CNNE Options History — June 2018

In June 2018, CNNE traded between $18.42 and $20.62. ATM implied volatility averaged 34.2%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 15.5% (HV 20d: 18.7%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2018-06-06: Highest Volume — 447 contracts
2018-06-21: Largest IV spike — 192.1% change
2018-06-21: Highest IV Rank — 74.3%
2018-06-21: Largest Expected Move — 23.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.89	$18.42	$20.62	$20.10	$18.55
Max Pain	$18.33	$17.50	$22.50	$20.00	$17.50
ATM IV	34.2%	22.4%	81.0%	28.5%	34.1%
Expected Move	9.0%	6.4%	23.2%	8.2%	9.8%
HV 20d	18.7%	16.9%	21.4%	17.3%	21.4%
HV 60d	19.5%	18.5%	20.5%	20.0%	19.7%
IV Rank	18.4%	4.2%	74.3%	11.6%	18.2%
IV Percentile	62.9%	6.5%	97.9%	44.3%	76.8%
Term Structure	1.9%	-12.9%	9.8%	-2.9%	-3.9%
VWIV	33.7%	23.8%	84.8%	30.6%	29.0%
Skew 25d	3.6%	-11.8%	33.4%	2.4%	8.6%
Skew 10d	7.0%	-23.6%	61.3%	4.6%	19.6%
Call IV 25d	32.4%	21.3%	120.5%	30.0%	21.3%
Put IV 25d	36.0%	24.6%	125.5%	32.5%	29.9%
Bid-Ask Spread %	111.38	94.12	153.69	115.89	114.16
Gamma HHI	0.64	0.50	0.74	0.50	0.69
Net GEX	38.4K	14.9K	58.0K	14.9K	36.0K
Net DEX	-700.1K	-1.1M	-185.3K	-188.8K	-543.3K
Net VEX	-2.9K	-3.8K	-936	-957	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.01	0.14	0.03	0.14
Total Volume	129.905	33	447	89	113
Total OI	843.095	361	1,089	361	946

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
2018-06-01	$20.10	$20.00	28.5%	8.2%	17.3%	11.6%	30.6%	2.4%	-2.9%	14.9K	-188.8K	-957	0.03	115.89	86	3	358	3
2018-06-04	$20.17	$22.50	29.4%	7.5%	17.1%	12.7%	30.8%	7.1%	7.5%	15.4K	-185.3K	-936	0.03	107.82	86	3	358	3
2018-06-05	$20.53	$22.50	37.0%	7.8%	18.3%	21.8%	29.5%	4.0%	6.5%	19.1K	-229.4K	-1.0K	0.03	109.44	86	3	358	3
2018-06-06	$20.41	$22.50	31.3%	7.0%	18.2%	14.9%	23.8%	0.8%	7.6%	16.7K	-216.4K	-969	0.04	106.68	431	16	358	3
2018-06-07	$20.31	$17.50	31.0%	7.9%	18.2%	14.5%	29.1%	2.1%	0.3%	36.1K	-630.2K	-2.5K	0.05	106.87	339	16	758	12
2018-06-08	$20.59	$17.50	36.8%	8.9%	18.4%	21.4%	32.0%	3.7%	1.2%	45.0K	-937.4K	-3.7K	0.02	106.66	272	5	968	12
2018-06-11	$20.29	$17.50	34.9%	7.2%	19.1%	19.2%	26.3%	-4.6%	6.4%	45.5K	-885.1K	-3.6K	0.01	104.92	355	5	977	14
2018-06-12	$20.62	$17.50	49.0%	7.5%	18.5%	36.1%	29.5%	0.5%	5.9%	56.1K	-1.1M	-3.8K	0.09	103.72	58	5	1,070	14
2018-06-13	$20.31	$17.50	22.4%	6.4%	19.1%	4.2%	25.3%	3.0%	9.8%	55.5K	-1.1M	-3.6K	0.08	115.95	63	5	1,070	14
2018-06-14	$20.48	$17.50	24.9%	7.2%	19.0%	7.3%	32.1%	2.0%	6.6%	58.0K	-1.1M	-3.7K	0.14	108.48	37	5	1,071	14
2018-06-15	$20.22	$17.50	34.0%	9.8%	17.6%	18.2%	44.2%	1.7%	-2.2%	44.5K	-1.0M	-3.6K	0.14	116.00	37	5	1,075	14
2018-06-18	$20.55	$17.50	30.7%	8.8%	16.9%	14.1%	28.0%	33.4%	-1.6%	46.7K	-982.3K	-3.6K	0.14	112.83	29	4	882	13
2018-06-19	$20.34	$17.50	32.0%	9.2%	17.4%	15.8%	37.4%	3.1%	6.0%	43.3K	-950.5K	-3.6K	0.10	117.04	40	4	882	13
2018-06-20	$20.15	$17.50	27.7%	7.9%	17.4%	10.6%	32.4%	2.6%	2.4%	48.3K	-948.2K	-3.6K	0.06	114.22	67	4	894	13
2018-06-21	$19.76	$17.50	81.0%	23.2%	18.8%	74.3%	84.8%	5.0%	-12.9%	27.5K	-823.6K	-3.6K	0.06	153.69	67	4	908	13
2018-06-22	$19.42	$17.50	30.3%	8.7%	18.9%	13.7%	38.3%	-0.9%	-4.7%	45.1K	-683.3K	-3.4K	0.04	112.92	89	4	907	13
2018-06-25	$19.09	$17.50	32.5%	9.3%	19.5%	16.4%	38.4%	-11.8%	-5.1%	41.2K	-601.8K	-3.1K	0.04	119.34	106	4	894	13
2018-06-26	$18.92	$17.50	30.5%	8.8%	19.6%	14.0%	33.2%	-5.7%	1.8%	39.7K	-631.2K	-3.3K	0.05	94.12	80	4	924	11
2018-06-27	$18.42	$17.50	29.6%	8.5%	21.2%	12.9%	28.8%	1.1%	3.9%	37.9K	-545.0K	-3.0K	0.05	95.87	80	4	915	11
2018-06-28	$18.42	$17.50	31.0%	8.9%	21.3%	14.5%	25.0%	17.6%	7.1%	34.5K	-462.4K	-2.8K	0.04	102.39	100	4	915	11
2018-06-29	$18.55	$17.50	34.1%	9.8%	21.4%	18.2%	29.0%	8.6%	-3.9%	36.0K	-543.3K	-3.1K	0.14	114.16	99	14	935	11