CNNE Options History — January 2018 In January 2018, CNNE traded between $16.79 and $18.39. ATM implied volatility averaged 28.6%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.8% (HV 20d: 20.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.57.
Notable Days 2018-01-19 : Highest Volume — 147 contracts2018-01-11 : Largest IV drop — 28.3% change2018-01-30 : Largest Expected Move — 10.2%Monthly Statistics Metric Avg Min Max Open Close Price $17.43 $16.79 $18.39 $16.95 $17.42 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 28.6% 19.8% 35.5% 27.8% 29.3% Expected Move 7.9% 5.7% 10.2% 8.0% 8.4% HV 20d 20.8% 13.7% 32.1% 32.1% 26.0% HV 60d 28.3% 28.0% 28.6% 28.6% 28.0% Term Structure -0.3% -9.0% 8.7% -2.5% -4.1% VWIV 40.4% 18.8% 150.4% 141.5% 32.7% Skew 25d 2.0% -3.4% 8.0% -2.1% 1.6% Skew 10d 2.3% -5.3% 15.4% -3.6% 5.4% Call IV 25d 29.8% 22.2% 40.9% 33.9% 37.1% Put IV 25d 31.8% 23.1% 40.0% 31.8% 38.7% Bid-Ask Spread % 117.03 110.02 121.56 115.24 120.45 Gamma HHI 0.50 0.40 0.56 0.55 0.47 Net GEX -798 -1.5K -77 -1.3K -396 Net DEX -2.6K -22.4K 5.4K 2.6K 2.2K Net VEX -279 -337 -215 -326 -261 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.57 2.13 2.70 2.70 2.44 Total Volume 139 137 147 137 141 Total OI 130.524 129 133 129 133
Daily Data (21 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 2018-01-02 $16.95 $15.00 27.8% 8.0% 32.1% 0.0% 141.5% -2.1% -2.5% -1.3K 2.6K -326 2.70 115.24 37 100 29 100 2018-01-03 $16.95 $15.00 25.9% 7.4% 18.0% 0.0% 150.4% 7.7% 1.6% -1.4K 3.2K -328 2.70 118.97 37 100 29 100 2018-01-04 $17.01 $15.00 28.6% 7.3% 14.8% 0.0% 30.0% 2.1% 0.3% -1.2K 1.5K -322 2.70 115.76 37 100 29 100 2018-01-05 $16.95 $15.00 32.3% 7.1% 14.1% 0.0% 29.1% -2.4% -1.3% -1.3K 2.4K -317 2.70 117.08 37 100 29 100 2018-01-08 $17.19 $15.00 32.1% 8.2% 13.8% 0.0% 30.5% -0.1% -2.8% -1.5K 1.2K -309 2.70 117.07 37 100 29 100 2018-01-09 $17.00 $15.00 33.5% 7.1% 14.2% 0.0% 28.5% 1.3% 0.7% -1.1K 1.8K -312 2.70 117.30 37 100 29 100 2018-01-10 $16.94 $15.00 27.7% 7.9% 14.2% 0.0% 33.2% 5.1% -1.7% -1.3K 5.4K -337 2.70 116.13 37 100 29 100 2018-01-11 $16.98 $15.00 19.8% 5.7% 13.7% 0.0% 22.4% 1.9% 3.7% -1.1K 5.1K -311 2.70 117.46 37 100 29 100 2018-01-12 $17.05 $15.00 23.2% 6.7% 13.7% 0.0% 27.5% 3.7% 3.5% -1.0K 4.1K -313 2.70 117.77 37 100 29 100 2018-01-16 $16.79 $15.00 22.7% 6.5% 13.9% 0.0% 26.6% 6.1% 5.0% -1.0K 5.3K -308 2.70 110.57 37 100 29 100 2018-01-17 $17.71 $15.00 23.3% 6.7% 23.2% 0.0% 18.8% 5.6% 8.7% -1.4K -10.4K -249 2.70 119.17 37 100 29 100 2018-01-18 $17.85 $15.00 26.2% 7.5% 23.3% 0.0% 24.6% -1.8% 4.0% -403 -11.9K -270 2.70 118.41 37 100 29 100 2018-01-19 $18.39 $15.00 31.2% 8.9% 24.0% 0.0% 31.8% 5.1% 0.9% -681 -22.4K -221 2.13 110.02 47 100 29 100 2018-01-22 $18.25 $15.00 30.5% 8.7% 24.3% 0.0% 31.7% -0.9% -2.0% -200 -17.5K -215 2.44 112.71 41 100 33 100 2018-01-23 $18.04 $15.00 29.7% 8.5% 24.7% 0.0% 28.9% 0.3% -1.1% -112 -8.6K -244 2.44 117.67 41 100 33 100 2018-01-24 $18.02 $15.00 31.9% 9.1% 24.8% 0.0% 31.4% 0.1% -0.3% -77 -10.0K -239 2.44 118.78 41 100 33 100 2018-01-25 $17.70 $15.00 31.1% 8.9% 25.8% 0.0% 31.7% 8.0% -4.6% -116 -9.3K -217 2.44 116.83 41 100 33 100 2018-01-26 $17.69 $15.00 27.6% 7.9% 25.8% 0.0% 27.8% -1.9% -2.3% -77 -1.9K -249 2.44 121.56 41 100 33 100 2018-01-29 $17.51 $15.00 30.6% 8.8% 26.1% 0.0% 32.1% 6.0% -3.6% -376 633 -244 2.44 121.52 41 100 33 100 2018-01-30 $17.58 $15.00 35.5% 10.2% 25.9% 0.0% 36.2% -3.4% -9.0% -606 2.4K -257 2.44 117.06 41 100 33 100 2018-01-31 $17.42 $15.00 29.3% 8.4% 26.0% 0.0% 32.7% 1.6% -4.1% -396 2.2K -261 2.44 120.45 41 100 33 100
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