CRS Options History — November 2023

In November 2023, CRS traded between $64.60 and $73.67. ATM implied volatility averaged 36.9%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 3.8% (HV 20d: 40.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2023-11-28: Highest Volume — 2,027 contracts
  • 2023-11-27: Largest IV spike — 10.4% change
  • 2023-11-01: Highest IV Rank — 15.2%
  • 2023-11-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.10$64.60$73.67$64.60$70.84
Max Pain$60.48$60.00$65.00$62.50$65.00
ATM IV36.9%33.2%40.0%40.0%39.2%
Expected Move10.6%9.5%11.5%11.5%11.2%
HV 20d40.7%29.7%49.5%47.3%40.7%
HV 60d38.1%37.0%40.9%37.3%40.8%
IV Rank11.4%6.9%15.2%15.2%14.3%
IV Percentile12.3%2.4%26.6%23.0%25.8%
Term Structure0.3%-2.6%2.5%-0.3%-2.4%
VWIV36.6%32.2%39.9%39.9%38.9%
Skew 25d3.6%2.3%4.3%4.3%3.3%
Skew 10d8.0%6.6%12.8%9.5%7.4%
Call IV 25d34.9%30.7%38.8%38.8%37.1%
Put IV 25d38.5%34.4%43.2%43.2%40.4%
Bid-Ask Spread %22.059.7357.7648.4110.73
Gamma HHI0.460.270.700.360.27
Net GEX928.2K520.6K1.5M520.6K1.3M
Net DEX-11.8M-20.5M-7.7M-7.7M-17.2M
Net VEX-39.3K-52.4K-33.7K-39.2K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.031.070.150.10
Total Volume439.333552,027100155
Total OI6,959.9054,4288,1426,9947,244

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$64.60$62.5040.0%11.5%47.3%15.2%39.9%4.3%-0.3%520.6K-7.7M-39.2K0.1548.41N/AN/A87135,9471,047
2023-11-02$67.28$60.0038.2%10.8%49.5%13.0%39.2%3.3%1.7%663.3K-10.9M-41.4K0.9718.93N/AN/A2412345,9051,055
2023-11-03$67.06$60.0035.7%10.5%48.8%10.0%37.7%4.3%2.3%614.8K-10.1M-41.3K0.1129.00N/AN/A1,1431215,8331,245
2023-11-06$67.20$60.0037.4%10.6%48.7%12.0%38.0%3.5%2.0%980.8K-11.8M-43.0K1.0717.39N/AN/A29316,7571,221
2023-11-07$66.77$60.0038.1%10.5%45.5%12.9%37.4%3.5%2.0%949.8K-10.8M-41.3K0.2218.81N/AN/A123276,7631,247
2023-11-08$66.22$60.0037.4%10.7%45.6%12.0%37.7%3.8%1.8%879.7K-9.7M-39.7K0.2514.28N/AN/A44116,7421,268
2023-11-09$66.04$60.0038.5%11.0%43.4%13.4%38.1%3.7%1.3%853.1K-9.1M-38.2K0.5319.00N/AN/A40216,7491,268
2023-11-10$66.62$60.0036.2%10.4%37.6%10.5%35.6%3.4%2.5%956.4K-10.1M-37.9K0.0318.46N/AN/A5926,7501,281
2023-11-13$68.41$60.0037.1%10.6%38.3%11.7%36.6%3.5%1.8%1.3M-13.4M-37.7K0.3925.01N/AN/A150596,7161,286
2023-11-14$70.00$60.0035.6%10.2%39.0%9.8%35.7%3.9%1.5%1.5M-17.0M-37.6K0.0357.76N/AN/A468166,6961,298
2023-11-15$67.94$60.0037.6%10.8%38.3%12.3%36.2%3.6%-0.1%1.3M-12.0M-37.8K0.0621.75N/AN/A298176,7861,310
2023-11-16$67.13$60.0036.9%10.6%37.4%11.4%35.7%4.0%-0.9%901.9K-9.6M-35.1K0.0418.40N/AN/A16866,7491,315
2023-11-17$68.28$60.0036.0%10.3%37.3%10.4%35.9%3.6%-0.3%656.6K-11.2M-35.8K0.2814.62N/AN/A113326,8231,319
2023-11-20$68.23$60.0034.5%9.9%37.3%8.5%32.8%3.9%-0.1%674.0K-9.4M-33.9K0.1017.70N/AN/A334353,537891
2023-11-21$67.54$60.0034.4%9.9%37.6%8.4%33.7%4.3%-0.3%703.4K-8.8M-33.7K0.0947.52N/AN/A152143,821890
2023-11-22$68.29$60.0033.2%9.5%36.7%6.9%32.5%3.7%0.5%771.4K-9.9M-34.2K0.4515.68N/AN/A216983,875889
2023-11-24$68.64$60.0033.4%9.6%29.7%7.1%32.2%3.7%0.1%839.8K-10.4M-35.7K0.2315.40N/AN/A6131434,054957
2023-11-27$73.67$60.0036.8%10.6%35.4%11.4%36.3%2.3%-2.6%1.0M-20.5M-38.1K0.129.98N/AN/A1,1941394,652871
2023-11-28$70.52$60.0039.3%11.3%39.8%14.4%39.0%3.1%-2.5%1.1M-15.2M-44.5K0.069.73N/AN/A1,9211065,201924
2023-11-29$68.90$62.5038.8%11.1%40.8%13.8%39.3%2.9%-1.9%1.1M-12.9M-47.5K0.2714.47N/AN/A4371165,9621,014
2023-11-30$70.84$65.0039.2%11.2%40.7%14.3%38.9%3.3%-2.4%1.3M-17.2M-52.4K0.1010.73N/AN/A141146,1241,120