CNNE Options History — March 2018

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

In March 2018, CNNE traded between $18.60 and $19.44. ATM implied volatility averaged 33.5%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.9% (HV 20d: 25.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.57.

Notable Days

2018-03-29: Highest Volume — 59 contracts
2018-03-06: Largest IV spike — 109.1% change
2018-03-02: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.87	$18.60	$19.44	$18.63	$18.90
Max Pain	$19.50	$17.50	$20.00	$17.50	$20.00
ATM IV	33.5%	21.9%	64.5%	29.4%	28.2%
Expected Move	7.8%	6.2%	15.0%	8.4%	8.1%
HV 20d	25.6%	23.5%	28.3%	28.2%	25.2%
HV 60d	24.9%	23.7%	28.6%	28.6%	26.1%
Term Structure	-2.7%	-47.4%	8.5%	-5.7%	-0.7%
VWIV	29.7%	20.6%	68.4%	27.7%	29.2%
Skew 25d	1.1%	-9.7%	8.0%	3.3%	-3.7%
Skew 10d	5.4%	-9.5%	55.2%	6.4%	-9.5%
Call IV 25d	26.5%	18.3%	31.3%	27.7%	30.0%
Put IV 25d	27.6%	19.0%	35.9%	31.1%	26.3%
Bid-Ask Spread %	112.60	94.72	119.24	114.81	113.63
Gamma HHI	0.46	0.35	0.77	0.51	0.50
Net GEX	-1.5K	-2.8K	858	-529	-2.8K
Net DEX	-8.0K	-41.5K	21.8K	-25.4K	11.5K
Net VEX	-139	-192	-38	-121	-139
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.30	2.41	0.30	2.28
Total Volume	52.143	35	59	35	59
Total OI	154.333	130	167	130	163

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
2018-03-01	$18.63	$17.50	29.4%	8.4%	28.2%	0.0%	27.7%	3.3%	-5.7%	-529	-25.4K	-121	0.30	114.81	27	8	22	108
2018-03-02	$18.63	$17.50	52.3%	15.0%	28.3%	0.0%	68.4%	4.6%	-47.4%	-404	-29.8K	-135	0.30	116.18	27	8	26	108
2018-03-05	$19.00	$0.00	30.9%	7.1%	27.9%	0.0%	0.0%	3.7%	-3.3%	858	-40.8K	-41	0.30	108.44	27	8	26	108
2018-03-06	$18.71	$0.00	64.5%	8.0%	26.0%	0.0%	0.0%	3.4%	7.4%	-379	-30.7K	-126	0.30	110.45	27	8	26	108
2018-03-07	$19.12	$0.00	29.1%	7.4%	26.5%	0.0%	0.0%	7.3%	5.2%	857	-41.5K	-38	1.11	114.59	27	30	26	108
2018-03-08	$19.07	$0.00	36.6%	7.2%	26.6%	0.0%	0.0%	-0.2%	-0.4%	-1.2K	-13.1K	-144	1.11	114.96	27	30	26	130
2018-03-09	$18.98	$0.00	38.4%	7.4%	24.7%	0.0%	0.0%	-0.6%	0.2%	-1.2K	-13.3K	-148	1.11	118.38	27	30	26	130
2018-03-12	$18.77	$0.00	49.5%	6.2%	25.3%	0.0%	0.0%	1.4%	2.7%	-1.4K	-8.6K	-166	1.11	114.81	27	30	26	130
2018-03-13	$18.81	$0.00	62.3%	7.0%	25.1%	0.0%	0.0%	2.3%	3.5%	-1.4K	-6.7K	-173	1.11	103.11	27	30	26	130
2018-03-14	$18.63	$0.00	27.0%	7.7%	25.2%	0.0%	0.0%	1.4%	-4.6%	-1.6K	-4.3K	-178	1.58	101.92	19	30	26	130
2018-03-15	$18.81	$0.00	23.8%	6.8%	24.0%	0.0%	0.0%	4.9%	3.2%	-1.5K	-12.0K	-126	1.58	110.18	19	30	28	130
2018-03-16	$18.62	$0.00	32.6%	9.4%	23.5%	0.0%	0.0%	2.2%	-18.7%	-1.5K	-8.6K	-158	1.58	94.72	19	30	28	130
2018-03-19	$19.44	$0.00	24.3%	7.0%	25.6%	0.0%	30.6%	8.0%	5.6%	-756	-19.9K	-95	2.41	117.28	17	41	27	130
2018-03-20	$19.07	$20.00	25.9%	7.4%	24.7%	0.0%	24.7%	-2.7%	1.0%	-2.5K	515	-160	2.41	115.80	17	41	26	141
2018-03-21	$18.94	$20.00	24.1%	6.9%	24.9%	0.0%	23.7%	-6.4%	0.9%	-2.1K	44	-142	2.41	119.24	17	41	26	141
2018-03-22	$18.81	$20.00	23.4%	6.7%	24.6%	0.0%	20.6%	2.0%	1.9%	-2.5K	11.2K	-186	2.41	114.88	17	41	26	141
2018-03-23	$18.60	$20.00	29.2%	8.4%	25.0%	0.0%	26.5%	-0.6%	-10.2%	-2.5K	14.0K	-192	2.41	115.40	17	41	25	141
2018-03-26	$19.00	$20.00	25.9%	7.4%	24.8%	0.0%	25.5%	-3.3%	-0.4%	-2.7K	10.9K	-155	2.41	114.67	17	41	25	141
2018-03-27	$18.74	$20.00	24.5%	7.0%	25.4%	0.0%	24.1%	-9.7%	-4.9%	-2.7K	21.8K	-168	2.41	115.37	17	41	22	141
2018-03-28	$18.97	$20.00	21.9%	6.3%	25.4%	0.0%	26.0%	5.5%	8.5%	-2.7K	16.1K	-138	2.41	115.71	17	41	22	141
2018-03-29	$18.90	$20.00	28.2%	8.1%	25.2%	0.0%	29.2%	-3.7%	-0.7%	-2.8K	11.5K	-139	2.28	113.63	18	41	22	141