CNNE Options History — December 2017

Name: CNNE Options Analytics - December 2017
Creator: Options Analysis Suite

In December 2017, CNNE traded between $16.45 and $17.70. ATM implied volatility averaged 28.5%. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 6.1% (HV 20d: 34.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.76.

Notable Days

2017-12-12: Highest Volume — 137 contracts
2017-12-04: Largest IV spike — 86.8% change
2017-12-04: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.92	$16.45	$17.70	$17.70	$17.07
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	28.5%	18.8%	48.0%	25.3%	26.2%
Expected Move	6.9%	5.4%	8.2%	7.2%	7.5%
HV 20d	34.6%	33.0%	37.9%	37.9%	33.2%
Term Structure	1.0%	-3.0%	7.8%	1.3%	-1.5%
VWIV	94.5%	19.8%	131.8%	19.8%	123.2%
Skew 25d	5.1%	-7.1%	83.9%	83.9%	-2.7%
Skew 10d	5.7%	-10.8%	93.3%	93.3%	-5.3%
Call IV 25d	30.6%	21.1%	99.0%	99.0%	31.8%
Put IV 25d	35.7%	16.1%	182.9%	182.9%	29.1%
Bid-Ask Spread %	84.83	51.20	116.38	83.36	98.22
Gamma HHI	0.60	0.34	0.94	0.34	0.53
Net GEX	-678	-2.7K	1.5K	273	-1.1K
Net DEX	-1.3K	-27.8K	23.7K	-9.0K	-3.1K
Net VEX	-232	-394	-15	-22	-315
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.00	2.70	0.00	2.70
Total Volume	98.9	17	137	17	137
Total OI	84.65	8	129	8	129

Daily Data (20 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 Vol	Put Vol	Call OI	Put OI
2017-12-01	$17.70	$0.00	25.3%	7.2%	0.0%	0.0%	0.0%	83.9%	1.3%	273	-9.0K	-22	0.00	83.36	17	0	8	0
2017-12-04	$16.45	$0.00	47.2%	8.2%	0.0%	0.0%	19.8%	-1.4%	-3.0%	283	-7.0K	-21	0.00	66.63	23	0	8	0
2017-12-05	$16.93	$15.00	27.9%	6.9%	0.0%	0.0%	88.8%	1.7%	-2.8%	334	-15.3K	-27	0.00	65.24	23	0	14	0
2017-12-06	$16.72	$15.00	34.3%	7.7%	0.0%	0.0%	91.9%	-1.5%	0.6%	267	-16.7K	-15	0.00	115.13	23	0	14	0
2017-12-07	$17.00	$15.00	35.5%	6.7%	0.0%	0.0%	103.4%	-5.9%	2.1%	470	-16.3K	-27	0.00	65.29	37	0	14	0
2017-12-08	$17.11	$15.00	35.7%	7.0%	0.0%	0.0%	92.7%	-4.8%	-0.1%	1.5K	-27.8K	-69	0.00	61.73	37	0	29	0
2017-12-11	$17.04	$15.00	37.7%	6.7%	0.0%	0.0%	89.3%	3.4%	-0.5%	1.4K	-27.7K	-59	0.00	67.91	37	0	29	0
2017-12-12	$16.86	$15.00	48.0%	7.4%	0.0%	0.0%	111.3%	1.2%	0.6%	1.4K	-26.7K	-68	2.70	116.38	37	100	29	0
2017-12-13	$16.84	$15.00	21.9%	6.3%	37.9%	0.0%	96.3%	-2.4%	4.5%	-2.3K	23.7K	-365	2.70	114.71	37	100	29	100
2017-12-14	$16.60	$15.00	26.1%	7.5%	36.9%	0.0%	51.8%	-7.1%	0.4%	-2.5K	22.5K	-356	2.70	112.70	37	100	29	100
2017-12-15	$16.74	$15.00	18.8%	5.4%	36.1%	0.0%	92.1%	-5.0%	3.8%	-1.2K	10.4K	-394	2.70	51.20	37	100	29	100
2017-12-18	$16.77	$15.00	19.7%	5.6%	35.0%	0.0%	92.2%	-3.7%	4.8%	-1.4K	9.7K	-371	2.70	109.23	37	100	29	100
2017-12-19	$16.51	$15.00	25.7%	7.4%	34.4%	0.0%	97.3%	-6.3%	-2.6%	-2.7K	23.1K	-349	2.70	113.24	37	100	29	100
2017-12-20	$16.70	$15.00	22.2%	6.4%	33.9%	0.0%	108.9%	8.2%	7.8%	-1.7K	14.4K	-384	2.70	113.00	37	100	29	100
2017-12-21	$16.92	$15.00	21.9%	6.3%	34.3%	0.0%	99.0%	-6.9%	-0.9%	-1.3K	6.7K	-374	2.70	54.10	37	100	29	100
2017-12-22	$17.01	$15.00	21.9%	6.3%	33.6%	0.0%	100.5%	-4.8%	0.3%	-1.1K	5.1K	-368	2.70	53.07	37	100	29	100
2017-12-26	$17.11	$15.00	22.6%	6.5%	33.5%	0.0%	0.0%	67.5%	4.0%	-1.3K	2.3K	-345	2.70	59.41	37	100	29	100
2017-12-27	$17.13	$15.00	24.3%	7.0%	33.0%	0.0%	131.8%	-6.7%	0.5%	-1.4K	4.0K	-354	2.70	113.70	37	100	29	100
2017-12-28	$17.22	$15.00	26.6%	7.6%	33.1%	0.0%	110.3%	-4.8%	0.5%	-1.3K	2.6K	-350	2.70	62.39	37	100	29	100
2017-12-29	$17.07	$15.00	26.2%	7.5%	33.2%	0.0%	123.2%	-2.7%	-1.5%	-1.1K	-3.1K	-315	2.70	98.22	37	100	29	100