CNNE Options History — July 2018

In July 2018, CNNE traded between $18.26 and $19.90. ATM implied volatility averaged 37.0%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 18.6% (HV 20d: 18.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.67.

Notable Days

2018-07-20: Highest Volume — 410 contracts
2018-07-23: Largest IV spike — 247.1% change
2018-07-06: Highest IV Rank — 76.1%
2018-07-06: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.20	$18.26	$19.90	$18.47	$18.38
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	37.0%	20.2%	82.5%	35.4%	27.2%
Expected Move	9.5%	5.8%	23.6%	10.2%	7.8%
HV 20d	18.4%	10.8%	21.3%	21.3%	21.0%
HV 60d	18.7%	17.6%	19.8%	19.7%	19.7%
IV Rank	21.7%	1.6%	76.1%	19.8%	9.9%
IV Percentile	53.7%	1.8%	98.1%	78.3%	32.0%
Term Structure	-6.6%	-95.4%	9.1%	1.6%	-0.6%
VWIV	40.5%	21.9%	81.0%	28.8%	32.2%
Skew 25d	8.7%	-0.9%	30.3%	14.7%	-0.3%
Skew 10d	16.6%	-7.0%	53.5%	29.2%	-7.0%
Call IV 25d	30.3%	19.3%	106.6%	21.5%	32.7%
Put IV 25d	38.9%	25.4%	111.2%	36.3%	32.4%
Bid-Ask Spread %	112.91	78.41	147.93	111.08	109.78
Gamma HHI	0.68	0.53	0.83	0.72	0.63
Net GEX	42.9K	17.3K	99.4K	33.7K	17.3K
Net DEX	-500.3K	-768.7K	-136.4K	-542.2K	-136.4K
Net VEX	-3.3K	-4.0K	-2.3K	-3.2K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.14	1.23	0.14	0.97
Total Volume	162.19	112	410	113	173
Total OI	923.048	641	1,099	956	715

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
2018-07-02	$18.47	$17.50	35.4%	10.2%	21.3%	19.8%	28.8%	14.7%	1.6%	33.7K	-542.2K	-3.2K	0.14	111.08	99	14	935	21
2018-07-03	$18.46	$17.50	36.8%	10.6%	19.7%	21.5%	32.7%	9.0%	-2.0%	35.9K	-475.1K	-3.2K	0.14	116.40	99	14	955	31
2018-07-05	$18.57	$17.50	35.6%	10.2%	20.1%	20.0%	36.6%	-0.9%	-1.3%	35.9K	-551.8K	-3.4K	0.14	121.89	99	14	975	31
2018-07-06	$18.63	$17.50	82.5%	23.6%	20.3%	76.1%	76.2%	3.9%	-95.4%	36.7K	-569.4K	-3.4K	0.14	120.24	99	14	975	31
2018-07-09	$18.84	$17.50	36.7%	10.5%	20.0%	21.4%	81.0%	15.0%	-2.4%	39.4K	-551.6K	-3.3K	0.24	119.34	99	24	985	31
2018-07-10	$19.01	$17.50	29.1%	8.3%	20.1%	12.2%	79.7%	21.4%	-3.5%	45.4K	-540.5K	-3.3K	0.24	117.88	99	24	985	41
2018-07-11	$19.18	$17.50	41.4%	11.9%	19.4%	27.0%	79.3%	30.3%	0.5%	43.7K	-632.1K	-3.5K	0.24	124.36	99	24	985	41
2018-07-12	$19.44	$17.50	23.8%	6.8%	19.8%	5.9%	22.9%	14.8%	9.1%	62.0K	-639.1K	-3.5K	0.27	114.77	88	24	986	41
2018-07-13	$19.58	$17.50	27.5%	7.9%	19.7%	10.4%	28.2%	13.0%	8.3%	62.0K	-670.5K	-4.0K	1.23	120.05	70	86	986	113
2018-07-16	$19.68	$17.50	32.1%	8.1%	19.4%	15.8%	26.9%	1.0%	-0.9%	70.6K	-653.1K	-3.9K	1.23	104.79	70	86	986	113
2018-07-17	$19.70	$17.50	39.1%	6.5%	18.3%	24.2%	25.3%	2.3%	6.8%	74.3K	-670.2K	-3.9K	1.23	78.41	70	86	986	113
2018-07-18	$19.85	$17.50	31.3%	6.8%	18.4%	14.9%	24.7%	8.0%	3.3%	99.4K	-768.7K	-3.9K	1.23	104.67	70	86	986	113
2018-07-19	$19.77	$17.50	80.0%	7.0%	18.2%	73.1%	25.2%	2.3%	1.8%	71.5K	-741.1K	-3.8K	1.18	91.16	73	86	986	113
2018-07-20	$19.90	$17.50	22.1%	6.3%	16.9%	3.8%	21.9%	4.6%	1.3%	35.9K	-535.4K	-3.7K	0.27	81.44	324	86	986	113
2018-07-23	$19.61	$0.00	76.5%	21.9%	16.6%	69.0%	0.0%	4.6%	-52.4%	21.9K	-303.6K	-2.8K	0.82	147.93	104	85	538	103
2018-07-24	$19.69	$0.00	20.2%	5.8%	15.3%	1.6%	0.0%	2.5%	1.6%	26.4K	-360.7K	-2.9K	0.82	118.76	104	85	564	103
2018-07-25	$19.59	$0.00	20.5%	5.9%	15.0%	2.0%	28.5%	6.8%	1.8%	23.9K	-326.8K	-2.9K	0.81	112.24	105	85	564	103
2018-07-26	$19.52	$17.50	23.2%	6.6%	10.8%	5.2%	27.1%	7.6%	-3.2%	24.0K	-344.3K	-2.8K	0.81	118.77	105	85	565	103
2018-07-27	$19.00	$17.50	26.3%	7.5%	15.1%	8.9%	67.0%	12.1%	-4.0%	21.4K	-254.0K	-2.6K	0.89	123.03	96	85	565	103
2018-07-30	$18.26	$17.50	29.8%	8.5%	20.9%	13.0%	25.3%	9.4%	-9.6%	20.7K	-239.1K	-2.6K	1.02	114.16	83	85	612	103
2018-07-31	$18.38	$17.50	27.2%	7.8%	21.0%	9.9%	32.2%	-0.3%	-0.6%	17.3K	-136.4K	-2.3K	0.97	109.78	88	85	612	103