CRS Options History — September 2024

In September 2024, CRS traded between $131.99 and $161.16. ATM implied volatility averaged 44.8%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 1.7% (HV 20d: 43.1%). Max pain ranged from $130.00 to $150.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2024-09-03: Highest Volume — 3,445 contracts
  • 2024-09-11: Largest IV drop — 7.4% change
  • 2024-09-04: Highest IV Rank — 45.8%
  • 2024-09-04: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$146.15$131.99$161.16$133.38$159.53
Max Pain$141.00$130.00$150.00$130.00$150.00
ATM IV44.8%41.6%49.5%46.5%42.8%
Expected Move12.7%11.9%13.6%13.3%12.3%
HV 20d43.1%37.1%47.0%42.8%47.0%
HV 60d47.5%46.4%49.9%48.8%46.7%
IV Rank34.2%25.6%45.8%43.2%28.7%
IV Percentile80.8%64.3%96.8%90.9%71.0%
Term Structure1.5%-2.6%4.7%-2.3%4.7%
VWIV44.5%40.3%48.6%46.6%43.0%
Skew 25d4.5%3.5%5.1%5.1%3.5%
Skew 10d8.7%7.0%11.7%11.7%7.8%
Call IV 25d41.9%39.1%45.1%44.7%41.0%
Put IV 25d46.4%43.4%49.8%49.8%44.5%
Bid-Ask Spread %30.7017.4366.6666.6636.26
Gamma HHI0.180.130.260.160.22
Net GEX3.1M1.7M5.6M2.3M2.5M
Net DEX-100.3M-187.1M-47.0M-53.1M-124.2M
Net VEX-330.2K-407.7K-278.1K-296.2K-405.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.057.300.430.80
Total Volume1,058.9643,4453,445126
Total OI21,931.516,69826,35820,95020,613

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$133.38$130.0046.5%13.3%42.8%43.2%46.6%5.1%-2.3%2.3M-53.1M-296.2K0.4366.66N/AN/A2,4131,03214,2436,707
2024-09-04$135.79$135.0047.6%13.6%39.5%45.8%48.6%4.8%-2.6%2.1M-62.4M-328.9K3.2865.96N/AN/A6421014,5857,979
2024-09-05$136.00$140.0047.4%12.8%38.4%40.2%44.1%4.4%0.9%2.1M-63.7M-326.1K0.1918.62N/AN/A4458314,6028,065
2024-09-06$131.99$140.0049.5%13.5%37.1%45.6%46.8%5.1%0.2%1.7M-47.0M-315.0K0.3220.61N/AN/A1494715,0128,142
2024-09-09$137.72$140.0049.1%13.2%40.5%44.5%45.7%4.5%0.3%2.6M-72.4M-326.0K0.1418.28N/AN/A2112914,9988,183
2024-09-10$134.44$140.0048.8%13.2%41.3%43.7%48.6%4.8%0.2%1.9M-55.2M-304.1K2.1318.38N/AN/A388114,9048,192
2024-09-11$134.79$140.0045.2%13.0%41.1%34.7%43.4%4.5%0.2%2.0M-56.9M-300.1K1.4117.56N/AN/A34949214,9318,260
2024-09-12$139.07$140.0044.3%12.7%42.5%32.3%45.3%4.3%0.8%3.2M-78.4M-310.8K2.3717.43N/AN/A194515,1978,290
2024-09-13$142.25$140.0044.1%12.7%43.2%32.0%43.5%4.3%0.9%4.0M-95.7M-310.5K4.6422.42N/AN/A5525515,2148,290
2024-09-16$141.67$140.0044.9%12.9%42.8%34.0%43.0%4.7%0.4%4.1M-91.0M-293.7K0.3826.81N/AN/A58622515,2088,316
2024-09-17$142.60$140.0044.1%12.7%42.9%32.0%44.0%4.8%0.6%4.5M-98.0M-290.1K0.1323.85N/AN/A3624615,3128,498
2024-09-18$147.14$140.0044.6%12.8%42.1%33.2%43.5%4.2%1.0%5.6M-124.3M-286.0K0.5127.00N/AN/A1,14258315,1648,522
2024-09-19$155.09$140.0043.4%12.4%45.5%30.1%43.7%4.3%2.9%4.6M-165.3M-278.1K0.0524.41N/AN/A2,47111715,3858,761
2024-09-20$156.36$140.0042.1%12.1%45.2%26.9%42.0%4.2%2.8%3.7M-187.1M-364.5K0.1529.10N/AN/A2,15231417,5248,834
2024-09-23$157.67$140.0041.6%11.9%45.1%25.6%44.8%4.7%3.1%3.2M-133.5M-370.1K0.0633.62N/AN/A1,73010713,6883,889
2024-09-24$161.03$145.0041.6%11.9%45.4%25.7%40.3%4.3%3.0%2.9M-131.5M-355.2K7.3032.17N/AN/A10475912,7513,947
2024-09-25$161.16$145.0041.9%12.0%45.4%26.3%44.0%4.2%3.8%2.8M-130.3M-363.1K2.1539.85N/AN/A40987812,8024,775
2024-09-26$156.23$145.0044.1%12.7%46.8%32.0%45.1%5.1%3.8%2.8M-112.7M-372.9K1.4639.48N/AN/A1,0691,56113,1255,433
2024-09-27$159.17$150.0042.5%12.2%47.0%27.9%43.6%3.6%4.4%2.5M-123.5M-407.7K2.6835.51N/AN/A11430613,7906,499
2024-09-30$159.53$150.0042.8%12.3%47.0%28.7%43.0%3.5%4.7%2.5M-124.2M-405.6K0.8036.26N/AN/A705613,8676,746