CRS Options History — May 2024 In May 2024, CRS traded between $97.55 and $112.36. ATM implied volatility averaged 35.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 13.9% (HV 20d: 49.7%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.61.
Notable Days 2024-05-02 : Highest Volume — 7,069 contracts2024-05-15 : Largest IV drop — 22.0% change2024-05-14 : Highest IV Rank — 58.8%2024-05-01 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $106.87 $97.55 $112.36 $97.55 $110.96 Max Pain $92.95 $80.00 $100.00 $80.00 $90.00 ATM IV 35.9% 31.7% 42.6% 41.1% 35.2% Expected Move 10.0% 9.1% 11.8% 11.8% 10.1% HV 20d 49.7% 31.1% 55.9% 55.9% 31.1% HV 60d 42.1% 41.3% 43.2% 42.8% 41.4% IV Rank 32.3% 16.0% 58.8% 52.6% 29.8% IV Percentile 20.1% 1.6% 76.2% 62.3% 11.9% Term Structure 1.6% -2.7% 4.4% -2.7% 0.9% VWIV 34.9% 30.6% 40.8% 40.8% 35.4% Skew 25d 2.7% 1.2% 3.3% 1.8% 3.3% Skew 10d 5.2% 1.4% 8.0% 2.5% 8.0% Call IV 25d 33.6% 30.4% 40.1% 40.1% 33.0% Put IV 25d 36.2% 33.2% 42.0% 42.0% 36.3% Bid-Ask Spread % 61.38 49.06 69.84 59.74 69.18 Gamma HHI 0.18 0.12 0.64 0.20 0.16 Net GEX 1.3M 697.4K 4.1M 697.4K 1.3M Net DEX -63.4M -90.9M -40.8M -40.8M -60.2M Net VEX -174.4K -211.1K -123.1K -123.1K -159.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.61 0.03 2.56 0.95 2.56 Total Volume 1,127.136 148 7,069 4,225 1,369 Total OI 20,427.364 14,890 25,247 14,890 17,596
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-05-01 $97.55 $80.00 41.1% 11.8% 55.9% 52.6% 40.8% 1.8% -2.7% 697.4K -40.8M -123.1K 0.95 59.74 N/A N/A 2,171 2,054 6,349 8,541 2024-05-02 $99.73 $80.00 39.9% 11.4% 53.3% 47.9% 40.3% 1.2% -1.9% 832.9K -45.9M -126.1K 0.65 60.99 N/A N/A 4,297 2,772 7,183 9,583 2024-05-03 $103.88 $80.00 35.5% 10.2% 54.2% 30.7% 36.0% 1.2% 0.3% 977.3K -61.7M -201.3K 0.75 68.22 N/A N/A 444 332 9,965 12,271 2024-05-06 $102.09 $100.00 38.4% 10.3% 54.9% 42.2% 35.0% 3.0% 3.7% 1.0M -55.4M -208.6K 0.42 55.21 N/A N/A 423 179 10,207 12,454 2024-05-07 $103.06 $100.00 35.7% 10.1% 54.6% 31.6% 34.6% 3.3% 3.6% 1.1M -60.2M -203.1K 1.17 53.88 N/A N/A 398 464 10,542 12,553 2024-05-08 $104.02 $100.00 36.4% 10.0% 50.8% 34.3% 35.6% 2.3% 3.5% 1.2M -64.5M -204.1K 0.60 53.32 N/A N/A 462 275 10,870 12,925 2024-05-09 $106.41 $100.00 35.5% 9.9% 50.9% 30.8% 34.7% 2.5% 3.9% 1.1M -73.0M -200.3K 0.88 51.64 N/A N/A 152 133 10,919 13,064 2024-05-10 $103.91 $100.00 33.3% 9.5% 51.9% 22.1% 33.2% 2.6% 4.1% 1.2M -63.7M -211.1K 1.00 52.50 N/A N/A 74 74 10,945 13,144 2024-05-13 $103.10 $100.00 40.4% 9.8% 50.0% 50.2% 34.3% 2.7% 3.8% 1.2M -60.4M -208.7K 0.55 49.06 N/A N/A 275 151 10,990 13,173 2024-05-14 $105.73 $100.00 42.6% 9.8% 50.1% 58.8% 33.2% 2.9% 3.7% 1.3M -71.5M -193.8K 0.05 55.57 N/A N/A 153 7 11,171 13,324 2024-05-15 $109.46 $100.00 33.3% 9.5% 50.5% 22.1% 33.9% 2.6% 4.4% 1.3M -86.1M -178.6K 0.39 60.81 N/A N/A 371 146 11,386 13,328 2024-05-16 $110.44 $100.00 32.9% 9.4% 50.4% 20.7% 32.6% 2.7% 1.6% 1.5M -90.9M -169.4K 0.88 66.98 N/A N/A 170 150 11,679 13,392 2024-05-17 $109.94 $100.00 31.7% 9.1% 48.1% 16.0% 30.6% 2.8% 1.9% 4.1M -89.8M -170.5K 0.03 68.83 N/A N/A 1,185 36 11,788 13,459 2024-05-20 $109.82 $100.00 32.8% 9.4% 48.5% 20.4% 35.2% 2.9% 2.0% 834.0K -63.7M -166.5K 0.76 57.98 N/A N/A 1,747 1,322 8,998 9,315 2024-05-21 $111.81 $87.50 33.0% 9.5% 48.5% 21.3% 33.2% 2.8% 1.2% 1.1M -60.4M -146.6K 0.34 67.23 N/A N/A 234 79 8,092 8,029 2024-05-22 $108.17 $87.50 34.1% 9.8% 51.3% 25.3% 33.4% 2.6% 0.3% 992.0K -51.9M -163.5K 0.34 65.80 N/A N/A 182 61 8,301 8,046 2024-05-23 $107.47 $87.50 35.2% 10.1% 51.8% 29.6% 35.1% 2.8% 0.2% 901.3K -49.8M -163.0K 0.17 64.96 N/A N/A 816 140 8,177 8,084 2024-05-24 $109.81 $87.50 33.3% 9.5% 51.7% 22.2% 32.0% 3.1% 1.2% 1.2M -57.8M -163.6K 0.20 66.80 N/A N/A 132 26 8,961 8,176 2024-05-28 $112.36 $87.50 35.6% 10.2% 51.5% 31.4% 33.4% 3.2% 0.4% 1.2M -65.0M -154.0K 0.08 69.84 N/A N/A 454 35 9,027 8,187 2024-05-29 $111.02 $87.50 36.0% 10.3% 52.2% 32.9% 37.4% 3.0% 0.2% 1.3M -61.5M -160.2K 0.62 63.51 N/A N/A 302 187 9,264 8,193 2024-05-30 $110.41 $90.00 37.1% 10.6% 31.7% 37.1% 37.0% 3.2% -0.0% 1.3M -60.1M -161.2K 0.05 68.28 N/A N/A 345 18 9,462 8,289 2024-05-31 $110.96 $90.00 35.2% 10.1% 31.1% 29.8% 35.4% 3.3% 0.9% 1.3M -60.2M -159.1K 2.56 69.18 N/A N/A 385 984 9,291 8,305
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