3426.83N/AN/A173581,776803
2023-09-12$64.26$65.0036.9%9.7%25.7%11.4%34.2%2.4%2.0%243.9K-6.7M-12.8K1.0525.81N/AN/A81851,743866
2023-09-13$68.22$65.0034.9%10.0%31.2%9.0%34.9%2.6%1.9%164.4K-8.7M-12.5K0.1021.05N/AN/A1,0651091,733922
2023-09-14$69.36$65.0034.6%9.9%31.4%8.6%33.9%2.3%2.1%272.3K-9.6M-16.0K0.1624.95N/AN/A584912,2121,017
2023-09-15$66.54$65.0035.6%10.2%35.3%9.8%33.8%3.3%2.4%154.6K-7.9M-17.5K0.1624.29N/AN/A320512,5391,108
2023-09-18$67.95$65.0037.6%10.8%35.6%12.3%36.9%3.1%1.9%217.8K-4.8M-19.5K0.0356.18N/AN/A2,378641,940645
2023-09-19$68.16$65.0038.0%10.9%35.1%12.8%38.6%3.0%1.8%494.5K-10.1M-42.5K0.0728.25N/AN/A345243,869691
2023-09-20$68.72$65.0038.4%11.0%35.0%13.2%38.5%2.5%1.7%550.6K-11.4M-46.4K0.7259.11N/AN/A1691224,128692
2023-09-21$69.13$65.0041.4%11.9%35.0%17.0%41.7%3.2%0.5%552.0K-11.8M-49.1K0.7816.25N/AN/A1381084,206801
2023-09-22$69.48$65.0040.6%11.6%34.3%16.0%40.4%3.4%0.7%567.3K-12.2M-49.4K0.2021.09N/AN/A96194,252842
2023-09-25$69.87$65.0041.6%11.9%34.1%17.2%40.9%2.8%0.4%591.9K-12.5M-49.0K0.0417.95N/AN/A15964,268862
2023-09-26$68.16$65.0042.1%12.1%35.8%17.9%41.1%3.5%1.2%530.6K-10.6M-47.1K0.5027.04N/AN/A4532264,326866
2023-09-27$68.87$70.0040.7%11.7%35.3%16.2%40.9%2.9%1.8%599.1K-11.9M-51.4K1.0118.41N/AN/A1021034,6671,055
2023-09-28$68.40$70.0040.2%11.5%35.2%15.5%40.1%2.7%2.6%569.9K-10.8M-51.4K0.1442.20N/AN/A220304,7181,158
2023-09-29$67.05$70.0039.5%11.3%36.3%14.6%40.8%3.0%2.4%509.8K-8.7M-48.7K0.1037.18N/AN/A134134,8011,177