CRS Options History — June 2024

In June 2024, CRS traded between $96.72 and $109.18. ATM implied volatility averaged 38.2%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 0.2% (HV 20d: 38.4%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 3.82.

Notable Days

  • 2024-06-11: Highest Volume — 1,446 contracts
  • 2024-06-14: Largest IV spike — 11.2% change
  • 2024-06-17: Highest IV Rank — 61.6%
  • 2024-06-17: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.46$96.72$109.18$109.18$108.98
Max Pain$105.26$95.00$110.00$95.00$105.00
ATM IV38.2%35.3%41.8%37.2%37.1%
Expected Move11.0%10.4%12.0%10.7%10.6%
HV 20d38.4%29.0%45.6%29.0%45.6%
HV 60d43.6%40.9%46.2%40.9%45.8%
IV Rank44.3%30.0%61.6%37.5%40.9%
IV Percentile41.2%12.3%79.8%27.8%27.4%
Term Structure2.2%-1.5%6.6%-0.2%3.5%
VWIV38.4%35.9%42.6%37.7%40.4%
Skew 25d3.1%2.3%3.9%3.9%3.1%
Skew 10d6.2%1.3%9.1%9.1%5.8%
Call IV 25d36.6%34.9%40.1%35.1%35.6%
Put IV 25d39.7%37.8%42.9%39.0%38.7%
Bid-Ask Spread %51.3540.8476.2976.2948.23
Gamma HHI0.160.110.260.120.23
Net GEX-40.0K-802.9K857.6K788.1K857.6K
Net DEX-27.1M-52.5M-864.4K-52.5M-40.1M
Net VEX-160.3K-180.6K-140.8K-160.6K-143.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.820.0517.393.4611.26
Total Volume657.4741401,446433527
Total OI19,495.10516,46122,34318,11617,998

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$109.18$95.0037.2%10.7%29.0%37.5%37.7%3.9%-0.2%788.1K-52.5M-160.6K3.4676.29N/AN/A973369,1518,965
2024-06-04$103.78$100.0039.2%11.2%34.0%45.2%40.3%3.3%-1.5%381.2K-35.1M-166.8K3.2771.48N/AN/A2528239,2059,275
2024-06-05$106.22$100.0037.8%10.8%34.8%39.7%37.2%2.9%-0.2%281.4K-41.9M-163.4K0.7545.17N/AN/A2391799,1819,901
2024-06-06$106.25$110.0037.4%10.8%34.7%38.2%36.9%3.1%2.3%212.0K-41.7M-163.6K1.5440.84N/AN/A1071659,2139,910
2024-06-07$104.20$110.0035.3%10.4%34.4%30.0%36.3%3.0%2.4%60.2K-35.0M-163.4K17.3944.27N/AN/A417139,2289,877
2024-06-10$103.58$110.0036.8%10.6%33.5%36.1%36.4%3.2%2.1%-109.9K-31.3M-166.1K0.7546.14N/AN/A1621219,24610,523
2024-06-11$103.91$110.0037.6%10.8%33.3%39.0%37.5%2.9%2.1%-133.9K-32.3M-162.2K5.7349.38N/AN/A2151,2319,25110,558
2024-06-12$105.60$110.0037.3%10.7%32.6%37.9%36.5%2.6%2.6%-252.7K-37.9M-159.5K3.7348.41N/AN/A1756539,14911,743
2024-06-13$104.50$105.0036.8%10.6%30.1%40.0%37.2%2.3%2.8%-496.2K-32.8M-167.2K7.9049.86N/AN/A725699,08412,372
2024-06-14$96.72$105.0040.9%11.7%39.8%57.7%41.0%3.3%6.6%-446.3K-864.4K-180.6K2.3249.76N/AN/A3508119,05612,613
2024-06-17$101.20$105.0041.8%12.0%43.9%61.6%42.0%2.7%0.8%-728.9K-17.3M-169.1K6.0445.87N/AN/A563388,96212,590
2024-06-18$100.05$105.0040.8%11.7%43.9%56.9%39.4%3.2%1.6%-604.4K-12.7M-161.5K0.9546.26N/AN/A4444248,98312,585
2024-06-20$98.52$105.0040.9%11.7%43.2%57.4%42.6%3.3%1.9%-397.6K-5.3M-168.1K3.6746.18N/AN/A1957159,30212,855
2024-06-21$98.75$105.0039.4%11.3%42.2%50.8%38.5%3.5%2.1%-802.9K-7.3M-161.1K1.0452.89N/AN/A2472579,33713,006
2024-06-24$99.29$105.0038.3%11.0%42.3%46.4%38.5%3.3%2.4%-215.3K-10.7M-157.5K0.3054.86N/AN/A108326,22710,234
2024-06-25$101.29$105.0038.5%11.0%42.2%47.0%39.8%2.9%2.1%-95.6K-16.2M-149.9K1.9954.53N/AN/A691376,29010,256
2024-06-26$106.27$105.0036.5%10.5%45.1%38.3%35.9%3.3%4.5%170.6K-28.0M-141.1K0.0553.92N/AN/A1,153596,34110,279
2024-06-27$107.47$105.0037.2%10.7%45.3%41.3%36.4%3.2%4.4%772.9K-36.1M-140.8K0.4551.40N/AN/A2891317,35810,303
2024-06-28$108.98$105.0037.1%10.6%45.6%40.9%40.4%3.1%3.5%857.6K-40.1M-143.5K11.2648.23N/AN/A434847,58210,416