CRS Options History — August 2024 In August 2024, CRS traded between $131.95 and $146.51. ATM implied volatility averaged 44.3%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 8.9% (HV 20d: 53.2%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2024-08-16 : Highest Volume — 5,702 contracts2024-08-05 : Largest IV spike — 37.8% change2024-08-05 : Highest IV Rank — 100.0%2024-08-05 : Largest Expected Move — 17.3%Monthly Statistics Metric Avg Min Max Open Close Price $141.35 $131.95 $146.51 $143.20 $144.41 Max Pain $123.64 $115.00 $130.00 $115.00 $130.00 ATM IV 44.3% 37.6% 71.2% 45.5% 37.6% Expected Move 12.2% 10.8% 17.3% 13.1% 10.8% HV 20d 53.2% 32.1% 63.5% 53.1% 32.1% HV 60d 47.0% 44.4% 47.9% 44.4% 45.6% IV Rank 41.9% 23.0% 100.0% 74.4% 23.0% IV Percentile 64.0% 29.8% 100.0% 90.1% 29.8% Term Structure 0.6% -5.2% 2.5% -2.2% 1.2% VWIV 42.9% 37.0% 58.8% 45.8% 38.1% Skew 25d 5.4% 3.1% 10.7% 3.1% 4.3% Skew 10d 10.8% 4.8% 20.3% 4.8% 9.7% Call IV 25d 39.8% 35.3% 52.8% 43.4% 35.8% Put IV 25d 45.2% 39.7% 63.5% 46.5% 40.1% Bid-Ask Spread % 56.50 35.62 66.36 55.72 66.36 Gamma HHI 0.24 0.18 0.41 0.28 0.18 Net GEX 2.7M 769.0K 4.2M 1.5M 3.7M Net DEX -95.4M -141.8M -58.3M -93.6M -99.1M Net VEX -263.8K -343.6K -161.4K -161.4K -335.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.03 6.02 0.15 1.92 Total Volume 872.273 49 5,702 556 286 Total OI 22,624.636 17,395 27,736 22,710 20,734
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 2024-08-01 $143.20 $115.00 45.5% 13.1% 53.1% 74.4% 45.8% 3.1% -2.2% 1.5M -93.6M -161.4K 0.15 55.72 N/A N/A 484 72 9,599 13,111 2024-08-02 $134.87 $115.00 51.7% 14.8% 58.4% 99.8% 51.6% 3.7% -1.2% 976.7K -67.3M -176.1K 0.42 59.18 N/A N/A 758 320 9,563 13,149 2024-08-05 $131.95 $115.00 71.2% 17.3% 59.6% 100.0% 58.8% 10.7% -5.2% 769.0K -58.3M -200.3K 1.13 35.62 N/A N/A 286 322 10,177 13,206 2024-08-06 $138.58 $115.00 55.7% 14.7% 61.0% 64.4% 51.9% 9.1% -0.0% 1.4M -80.2M -182.7K 0.34 42.78 N/A N/A 411 138 10,229 13,150 2024-08-07 $135.04 $120.00 57.3% 15.0% 62.5% 68.2% 51.4% 9.4% -0.6% 1.2M -69.5M -190.9K 1.13 43.85 N/A N/A 268 303 10,513 13,276 2024-08-08 $140.22 $120.00 49.4% 13.7% 63.2% 50.0% 48.4% 6.3% 1.2% 1.6M -87.2M -185.4K 0.13 47.50 N/A N/A 195 26 10,676 13,399 2024-08-09 $139.67 $120.00 43.6% 12.5% 63.5% 36.7% 43.7% 6.3% 1.4% 1.9M -87.2M -173.9K 0.04 48.84 N/A N/A 3,156 123 10,802 13,408 2024-08-12 $139.42 $120.00 50.1% 12.3% 61.4% 51.6% 43.3% 6.0% 1.6% 2.7M -103.4M -237.4K 0.51 52.90 N/A N/A 301 153 13,347 13,428 2024-08-13 $140.76 $120.00 48.9% 11.8% 60.2% 48.8% 42.9% 5.6% 2.3% 3.0M -112.4M -244.3K 2.42 56.53 N/A N/A 260 629 13,727 13,523 2024-08-14 $142.72 $120.00 39.5% 11.3% 57.6% 27.3% 41.1% 5.7% 2.5% 3.3M -120.8M -238.9K 0.35 63.96 N/A N/A 141 49 13,696 13,615 2024-08-15 $143.75 $120.00 37.8% 10.8% 57.5% 23.5% 37.0% 5.3% 1.2% 3.8M -126.2M -231.5K 0.16 60.26 N/A N/A 439 70 13,735 13,642 2024-08-16 $146.09 $125.00 38.2% 11.0% 57.5% 24.3% 37.2% 4.8% 1.2% 4.2M -141.8M -236.9K 0.03 63.42 N/A N/A 5,558 144 14,057 13,679 2024-08-19 $146.51 $125.00 38.1% 10.9% 57.6% 24.0% 38.3% 4.6% 1.4% 3.3M -106.5M -322.7K 0.61 58.46 N/A N/A 387 238 12,588 4,807 2024-08-20 $141.03 $130.00 38.6% 11.1% 58.7% 25.1% 40.1% 4.0% 1.3% 3.2M -87.9M -320.5K 1.29 59.35 N/A N/A 1,007 1,295 12,865 5,020 2024-08-21 $143.52 $130.00 38.1% 10.9% 57.8% 24.1% 38.7% 4.2% 1.1% 3.2M -95.7M -337.3K 0.61 63.04 N/A N/A 109 67 13,488 6,086 2024-08-22 $142.05 $130.00 40.0% 11.5% 44.5% 28.4% 39.0% 4.3% 1.0% 3.1M -90.9M -336.6K 6.02 64.02 N/A N/A 41 247 13,541 6,133 2024-08-23 $143.85 $130.00 37.9% 10.9% 42.0% 23.5% 39.6% 3.9% 1.5% 3.2M -95.4M -341.8K 0.72 61.96 N/A N/A 61 44 13,555 6,357 2024-08-26 $143.44 $130.00 38.0% 10.9% 41.8% 24.0% 39.8% 3.9% 1.1% 3.4M -92.6M -334.8K 0.30 59.74 N/A N/A 324 98 13,569 6,399 2024-08-27 $143.66 $130.00 38.8% 11.1% 41.6% 25.7% 39.4% 4.2% 0.7% 3.6M -97.6M -343.6K 0.65 61.38 N/A N/A 117 76 14,069 6,472 2024-08-28 $141.66 $130.00 40.8% 11.7% 40.0% 30.3% 40.0% 4.4% -0.3% 3.4M -89.2M -336.4K 0.82 60.31 N/A N/A 76 62 14,125 6,522 2024-08-29 $143.26 $130.00 38.2% 10.9% 39.1% 24.2% 38.7% 4.7% 1.0% 3.6M -95.8M -333.5K 0.96 57.85 N/A N/A 25 24 14,169 6,536 2024-08-30 $144.41 $130.00 37.6% 10.8% 32.1% 23.0% 38.1% 4.3% 1.2% 3.7M -99.1M -335.9K 1.92 66.36 N/A N/A 98 188 14,186 6,548
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