CRS Options History — February 2024

In February 2024, CRS traded between $59.20 and $66.44. ATM implied volatility averaged 38.4%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 4.7% (HV 20d: 43.1%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2024-02-15: Highest Volume — 1,099 contracts
  • 2024-02-13: Largest IV spike — 7.8% change
  • 2024-02-05: Highest IV Rank — 35.0%
  • 2024-02-13: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.64$59.20$66.44$60.75$64.72
Max Pain$64.63$62.50$65.00$65.00$65.00
ATM IV38.4%36.7%40.9%39.2%37.8%
Expected Move11.0%10.5%11.5%11.1%10.8%
HV 20d43.1%35.7%48.1%42.2%35.7%
HV 60d41.6%39.0%43.6%40.5%39.0%
IV Rank28.5%24.1%35.0%30.6%27.0%
IV Percentile26.7%13.1%48.4%32.5%21.4%
Term Structure1.0%0.1%2.2%1.2%0.6%
VWIV38.6%37.0%42.5%38.4%37.6%
Skew 25d2.8%1.2%4.2%3.5%1.6%
Skew 10d6.9%4.7%9.3%7.7%6.3%
Call IV 25d37.3%35.8%38.7%37.3%37.4%
Put IV 25d40.1%39.0%42.9%40.7%39.0%
Bid-Ask Spread %34.8218.1350.9248.2750.92
Gamma HHI0.250.200.310.250.29
Net GEX14.9K-147.8K330.6K-54.9K-60.9K
Net DEX-6.4K-4.6M4.7M2.9M-325.1K
Net VEX-39.6K-45.3K-34.2K-39.4K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0210.820.820.07
Total Volume285.25391,099345377
Total OI7,826.256,7519,5987,8746,848

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$60.75$65.0039.2%11.1%42.2%30.6%38.4%3.5%1.2%-54.9K2.9M-39.4K0.8248.27N/AN/A1901555,1722,702
2024-02-02$61.05$65.0038.9%11.1%42.2%29.7%37.0%3.2%1.6%-86.5K2.7M-40.8K0.3820.28N/AN/A86335,2672,819
2024-02-05$59.20$65.0040.9%11.2%42.7%35.0%38.5%2.8%1.1%-147.8K4.7M-36.7K0.2729.42N/AN/A124345,2782,845
2024-02-06$61.06$65.0039.8%11.1%44.6%32.2%39.0%3.3%1.3%-131.9K3.0M-37.6K1.8523.66N/AN/A27505,3212,858
2024-02-07$63.03$65.0037.8%10.8%44.7%26.9%37.7%3.3%1.3%-5.7K496.9K-39.5K0.4921.95N/AN/A185915,3302,858
2024-02-08$62.88$62.5037.2%10.7%42.8%25.3%37.1%3.1%2.1%-7.6K272.7K-39.2K0.4418.13N/AN/A6412825,4272,827
2024-02-09$63.80$62.5036.7%10.5%42.8%24.1%37.6%3.2%2.2%62.9K-918.7K-42.6K1.3840.50N/AN/A1952705,6272,982
2024-02-12$64.19$62.5037.2%10.7%43.0%25.3%38.1%2.7%1.8%131.2K-2.5M-40.4K0.9835.09N/AN/A4234155,7482,704
2024-02-13$61.40$65.0040.1%11.5%44.8%33.0%40.4%4.2%0.2%-112.1K2.7M-39.9K0.4727.09N/AN/A114545,8383,015
2024-02-14$63.79$65.0038.1%10.9%46.6%27.8%38.2%3.3%1.7%42.8K-699.4K-40.3K0.8234.62N/AN/A68565,9182,854
2024-02-15$66.44$65.0037.9%10.9%48.0%27.1%40.8%2.0%0.1%330.6K-4.6M-41.9K10.8222.01N/AN/A931,0065,9162,834
2024-02-16$66.09$65.0038.5%11.0%47.9%28.7%39.1%2.5%0.6%153.9K-3.3M-45.3K0.2436.22N/AN/A152365,9173,681
2024-02-20$64.78$65.0039.1%11.2%48.1%30.3%42.5%3.4%0.3%42.9K-291.4K-41.7K2.0433.51N/AN/A27553,6433,108
2024-02-21$64.69$65.0038.8%11.1%48.1%29.6%38.8%2.7%0.5%30.9K-366.1K-41.5K0.0842.80N/AN/A6153,6683,134
2024-02-22$65.40$65.0038.5%11.0%47.9%28.8%38.1%2.9%0.6%94.3K-1.3M-41.9K0.1139.56N/AN/A5563,7083,137
2024-02-23$64.58$65.0037.2%10.7%39.1%25.4%39.3%2.2%1.3%-23.5K-147.9K-38.6K1.2948.33N/AN/A17223,6983,141
2024-02-26$64.28$65.0038.2%10.9%37.7%27.9%38.3%1.2%0.7%-70.9K234.5K-36.8K1.8930.94N/AN/A19363,7183,153
2024-02-27$65.42$65.0038.0%10.9%37.6%27.6%38.5%2.5%0.3%57.3K-1.3M-36.7K0.4446.19N/AN/A73323,7303,178
2024-02-28$65.33$65.0038.1%10.9%36.2%27.8%37.9%1.9%1.0%52.5K-1.4M-36.2K0.0246.89N/AN/A13733,7553,168
2024-02-29$64.72$65.0037.8%10.8%35.7%27.0%37.6%1.6%0.6%-60.9K-325.1K-34.2K0.0750.92N/AN/A352253,6833,165