CRS Options History — December 2023

In December 2023, CRS traded between $64.36 and $73.26. ATM implied volatility averaged 41.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 5.8% (HV 20d: 47.2%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2023-12-26: Highest Volume — 1,057 contracts
  • 2023-12-13: Largest IV drop — 23.6% change
  • 2023-12-21: Highest IV Rank — 35.0%
  • 2023-12-21: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.23$64.36$73.26$72.96$71.18
Max Pain$67.38$65.00$67.50$65.00$67.50
ATM IV41.4%36.6%50.7%38.5%37.5%
Expected Move11.2%10.5%11.9%11.0%10.8%
HV 20d47.2%39.4%51.8%39.5%40.1%
HV 60d42.5%41.2%43.4%41.2%42.3%
IV Rank24.2%13.4%35.0%13.4%25.1%
IV Percentile41.0%11.9%92.5%21.4%17.5%
Term Structure2.1%-2.3%4.8%-2.3%3.2%
VWIV38.8%36.5%41.9%38.9%36.7%
Skew 25d3.4%2.2%4.7%2.9%2.9%
Skew 10d7.3%4.5%10.7%8.6%7.3%
Call IV 25d37.6%35.5%39.8%36.6%35.5%
Put IV 25d41.0%38.4%43.7%39.5%38.4%
Bid-Ask Spread %28.2412.7343.9312.7340.92
Gamma HHI0.260.140.480.270.30
Net GEX783.4K248.7K1.4M1.4M1.1M
Net DEX-10.1M-23.6M-3.8M-22.7M-13.4M
Net VEX-45.1K-54.1K-37.3K-54.1K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.023.030.300.15
Total Volume389.4661,057341113
Total OI6,645.154,2188,0377,3426,630

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$72.96$65.0038.5%11.0%39.5%13.4%38.9%2.9%-2.3%1.4M-22.7M-54.1K0.3012.73N/AN/A263786,2071,135
2023-12-04$73.26$67.5042.6%10.7%39.4%18.5%38.0%3.6%1.5%1.4M-23.6M-51.7K0.2616.66N/AN/A306806,2491,156
2023-12-05$70.51$67.5043.2%10.9%42.2%19.2%37.3%4.1%1.8%1.3M-16.9M-49.6K0.7516.48N/AN/A3712776,3611,204
2023-12-06$69.12$67.5042.6%11.0%42.9%18.5%38.2%4.1%1.8%1.2M-12.9M-51.3K0.1514.12N/AN/A139216,3711,471
2023-12-07$64.36$67.5048.0%11.6%50.1%25.1%40.1%4.7%1.1%488.6K-3.8M-39.7K0.2119.70N/AN/A8111736,3761,484
2023-12-08$65.39$67.5044.1%11.4%50.5%20.3%39.6%3.2%2.0%541.3K-4.4M-39.9K0.2117.06N/AN/A458956,2451,559
2023-12-11$66.69$67.5050.1%11.4%50.9%27.6%39.7%3.8%1.8%757.9K-6.7M-41.5K0.2021.23N/AN/A322656,2931,569
2023-12-12$65.53$67.5050.7%11.3%50.2%28.5%38.7%3.6%2.1%478.3K-4.2M-38.1K0.1823.98N/AN/A300536,3221,594
2023-12-13$67.84$67.5038.8%11.1%51.2%13.7%38.8%3.5%2.1%966.8K-7.8M-40.8K0.1942.00N/AN/A277536,3901,603
2023-12-14$68.16$67.5040.1%11.5%50.1%15.4%39.4%3.1%2.1%1.1M-8.4M-40.8K0.2313.20N/AN/A184426,4181,608
2023-12-15$66.31$67.5039.5%11.3%50.9%29.9%39.1%2.9%2.3%248.7K-4.3M-37.3K0.3435.68N/AN/A117406,4151,622
2023-12-18$68.01$67.5040.0%11.5%51.3%31.3%39.0%3.1%1.9%306.8K-5.2M-38.8K0.0641.77N/AN/A426253,271947
2023-12-19$69.16$67.5039.2%11.3%51.7%29.4%39.0%2.2%1.7%406.8K-7.0M-43.0K0.2142.31N/AN/A168353,553963
2023-12-20$69.56$67.5040.6%11.7%51.6%32.9%40.1%3.6%2.2%433.9K-7.4M-43.7K0.1243.93N/AN/A206253,671972
2023-12-21$70.37$67.5041.5%11.9%51.6%35.0%41.9%3.3%1.0%483.0K-8.3M-45.1K0.9423.94N/AN/A34323,798995
2023-12-22$71.42$67.5039.2%11.2%51.8%29.2%38.4%3.4%2.6%531.4K-9.3M-45.7K0.0938.41N/AN/A418373,8111,024
2023-12-26$71.72$67.5037.0%10.6%45.0%23.6%36.5%3.3%4.8%610.3K-9.6M-44.5K0.0240.27N/AN/A1,041164,0101,032
2023-12-27$71.79$67.5037.7%10.8%42.1%25.6%37.5%3.0%3.6%926.9K-13.1M-50.9K0.0631.48N/AN/A540304,9841,042
2023-12-28$71.34$67.5036.6%10.5%41.3%22.7%39.9%3.2%4.2%1.1M-14.0M-53.5K3.0328.85N/AN/A29885,5001,048
2023-12-29$71.18$67.5037.5%10.8%40.1%25.1%36.7%2.9%3.2%1.1M-13.4M-52.5K0.1540.92N/AN/A98155,4941,136