CRS Options History — January 2024

In January 2024, CRS traded between $61.47 and $69.06. ATM implied volatility averaged 39.5%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 5.0% (HV 20d: 34.6%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2024-01-24: Highest Volume — 3,498 contracts
  • 2024-01-10: Largest IV spike — 8.5% change
  • 2024-01-17: Highest IV Rank — 37.7%
  • 2024-01-04: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.78$61.47$69.06$69.06$61.81
Max Pain$66.07$65.00$67.50$67.50$65.00
ATM IV39.5%36.5%41.9%39.0%38.9%
Expected Move11.5%10.9%12.1%11.2%11.2%
HV 20d34.6%28.2%42.8%39.9%42.2%
HV 60d40.8%38.1%42.7%42.7%40.4%
IV Rank31.5%23.6%37.7%28.8%29.9%
IV Percentile33.2%11.5%51.2%27.4%28.6%
Term Structure-0.8%-2.1%2.7%2.5%-0.8%
VWIV40.2%37.0%43.6%39.8%40.1%
Skew 25d2.9%1.2%3.9%2.5%3.3%
Skew 10d7.4%4.4%12.5%6.1%4.4%
Call IV 25d39.2%37.7%40.9%38.7%38.9%
Put IV 25d42.1%39.2%44.0%41.2%42.1%
Bid-Ask Spread %41.7931.2060.1140.1860.11
Gamma HHI0.220.140.310.310.22
Net GEX294.2K-291.7K884.6K884.6K31.3K
Net DEX-2.5M-9.2M7.8M-9.2M1.4M
Net VEX-38.1K-49.0K-29.4K-46.3K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.016.602.870.06
Total Volume496.905523,49818294
Total OI6,806.813,5188,3356,6337,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$69.06$67.5039.0%11.2%39.9%28.8%39.8%2.5%2.5%884.6K-9.2M-46.3K2.8740.18N/AN/A471355,4981,135
2024-01-03$68.01$67.5039.4%11.3%40.1%31.2%40.1%3.0%2.7%756.3K-7.1M-44.1K0.1552.26N/AN/A140215,5361,277
2024-01-04$68.37$67.5039.0%12.1%38.0%30.0%43.6%2.7%-0.9%792.7K-7.5M-43.5K6.6037.67N/AN/A301985,4551,294
2024-01-05$66.76$67.5036.5%11.8%38.3%23.6%41.6%3.2%-0.6%558.6K-4.5M-39.9K0.5139.54N/AN/A143735,4681,445
2024-01-08$66.72$67.5038.2%11.7%28.2%28.0%40.3%2.8%-0.8%510.1K-4.1M-38.2K0.0442.76N/AN/A13355,5151,503
2024-01-09$64.30$67.5037.5%11.5%30.8%26.3%39.7%3.4%-0.7%143.4K-888.5K-31.6K0.0841.85N/AN/A139115,4771,503
2024-01-10$66.45$67.5040.7%11.7%32.3%34.7%40.0%2.8%-1.0%419.0K-3.3M-34.9K0.1242.03N/AN/A7495,4951,501
2024-01-11$67.40$67.5039.7%11.4%32.0%32.1%40.1%3.0%-0.5%548.2K-4.2M-35.9K0.2740.21N/AN/A41115,5301,503
2024-01-12$67.14$67.5039.1%11.2%29.5%30.4%39.0%3.1%-0.8%392.4K-3.3M-33.1K0.5832.98N/AN/A48285,5421,510
2024-01-16$65.44$65.0041.7%12.0%30.7%37.2%40.3%3.4%-1.5%118.9K-1.4M-29.4K1.4545.70N/AN/A771125,5521,514
2024-01-17$64.08$65.0041.9%12.0%30.1%37.7%43.1%3.1%-2.0%-22.1K-77.9K-30.2K0.5237.21N/AN/A56295,5481,616
2024-01-18$65.65$65.0041.1%11.8%29.9%35.6%40.8%2.8%-1.5%27.8K-1.4M-31.2K0.6044.45N/AN/A78475,5871,617
2024-01-19$66.44$65.0040.3%11.5%29.6%33.5%40.6%3.9%-1.5%112.9K-2.1M-30.9K0.0940.17N/AN/A204185,6131,614
2024-01-22$67.37$65.0040.6%11.6%30.0%34.2%39.9%2.3%-2.1%138.7K-3.1M-30.5K0.1739.41N/AN/A401682,1811,337
2024-01-23$67.52$65.0040.1%11.5%29.7%33.1%38.9%3.4%-2.0%216.0K-3.8M-32.1K0.0143.73N/AN/A1,139102,4901,379
2024-01-24$66.34$65.0040.6%11.6%29.4%34.3%41.0%2.9%-1.8%387.0K-4.6M-37.1K2.2739.85N/AN/A1,0692,4293,5951,382
2024-01-25$61.47$65.0039.0%11.2%38.9%30.1%37.0%3.3%-0.6%-291.7K7.8M-47.6K2.4031.20N/AN/A4169994,5633,772
2024-01-26$63.41$65.0038.2%10.9%41.2%27.9%37.5%1.2%0.0%-16.6K1.7M-49.0K1.8541.03N/AN/A5249724,6833,223
2024-01-29$64.64$65.0038.6%11.1%42.2%29.1%39.9%2.6%-1.2%315.0K-2.7M-47.5K0.4946.27N/AN/A2091025,0642,631
2024-01-30$62.95$65.0040.2%11.5%42.8%33.2%40.4%3.2%-1.8%156.5K-411.5K-44.8K0.8838.97N/AN/A51455,2132,677
2024-01-31$61.81$65.0038.9%11.2%42.2%29.9%40.1%3.3%-0.8%31.3K1.4M-41.7K0.0660.11N/AN/A8955,2072,698