CNNE Options History — April 2018 In April 2018, CNNE traded between $18.57 and $20.74. ATM implied volatility averaged 41.9%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 20.2% (HV 20d: 21.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.46.
Notable Days 2018-04-23 : Highest Volume — 1,012 contracts2018-04-09 : Largest IV spike — 176.6% change2018-04-04 : Largest Expected Move — 25.0%Monthly Statistics Metric Avg Min Max Open Close Price $19.55 $18.57 $20.74 $18.57 $20.74 Max Pain $20.00 $20.00 $20.00 $20.00 $20.00 ATM IV 41.9% 22.7% 102.5% 32.5% 42.4% Expected Move 10.8% 6.5% 25.0% 9.3% 12.1% HV 20d 21.7% 17.5% 26.0% 26.0% 17.5% HV 60d 25.0% 23.9% 26.4% 26.4% 24.2% Term Structure -6.0% -103.6% 27.4% -7.0% -8.3% VWIV 33.4% 22.6% 69.6% 32.4% 35.3% Skew 25d 14.1% -9.0% 90.0% -1.5% 9.1% Skew 10d 13.0% -31.2% 136.9% 4.4% 7.0% Call IV 25d 32.7% 22.6% 60.6% 34.5% 33.3% Put IV 25d 46.8% 16.6% 114.5% 33.0% 42.4% Bid-Ask Spread % 112.57 86.14 140.75 112.54 104.42 Gamma HHI 0.65 0.39 1.00 0.39 0.68 Net GEX 25.5K -3.4K 117.7K -2.5K 117.7K Net DEX -424.6K -1.8M 35.5K 22.4K -1.8M Net VEX -962 -3.8K -64 -159 -3.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.46 0.05 2.73 2.28 0.13 Total Volume 155.857 56 1,012 59 93 Total OI 567.524 163 1,824 164 1,824
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 2018-04-02 $18.57 $20.00 32.5% 9.3% 26.0% 0.0% 32.4% -1.5% -7.0% -2.5K 22.4K -159 2.28 112.54 18 41 23 141 2018-04-03 $18.59 $20.00 33.2% 9.5% 24.9% 0.0% 33.0% 8.7% 2.6% -2.7K 19.9K -122 2.28 117.55 18 41 23 141 2018-04-04 $18.74 $20.00 87.0% 25.0% 24.5% 0.0% 33.8% 9.3% -103.6% -1.1K 11.5K -88 2.28 120.95 18 41 23 141 2018-04-05 $18.85 $20.00 28.2% 7.6% 23.3% 0.0% 25.0% 6.9% -2.7% -2.4K 14.1K -137 2.28 115.84 18 41 23 141 2018-04-06 $18.78 $20.00 37.1% 7.2% 23.3% 0.0% 27.4% 5.0% 0.8% -2.0K 12.5K -111 2.28 122.15 18 41 23 141 2018-04-09 $18.72 $20.00 102.5% 20.7% 23.3% 0.0% 25.3% 81.7% 1.5% -2.4K 18.2K -164 2.28 133.68 18 41 23 141 2018-04-10 $18.85 $20.00 98.1% 15.8% 23.1% 0.0% 69.6% 21.5% 27.4% -2.5K 35.5K -270 2.73 140.75 15 41 23 141 2018-04-11 $18.88 $20.00 31.7% 9.1% 23.1% 0.0% 32.9% 3.6% -2.7% -2.3K 12.0K -93 2.73 121.94 15 41 22 141 2018-04-12 $18.95 $20.00 28.5% 8.2% 22.8% 0.0% 30.0% 2.9% -5.7% -2.2K 6.2K -85 2.63 116.08 16 42 23 141 2018-04-13 $19.33 $20.00 25.3% 7.3% 23.6% 0.0% 25.8% -8.6% 1.3% -2.2K 4.9K -76 2.63 120.46 16 42 24 142 2018-04-16 $19.31 $20.00 24.5% 7.0% 23.3% 0.0% 23.8% -2.4% -0.2% -2.9K 6.9K -72 2.63 111.86 16 42 24 142 2018-04-17 $19.91 $20.00 27.8% 8.0% 20.6% 0.0% 27.7% 90.0% 1.2% -3.4K -6.3K -64 0.37 114.81 115 42 24 142 2018-04-18 $20.02 $20.00 22.7% 6.5% 19.2% 0.0% 22.6% 80.7% -1.4% 7.4K -107.3K -289 0.71 113.16 59 42 126 142 2018-04-19 $19.75 $20.00 28.7% 8.2% 19.7% 0.0% 26.7% -2.7% -7.9% 10.5K -137.8K -387 1.91 108.81 22 42 168 142 2018-04-20 $20.08 $20.00 30.3% 8.7% 20.1% 0.0% 32.5% -9.0% 1.9% 3.6K -180.0K -383 0.17 88.90 247 42 168 142 2018-04-23 $20.50 $20.00 37.7% 10.8% 20.2% 0.0% 37.9% 2.7% -3.0% 23.8K -412.5K -938 0.05 86.14 963 49 402 131 2018-04-24 $20.62 $20.00 36.7% 10.5% 19.3% 0.0% 36.7% -1.3% -3.1% 90.6K -1.4M -2.8K 0.14 99.55 358 49 1,299 170 2018-04-25 $20.31 $20.00 41.1% 11.8% 19.4% 0.0% 39.7% -4.5% -4.5% 99.8K -1.5M -3.2K 0.06 107.92 194 11 1,502 170 2018-04-26 $20.56 $20.00 39.5% 11.3% 19.4% 0.0% 38.9% 4.1% -3.1% 106.4K -1.8M -3.5K 0.05 101.17 201 11 1,583 170 2018-04-27 $20.58 $20.00 44.1% 12.7% 19.3% 0.0% 43.8% 0.8% -9.5% 103.6K -1.7M -3.8K 0.13 105.21 82 11 1,636 170 2018-04-30 $20.74 $20.00 42.4% 12.1% 17.5% 0.0% 35.3% 9.1% -8.3% 117.7K -1.8M -3.5K 0.13 104.42 82 11 1,654 170
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