CRS Options History — July 2024 In July 2024, CRS traded between $105.06 and $147.01. ATM implied volatility averaged 42.9%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 0.4% (HV 20d: 43.3%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.25.
Notable Days 2024-07-25 : Highest Volume — 5,236 contracts2024-07-25 : Largest IV drop — 10.2% change2024-07-24 : Highest IV Rank — 100.0%2024-07-24 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $119.87 $105.06 $147.01 $106.47 $147.01 Max Pain $103.41 $100.00 $115.00 $105.00 $115.00 ATM IV 42.9% 37.4% 51.7% 38.1% 41.0% Expected Move 12.4% 10.7% 14.8% 10.9% 11.8% HV 20d 43.3% 35.5% 53.1% 46.2% 50.8% HV 60d 45.0% 43.0% 50.4% 44.8% 44.1% IV Rank 65.3% 42.5% 100.0% 45.4% 55.6% IV Percentile 76.0% 31.7% 100.0% 38.5% 68.7% Term Structure -0.9% -4.5% 4.3% 3.6% -0.7% VWIV 43.2% 37.0% 52.6% 37.0% 40.8% Skew 25d 3.4% 1.6% 4.9% 3.2% 1.6% Skew 10d 6.5% 4.8% 10.1% 5.5% 5.1% Call IV 25d 41.2% 35.4% 48.2% 35.9% 39.7% Put IV 25d 44.6% 38.6% 52.9% 39.1% 41.4% Bid-Ask Spread % 52.39 41.36 66.60 54.79 65.97 Gamma HHI 0.23 0.16 0.35 0.22 0.27 Net GEX 987.2K 502.5K 1.5M 670.8K 1.5M Net DEX -59.8M -100.5M -28.1M -33.4M -100.5M Net VEX -122.0K -154.9K -69.1K -136.4K -148.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.25 0.07 11.29 0.16 0.11 Total Volume 1,022.864 81 5,236 255 804 Total OI 19,727.909 17,859 22,742 18,222 22,452
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 2024-07-01 $106.47 $105.00 38.1% 10.9% 46.2% 45.4% 37.0% 3.2% 3.6% 670.8K -33.4M -136.4K 0.16 54.79 N/A N/A 220 35 7,579 10,643 2024-07-02 $105.21 $105.00 37.4% 10.7% 46.0% 42.5% 37.8% 3.2% 4.3% 504.2K -28.5M -143.1K 11.29 52.47 N/A N/A 17 192 7,764 10,655 2024-07-03 $106.82 $105.00 37.9% 10.9% 42.6% 44.6% 38.4% 3.4% 4.0% 707.5K -34.2M -132.4K 0.56 52.16 N/A N/A 52 29 7,762 10,820 2024-07-05 $105.06 $100.00 38.5% 11.9% 42.2% 46.9% 40.6% 3.5% -1.0% 502.5K -28.1M -135.0K 0.30 44.88 N/A N/A 96 29 7,793 10,837 2024-07-08 $106.95 $100.00 39.8% 12.1% 42.7% 52.9% 42.1% 3.0% -1.2% 734.0K -34.8M -120.9K 0.25 45.17 N/A N/A 407 103 7,848 10,900 2024-07-09 $106.95 $100.00 39.9% 12.1% 42.1% 53.0% 40.5% 3.3% -1.2% 692.5K -33.7M -120.7K 2.59 43.97 N/A N/A 133 344 7,674 10,955 2024-07-10 $108.04 $100.00 42.5% 12.2% 42.1% 64.5% 43.0% 3.2% -1.6% 816.1K -37.7M -121.0K 0.55 42.59 N/A N/A 282 155 7,796 10,995 2024-07-11 $110.09 $100.00 42.4% 12.2% 42.5% 63.9% 43.3% 3.3% -1.5% 989.2K -43.8M -108.2K 0.45 46.35 N/A N/A 75 34 7,736 11,122 2024-07-12 $111.23 $100.00 41.5% 11.9% 42.3% 60.2% 42.6% 3.1% -1.4% 1.2M -46.3M -108.6K 1.20 45.37 N/A N/A 118 142 7,733 11,131 2024-07-15 $117.54 $100.00 42.0% 12.0% 45.9% 62.1% 42.5% 2.6% -1.1% 1.2M -64.4M -80.1K 0.36 50.03 N/A N/A 675 246 7,779 11,195 2024-07-16 $122.47 $100.00 43.3% 12.4% 35.5% 67.6% 42.1% 3.4% -1.1% 1.3M -76.5M -69.1K 0.07 52.02 N/A N/A 1,678 121 8,006 11,348 2024-07-17 $117.61 $100.00 43.5% 12.5% 37.7% 68.9% 44.2% 4.0% -2.0% 1.4M -67.3M -87.7K 0.13 49.23 N/A N/A 2,229 282 8,917 11,382 2024-07-18 $117.84 $100.00 44.3% 12.7% 37.1% 72.3% 45.3% 3.8% -1.2% 1.2M -70.5M -108.3K 2.98 53.35 N/A N/A 171 510 9,230 11,616 2024-07-19 $119.43 $100.00 44.7% 12.8% 36.1% 73.9% 44.2% 3.1% -1.4% 838.0K -76.2M -115.3K 1.00 50.58 N/A N/A 201 202 9,827 12,490 2024-07-22 $120.22 $100.00 46.6% 13.3% 36.0% 81.9% 45.6% 3.8% -3.3% 724.2K -58.3M -113.5K 0.14 55.53 N/A N/A 260 37 7,580 10,279 2024-07-23 $125.27 $100.00 47.0% 13.5% 37.6% 83.8% 46.2% 2.9% -3.4% 920.4K -68.5M -105.1K 0.16 54.82 N/A N/A 365 58 7,735 10,300 2024-07-24 $122.26 $100.00 51.7% 14.8% 39.6% 100.0% 52.6% 4.8% -4.5% 828.7K -61.6M -126.3K 1.61 41.36 N/A N/A 1,766 2,844 7,997 10,334 2024-07-25 $136.13 $100.00 46.4% 13.3% 51.2% 78.0% 46.5% 4.9% -1.5% 1.2M -93.8M -148.9K 0.75 62.20 N/A N/A 2,997 2,239 9,799 12,943 2024-07-26 $142.06 $115.00 45.0% 12.9% 52.3% 72.2% 45.4% 4.0% -0.9% 1.2M -85.7M -149.6K 0.71 65.99 N/A N/A 690 492 8,741 12,441 2024-07-29 $140.37 $115.00 46.4% 13.3% 53.1% 77.8% 47.1% 3.4% -1.7% 1.3M -83.4M -150.7K 1.69 66.60 N/A N/A 264 445 8,975 12,655 2024-07-30 $142.13 $115.00 44.0% 12.6% 51.4% 68.1% 43.6% 2.3% -1.4% 1.4M -88.6M -154.9K 0.47 57.09 N/A N/A 316 148 9,265 12,985 2024-07-31 $147.01 $115.00 41.0% 11.8% 50.8% 55.6% 40.8% 1.6% -0.7% 1.5M -100.5M -148.1K 0.11 65.97 N/A N/A 727 77 9,373 13,079
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