CRS Options History — October 2023

In October 2023, CRS traded between $60.56 and $71.14. ATM implied volatility averaged 44.1%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 5.1% (HV 20d: 39.0%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2023-10-26: Highest Volume — 2,001 contracts
  • 2023-10-30: Largest IV drop — 7.8% change
  • 2023-10-20: Highest IV Rank — 24.0%
  • 2023-10-20: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.70$60.56$71.14$66.16$62.69
Max Pain$64.55$60.00$70.00$70.00$62.50
ATM IV44.1%41.0%47.1%42.6%42.7%
Expected Move12.7%11.9%13.5%12.2%12.3%
HV 20d39.0%32.4%47.5%35.7%46.5%
HV 60d33.4%29.7%37.4%29.7%37.1%
IV Rank20.3%16.5%24.0%18.5%18.6%
IV Percentile50.8%29.0%71.4%40.1%42.1%
Term Structure-1.2%-2.9%4.2%1.0%-1.9%
VWIV43.5%32.7%47.5%42.4%41.6%
Skew 25d4.0%2.6%5.4%3.2%5.2%
Skew 10d8.8%6.1%11.6%8.2%8.6%
Call IV 25d42.9%40.4%45.5%41.1%40.4%
Put IV 25d46.8%44.2%49.8%44.3%45.6%
Bid-Ask Spread %32.8913.2049.7714.7519.20
Gamma HHI0.380.320.510.340.33
Net GEX463.1K273.9K906.1K480.7K405.0K
Net DEX-7.3M-17.4M-2.9M-7.8M-5.5M
Net VEX-43.0K-55.9K-34.8K-46.6K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.021.380.530.02
Total Volume355.727542,00119854
Total OI6,823.3185,2197,7016,0767,036

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$66.16$70.0042.6%12.2%35.7%18.5%42.4%3.2%1.0%480.7K-7.8M-46.6K0.5314.75N/AN/A129694,9081,168
2023-10-03$64.24$70.0043.3%12.4%34.8%19.3%43.9%3.8%1.5%377.9K-5.5M-43.7K0.0813.20N/AN/A131114,9871,202
2023-10-04$65.44$70.0042.9%12.3%35.3%18.8%43.8%3.3%1.1%444.4K-7.1M-46.0K0.0536.02N/AN/A455235,0441,202
2023-10-05$65.80$60.0042.9%12.9%35.2%18.8%35.1%3.3%-1.6%505.8K-8.6M-50.1K0.0531.72N/AN/A616285,4731,216
2023-10-06$67.38$62.5041.0%12.4%35.9%16.5%43.5%3.5%-1.0%618.6K-10.8M-53.3K0.8032.37N/AN/A105846,0411,230
2023-10-09$67.95$62.5043.6%12.7%35.0%19.7%43.8%3.7%-1.3%658.8K-11.5M-52.8K0.3929.65N/AN/A95376,0661,277
2023-10-10$71.14$65.0041.9%12.4%38.2%17.6%43.5%2.6%-1.9%906.1K-17.4M-55.9K0.2829.40N/AN/A6231736,0891,307
2023-10-11$70.59$65.0042.5%12.2%32.4%18.3%42.6%3.2%-1.0%843.3K-16.1M-53.0K0.6234.58N/AN/A105655,9331,283
2023-10-12$67.81$65.0043.6%12.5%35.1%19.8%42.8%3.8%-1.8%610.4K-10.5M-48.6K0.0336.62N/AN/A21775,9551,279
2023-10-13$63.89$65.0045.7%13.1%38.3%22.2%46.5%4.7%-2.0%359.5K-4.8M-40.8K0.3235.79N/AN/A136435,9611,278
2023-10-16$64.93$65.0043.8%12.5%38.0%19.9%44.6%3.9%-2.1%400.2K-5.7M-40.1K0.3242.36N/AN/A91295,9751,300
2023-10-17$65.54$65.0043.8%12.5%38.2%19.9%45.5%3.6%-1.8%417.7K-6.3M-40.4K0.0540.55N/AN/A13375,9961,312
2023-10-18$63.30$65.0046.6%13.4%39.7%23.4%45.7%3.8%-2.9%306.4K-3.6M-36.3K0.0622.30N/AN/A309205,9931,298
2023-10-19$61.76$65.0046.7%13.4%40.1%23.4%45.3%4.2%-2.4%273.9K-2.9M-35.6K0.0846.01N/AN/A313266,2341,238
2023-10-20$61.23$65.0047.1%13.5%39.9%24.0%47.5%4.8%-2.4%323.6K-2.9M-35.0K1.3831.04N/AN/A72996,4681,233
2023-10-23$61.09$65.0046.6%13.4%39.7%23.4%45.9%4.5%-1.8%324.4K-4.7M-34.8K1.0349.77N/AN/A2993094,489730
2023-10-24$61.71$62.5046.0%13.2%39.5%22.7%45.9%3.8%-2.9%302.0K-4.6M-36.8K0.0444.20N/AN/A322144,7191,010
2023-10-25$60.56$62.5047.0%13.5%39.4%23.9%46.6%4.3%-2.9%297.8K-4.0M-36.1K0.0944.55N/AN/A124114,9761,017
2023-10-26$64.54$62.5043.6%12.5%46.6%19.7%32.7%4.7%-1.4%478.8K-8.2M-43.3K0.0426.21N/AN/A1,931705,0401,017
2023-10-27$62.49$62.5044.8%12.9%47.4%21.2%43.7%5.4%-1.3%409.7K-5.7M-40.8K0.3315.26N/AN/A277916,0021,061
2023-10-30$63.24$62.5041.3%11.9%47.5%16.9%43.2%4.0%4.2%444.1K-6.6M-39.4K0.1148.05N/AN/A6676,0231,047
2023-10-31$62.69$62.5042.7%12.3%46.5%18.6%41.6%5.2%-1.9%405.0K-5.5M-36.6K0.0219.20N/AN/A5315,9901,046