CNNE Options History — May 2018

In May 2018, CNNE traded between $19.86 and $21.21. ATM implied volatility averaged 33.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 15.5% (HV 20d: 18.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2018-05-09: Highest Volume — 491 contracts
  • 2018-05-09: Largest IV drop — 39.5% change
  • 2018-05-24: Highest IV Rank — 17.5%
  • 2018-05-01: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.45$19.86$21.21$20.63$20.02
Max Pain$21.82$20.00$22.50$20.00$20.00
ATM IV33.8%22.5%51.9%48.4%29.9%
Expected Move9.0%6.5%13.9%13.9%8.6%
HV 20d18.3%17.7%20.5%17.8%17.9%
HV 60d21.7%20.5%24.0%24.0%20.5%
IV Rank14.2%12.5%17.5%17.5%13.2%
IV Percentile62.5%52.0%74.6%74.6%58.5%
Term Structure-0.9%-12.7%12.5%-10.4%-3.8%
VWIV31.4%19.2%42.4%34.4%33.8%
Skew 25d6.2%-6.3%40.5%15.2%3.5%
Skew 10d9.0%-12.3%78.1%9.1%6.4%
Call IV 25d30.4%22.2%38.6%30.4%32.6%
Put IV 25d36.6%27.0%79.1%45.6%36.0%
Bid-Ask Spread %101.4271.52116.87103.31116.87
Gamma HHI0.660.490.940.680.50
Net GEX94.8K8.9K302.1K110.9K15.0K
Net DEX-1.0M-1.9M-136.8K-1.7M-197.3K
Net VEX-1.8K-3.5K-912-3.5K-983
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.020.140.130.03
Total Volume146.045724919389
Total OI1,111.7732931,8241,824361

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$20.63$20.0048.4%13.9%17.8%0.0%34.4%15.2%-10.4%110.9K-1.7M-3.5K0.13103.3182111,654170
2018-05-02$20.57$20.0047.9%13.7%18.0%0.0%39.8%13.9%-12.7%107.5K-1.8M-3.5K0.13114.9582111,654170
2018-05-03$20.83$22.5051.9%9.6%18.2%0.0%33.0%1.7%-2.0%108.0K-1.9M-3.4K0.05104.81224111,654170
2018-05-04$20.98$22.5047.1%10.1%18.0%0.0%32.9%1.2%-3.4%100.1K-1.8M-3.0K0.0782.64157111,510170
2018-05-07$21.12$22.5048.2%10.1%17.7%0.0%31.2%5.4%-3.3%99.0K-1.8M-2.6K0.07104.13157111,438170
2018-05-08$21.21$22.5049.4%10.2%17.7%0.0%32.3%3.6%-5.7%99.6K-1.9M-2.5K0.07101.44157111,438170
2018-05-09$21.10$22.5029.9%8.6%18.0%0.0%30.6%3.6%2.7%101.5K-1.9M-2.3K0.02112.78480111,438170
2018-05-10$20.81$22.5023.9%6.9%19.3%0.0%32.9%-2.8%9.7%128.6K-1.5M-1.9K0.12110.0191111,258170
2018-05-11$20.80$22.5030.4%8.7%18.5%0.0%26.8%7.7%5.5%115.7K-1.4M-1.9K0.12104.0391111,256170
2018-05-14$20.36$22.5022.5%6.5%20.5%0.0%34.7%30.9%10.7%147.0K-1.1M-1.6K0.14111.1481111,253170
2018-05-15$20.19$22.5025.4%7.3%18.0%0.0%39.7%-5.5%5.3%251.5K-1.0M-1.5K0.14111.4581111,250170
2018-05-16$20.04$22.5027.9%8.0%18.1%0.0%25.0%1.1%2.4%194.2K-915.8K-1.5K0.14107.0281111,250170
2018-05-17$20.52$22.5026.1%7.5%19.2%0.0%27.1%8.3%12.5%115.5K-1.3M-1.4K0.0677.58225131,250170
2018-05-18$20.10$22.5028.6%8.2%19.9%0.0%22.5%7.5%0.3%302.1K-1.5M-1.1K0.04110.13366131,220172
2018-05-21$20.03$22.5027.1%7.8%18.4%0.0%19.3%5.4%-2.5%10.8K-164.3K-1.0K0.04102.096932903
2018-05-22$19.86$22.5029.3%8.4%18.4%0.0%19.2%9.1%-3.5%9.7K-136.8K-9120.0492.816932903
2018-05-23$19.88$22.5026.1%7.5%17.7%0.0%40.1%-6.3%-1.1%8.9K-145.0K-9370.0486.576932903
2018-05-24$20.18$22.5033.5%9.6%18.0%17.5%33.8%-5.2%-10.2%11.9K-176.6K-1.0K0.0371.5210632903
2018-05-25$20.22$20.0029.3%8.4%18.1%12.5%30.7%-6.0%-4.4%15.6K-206.5K-1.0K0.03105.9110633273
2018-05-29$20.27$20.0030.4%8.7%17.8%13.8%42.4%40.5%-2.5%15.1K-200.3K-1.0K0.0489.068533273
2018-05-30$20.18$20.0030.5%8.7%17.8%13.9%28.2%2.7%-3.1%16.4K-210.0K-1.0K0.03111.098633583
2018-05-31$20.02$20.0029.9%8.6%17.9%13.2%33.8%3.5%-3.8%15.0K-197.3K-9830.03116.878633583