CNNE Options History — February 2018

Name: CNNE Options Analytics - February 2018
Creator: Options Analysis Suite

In February 2018, CNNE traded between $16.75 and $18.43. ATM implied volatility averaged 29.2%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.2% (HV 20d: 28.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2018-02-01: Highest Volume — 141 contracts
2018-02-05: Largest IV spike — 28.5% change
2018-02-27: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.57	$16.75	$18.43	$17.52	$18.43
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	29.2%	26.1%	33.6%	29.8%	30.1%
Expected Move	8.2%	7.1%	8.7%	7.8%	8.6%
HV 20d	28.1%	25.4%	30.6%	26.0%	28.4%
HV 60d	28.3%	27.7%	29.1%	27.8%	29.1%
Term Structure	0.3%	-6.1%	7.1%	1.7%	-1.8%
VWIV	27.4%	23.0%	30.3%	23.0%	28.0%
Skew 25d	11.0%	-5.2%	72.3%	2.2%	7.5%
Skew 10d	23.6%	-1.5%	133.2%	4.1%	11.2%
Call IV 25d	27.9%	22.4%	31.4%	28.5%	22.4%
Put IV 25d	38.9%	26.1%	96.6%	30.7%	29.9%
Bid-Ask Spread %	115.91	108.23	122.44	115.54	108.23
Gamma HHI	0.53	0.47	0.68	0.47	0.53
Net GEX	-431	-1.8K	2.9K	-258	-706
Net DEX	-9.5K	-61.3K	17.7K	1.0K	-20.9K
Net VEX	-225	-319	-110	-241	-141
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.15	2.94	2.44	0.26
Total Volume	75.105	39	141	141	39
Total OI	141.474	130	167	133	130

Daily Data (19 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
2018-02-01	$17.52	$0.00	29.8%	7.8%	26.0%	0.0%	0.0%	2.2%	1.7%	-258	1.0K	-241	2.44	115.54	41	100	33	100
2018-02-02	$17.25	$0.00	26.1%	7.1%	26.7%	0.0%	0.0%	5.9%	-0.5%	-184	4.0K	-242	2.44	112.78	41	100	33	100
2018-02-05	$16.75	$0.00	33.6%	8.1%	28.8%	0.0%	0.0%	4.7%	-3.9%	-865	9.3K	-250	2.94	117.25	34	100	33	100
2018-02-06	$16.97	$0.00	32.6%	8.6%	28.7%	0.0%	0.0%	7.4%	5.4%	-1.2K	13.0K	-263	2.94	117.68	34	100	41	100
2018-02-07	$17.16	$0.00	26.2%	7.5%	28.7%	0.0%	0.0%	5.3%	3.6%	409	12.5K	-279	2.94	118.38	34	100	41	100
2018-02-08	$16.76	$0.00	28.3%	8.1%	29.9%	0.0%	0.0%	-5.2%	-2.7%	-620	17.7K	-284	2.94	121.75	34	100	41	100
2018-02-09	$16.96	$0.00	29.1%	8.4%	30.2%	0.0%	0.0%	4.5%	7.1%	-85	15.8K	-286	0.20	122.44	41	8	41	100
2018-02-12	$17.20	$0.00	29.8%	8.6%	30.6%	0.0%	0.0%	-2.9%	3.4%	-221	6.3K	-319	0.20	120.33	41	8	49	108
2018-02-13	$17.47	$0.00	30.2%	8.6%	30.5%	0.0%	0.0%	2.6%	-2.2%	423	-5.5K	-275	0.16	121.76	51	8	49	108
2018-02-14	$17.92	$0.00	26.9%	7.7%	25.4%	0.0%	0.0%	53.7%	4.3%	584	-38.0K	-257	0.16	116.48	51	8	59	108
2018-02-15	$17.64	$0.00	29.4%	8.4%	25.9%	0.0%	0.0%	4.8%	-1.3%	2.9K	-34.0K	-270	0.16	115.39	51	8	59	108
2018-02-16	$18.21	$0.00	26.3%	7.5%	26.2%	0.0%	23.0%	30.1%	4.4%	-1.8K	-61.3K	-190	0.15	115.65	53	8	59	108
2018-02-20	$17.75	$17.50	29.8%	8.6%	27.6%	0.0%	29.9%	2.8%	-4.6%	-1.0K	-15.7K	-165	0.26	114.70	31	8	22	108
2018-02-21	$17.90	$17.50	29.4%	8.4%	27.6%	0.0%	29.5%	5.2%	-6.1%	-1.3K	-11.5K	-209	0.26	113.33	31	8	22	108
2018-02-22	$17.68	$17.50	29.9%	8.6%	27.9%	0.0%	30.3%	-1.5%	-1.9%	-1.0K	-15.6K	-177	0.26	111.17	31	8	22	108
2018-02-23	$17.83	$17.50	28.1%	8.0%	27.3%	0.0%	25.3%	72.3%	2.7%	-1.3K	-11.3K	-182	0.26	112.75	31	8	22	108
2018-02-26	$18.24	$17.50	29.3%	8.4%	28.4%	0.0%	26.8%	5.5%	-0.4%	-1.5K	-19.6K	-136	0.26	113.50	31	8	22	108
2018-02-27	$18.19	$17.50	30.3%	8.7%	28.2%	0.0%	26.5%	3.6%	-2.3%	-374	-25.6K	-110	0.26	113.14	31	8	22	108
2018-02-28	$18.43	$17.50	30.1%	8.6%	28.4%	0.0%	28.0%	7.5%	-1.8%	-706	-20.9K	-141	0.26	108.23	31	8	22	108