CRS Options History — March 2024

In March 2024, CRS traded between $63.14 and $71.34. ATM implied volatility averaged 38.6%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 2.7% (HV 20d: 35.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.04.

Notable Days

  • 2024-03-19: Highest Volume — 1,093 contracts
  • 2024-03-11: Largest IV spike — 13.9% change
  • 2024-03-11: Highest IV Rank — 47.1%
  • 2024-03-05: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.03$63.14$71.34$65.77$71.34
Max Pain$63.50$60.00$65.00$65.00$65.00
ATM IV38.6%31.4%45.5%38.4%31.4%
Expected Move10.8%9.0%11.8%11.0%9.0%
HV 20d35.8%34.3%40.2%35.2%35.2%
HV 60d37.8%36.4%39.2%39.2%37.8%
IV Rank33.5%14.8%47.1%28.6%14.8%
IV Percentile34.4%1.2%82.5%28.6%1.2%
Term Structure2.0%0.4%5.2%0.4%5.2%
VWIV38.4%30.9%43.4%38.0%30.9%
Skew 25d3.0%1.6%3.6%1.6%3.6%
Skew 10d7.0%5.6%8.6%5.7%7.9%
Call IV 25d36.4%30.6%39.9%37.9%30.6%
Put IV 25d39.4%34.2%43.3%39.5%34.2%
Bid-Ask Spread %40.1527.5154.1552.8432.49
Gamma HHI0.310.090.520.250.52
Net GEX121.1K-315.1K475.1K19.1K475.1K
Net DEX-2.5M-6.4M1.7M-1.5M-6.4M
Net VEX-28.9K-33.8K-22.9K-33.8K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.006.540.020.04
Total Volume205.95321,093335823
Total OI5,086.31,8856,8906,6833,404

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$65.77$65.0038.4%11.0%35.2%28.6%38.0%1.6%0.4%19.1K-1.5M-33.8K0.0252.84N/AN/A32783,4993,184
2024-03-04$64.98$60.0041.1%11.5%35.7%35.8%42.3%3.5%0.4%-99.4K-555.6K-32.7K1.8227.51N/AN/A17313,5203,188
2024-03-05$63.14$60.0043.6%11.8%35.4%42.4%43.4%3.3%0.6%-315.1K1.7M-32.1K0.1436.74N/AN/A80113,5253,197
2024-03-06$65.02$60.0042.4%11.6%35.3%39.1%40.5%2.6%0.4%-120.2K-623.4K-29.8K0.7137.58N/AN/A34243,5083,206
2024-03-07$68.25$60.0041.6%11.5%37.5%36.9%39.9%2.4%0.5%329.8K-4.7M-30.0K0.3338.87N/AN/A147493,5043,220
2024-03-08$67.88$62.5039.9%11.5%37.6%32.5%41.2%3.0%0.7%319.3K-3.8M-27.8K0.7027.70N/AN/A89623,4883,206
2024-03-11$67.13$65.0045.5%11.5%37.7%47.1%41.0%2.8%0.5%259.3K-3.2M-25.2K1.6744.18N/AN/A27453,5243,228
2024-03-12$64.67$65.0043.3%11.3%40.2%41.4%40.9%3.4%0.9%-240.0K-28.3K-24.8K1.0047.98N/AN/A60603,5873,258
2024-03-13$65.72$65.0039.8%11.4%36.9%32.3%40.2%2.9%0.4%-16.1K-1.3M-23.5K6.5446.78N/AN/A13853,5773,293
2024-03-14$64.07$65.0038.8%11.1%35.8%30.5%39.3%3.1%2.3%-190.0K144.3K-22.9K0.8049.93N/AN/A82663,5803,310
2024-03-15$65.97$65.0038.9%11.2%34.3%40.8%39.5%3.5%3.2%-57.3K-2.1M-22.9K1.1254.15N/AN/A1121253,5923,294
2024-03-18$66.06$62.5038.8%11.1%34.3%41.5%38.2%3.4%2.2%-3.6K-541.9K-23.2K0.8635.70N/AN/A1401207411,144
2024-03-19$68.34$62.5036.7%10.5%35.4%33.8%35.3%3.0%2.6%29.3K-1.4M-23.8K0.0439.45N/AN/A1,051428541,202
2024-03-20$68.41$62.5035.9%10.3%35.4%31.4%35.8%2.3%3.5%274.0K-3.6M-31.2K0.2251.00N/AN/A90201,8911,234
2024-03-21$68.75$65.0035.8%10.2%35.3%30.8%34.4%3.5%2.8%329.7K-4.2M-33.3K0.0039.25N/AN/A3202,0681,242
2024-03-22$68.24$65.0035.1%10.1%35.0%28.3%36.2%3.0%4.0%311.8K-3.9M-32.7K0.1435.72N/AN/A86122,1001,242
2024-03-25$68.59$65.0035.7%10.2%34.9%30.6%37.8%2.9%3.1%344.5K-4.1M-32.1K0.6735.11N/AN/A30202,1131,257
2024-03-26$68.58$65.0035.4%10.2%34.5%29.6%38.2%3.0%3.0%355.8K-4.0M-31.8K2.9235.05N/AN/A13382,1271,237
2024-03-27$69.76$65.0033.3%9.5%34.9%22.2%34.9%2.6%3.7%416.2K-5.0M-31.8K1.0935.00N/AN/A23252,1281,254
2024-03-28$71.34$65.0031.4%9.0%35.2%14.8%30.9%3.6%5.2%475.1K-6.4M-32.0K0.0432.49N/AN/A794292,1391,265