CNNE Options History — August 2018

In August 2018, CNNE traded between $18.17 and $19.72. ATM implied volatility averaged 24.7%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.5% (HV 20d: 26.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.75.

Notable Days

  • 2018-08-13: Highest Volume — 255 contracts
  • 2018-08-17: Largest IV drop — 22.0% change
  • 2018-08-01: Highest IV Rank — 14.6%
  • 2018-08-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.08$18.17$19.72$18.41$19.45
Max Pain$15.98$15.00$17.50$17.50$15.00
ATM IV24.7%19.2%31.0%31.0%24.0%
Expected Move7.1%5.5%8.9%8.9%6.9%
HV 20d26.2%21.0%31.0%21.0%25.5%
HV 60d21.6%19.6%23.0%19.7%22.7%
IV Rank7.0%0.5%14.6%14.6%6.2%
IV Percentile20.9%0.5%63.0%63.0%16.4%
Term Structure1.2%-9.0%60.2%-5.0%-1.8%
VWIV45.8%17.6%79.2%23.6%55.5%
Skew 25d0.7%-6.5%13.4%5.4%-1.8%
Skew 10d6.0%-13.8%56.7%15.5%-5.6%
Call IV 25d28.2%18.4%36.0%31.3%28.5%
Put IV 25d28.9%15.4%40.0%36.7%26.6%
Bid-Ask Spread %114.9885.36125.02119.47120.07
Gamma HHI0.640.580.680.590.68
Net GEX28.1K16.2K36.7K18.4K36.1K
Net DEX-405.4K-645.4K-145.1K-193.9K-524.9K
Net VEX-2.6K-2.8K-2.3K-2.5K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.531.010.970.79
Total Volume211.609169255173201
Total OI803.478718862719849

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$18.41$17.5031.0%8.9%21.0%14.6%23.6%5.4%-5.0%18.4K-193.9K-2.5K0.97119.478885617102
2018-08-02$18.30$17.5030.7%8.8%21.0%14.2%21.3%2.3%0.3%16.2K-148.8K-2.3K0.97109.918885617102
2018-08-03$18.59$17.5026.0%7.4%21.8%8.5%17.6%13.4%5.3%19.2K-194.4K-2.6K0.97112.158885617102
2018-08-06$18.81$17.5023.5%6.7%21.8%5.5%29.5%3.9%0.7%22.1K-221.9K-2.6K1.01114.058485617102
2018-08-07$18.86$17.5025.4%7.3%21.6%7.9%38.8%2.8%-0.6%22.6K-291.9K-2.7K0.98114.698785616102
2018-08-08$19.33$17.5025.4%7.3%23.1%7.8%30.2%8.4%-3.3%26.0K-274.3K-2.7K0.98115.878785616102
2018-08-09$18.89$17.5026.3%7.5%24.0%9.0%27.2%10.5%-5.5%27.2K-291.5K-2.7K0.98117.488785616102
2018-08-10$18.81$17.5023.6%6.8%23.8%5.7%28.6%8.4%-0.3%23.4K-222.2K-2.5K0.8185.3611392616102
2018-08-13$18.17$17.5024.0%6.9%26.3%6.2%55.4%-2.3%7.0%20.5K-145.1K-2.3K0.55103.8816590642109
2018-08-14$18.56$15.0024.1%6.9%27.7%6.3%21.3%4.5%-9.0%22.9K-350.3K-2.3K0.53111.7316587753109
2018-08-15$18.77$15.0024.2%6.9%27.9%6.4%27.6%-3.7%-4.7%25.5K-393.7K-2.5K0.53114.0116587753108
2018-08-16$19.35$15.0024.7%7.1%30.3%7.0%77.0%2.6%0.3%28.8K-537.8K-2.8K0.58117.8414987753108
2018-08-17$19.35$15.0019.2%5.5%30.2%0.5%56.0%-5.3%3.6%33.5K-538.7K-2.8K0.59113.5714988752108
2018-08-20$19.07$15.0019.9%5.7%30.2%1.3%56.1%-2.7%60.2%31.6K-502.5K-2.7K0.60114.0714989752110
2018-08-21$19.27$15.0021.4%6.1%30.4%3.0%71.3%-4.2%-1.8%35.5K-471.6K-2.6K0.60113.9014989752110
2018-08-22$19.58$15.0023.5%6.7%31.0%5.5%79.2%0.3%-1.9%35.9K-579.8K-2.8K0.55125.0216289752110
2018-08-23$19.44$15.0025.2%7.2%31.0%7.6%60.1%-6.3%-0.2%33.2K-589.5K-2.8K0.55118.1316289742110
2018-08-24$19.72$15.0025.1%7.2%29.7%7.5%75.5%-5.0%-2.5%36.7K-574.3K-2.8K0.57124.2415689742110
2018-08-27$19.70$15.0027.3%7.8%25.4%10.1%40.3%-6.2%-4.6%32.4K-645.4K-2.8K0.81116.6811089742110
2018-08-28$19.46$15.0027.6%7.9%26.0%10.5%62.6%-6.5%-5.2%34.0K-555.9K-2.7K0.79123.6311289738110
2018-08-29$19.39$15.0022.9%6.6%26.1%4.9%52.2%-1.7%-2.1%32.2K-548.3K-2.7K0.79120.7111289739110
2018-08-30$19.45$15.0023.0%6.6%25.9%4.9%47.0%-0.6%-2.1%33.1K-527.0K-2.6K0.79117.9611289739110
2018-08-31$19.45$15.0024.0%6.9%25.5%6.2%55.5%-1.8%-1.8%36.1K-524.9K-2.6K0.79120.0711289739110