CNNE Options History — September 2018 In September 2018, CNNE traded between $19.50 and $21.77. ATM implied volatility averaged 25.7%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.0% (HV 20d: 20.6%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.29.
Notable Days 2018-09-18 : Highest Volume — 257 contracts2018-09-27 : Largest IV spike — 56.7% change2018-09-04 : Highest IV Rank — 15.0%2018-09-04 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $20.59 $19.50 $21.77 $19.50 $20.94 Max Pain $21.00 $15.00 $22.50 $15.00 $22.50 ATM IV 25.7% 18.9% 31.4% 31.4% 24.2% Expected Move 7.1% 5.4% 9.0% 9.0% 6.9% HV 20d 20.6% 16.2% 25.3% 25.3% 21.6% HV 60d 22.4% 21.5% 23.0% 22.5% 22.8% IV Rank 8.2% 0.0% 15.0% 15.0% 6.4% IV Percentile 30.7% 0.5% 69.4% 69.4% 20.1% Term Structure -1.5% -8.0% 10.7% -2.9% 1.7% VWIV 32.1% 19.7% 85.2% 85.2% 23.0% Skew 25d 1.0% -8.2% 28.4% -6.1% -3.4% Skew 10d 8.6% -9.2% 101.9% -6.5% 6.8% Call IV 25d 25.8% 19.4% 36.8% 36.8% 26.3% Put IV 25d 26.8% 17.7% 52.3% 30.7% 22.9% Bid-Ask Spread % 117.37 108.00 122.77 122.20 112.19 Gamma HHI 0.57 0.48 0.72 0.66 0.49 Net GEX 39.5K 32.5K 50.0K 33.9K 40.5K Net DEX -747.0K -1.1M -543.0K -549.1K -668.4K Net VEX -2.6K -2.7K -2.4K -2.6K -2.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.29 0.63 3.00 0.79 2.21 Total Volume 195.105 140 257 201 167 Total OI 865.895 802 951 849 837
Daily Data (19 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 2018-09-04 $19.50 $15.00 31.4% 9.0% 25.3% 15.0% 85.2% -6.1% -2.9% 33.9K -549.1K -2.6K 0.79 122.20 112 89 739 110 2018-09-05 $19.50 $15.00 24.1% 6.9% 25.3% 6.2% 38.9% -4.0% 1.1% 32.5K -560.9K -2.5K 0.99 117.14 90 89 739 110 2018-09-06 $19.57 $0.00 23.6% 7.4% 23.8% 5.7% 0.0% 3.1% -5.6% 39.8K -543.0K -2.5K 0.99 122.03 90 89 739 110 2018-09-07 $19.67 $0.00 27.1% 6.6% 22.1% 9.8% 0.0% 1.7% -6.9% 46.1K -572.8K -2.5K 0.99 118.69 90 89 740 110 2018-09-10 $19.84 $0.00 30.1% 7.1% 22.1% 13.4% 0.0% -6.3% -4.4% 42.9K -597.3K -2.5K 0.89 119.59 100 89 740 110 2018-09-11 $19.77 $0.00 29.7% 6.2% 17.4% 13.0% 0.0% 0.7% -0.4% 39.4K -559.2K -2.4K 0.89 119.81 100 89 760 110 2018-09-12 $19.87 $0.00 24.5% 7.0% 16.2% 6.7% 0.0% -0.9% -3.4% 43.0K -605.0K -2.5K 1.10 118.59 81 89 760 110 2018-09-13 $20.16 $0.00 23.6% 6.8% 16.5% 5.7% 0.0% 1.6% -4.8% 50.0K -685.8K -2.5K 1.10 122.77 81 89 760 110 2018-09-14 $20.89 $0.00 24.5% 7.0% 17.6% 6.8% 0.0% 28.4% 3.8% 36.3K -897.4K -2.6K 0.70 108.00 127 89 762 110 2018-09-17 $21.37 $0.00 23.9% 6.9% 18.8% 6.1% 0.0% -8.2% -0.8% 41.2K -1.0M -2.7K 0.63 110.15 142 89 800 110 2018-09-18 $21.77 $0.00 19.8% 5.7% 17.9% 1.1% 19.7% 2.9% 3.0% 39.9K -1.1M -2.7K 0.74 113.67 148 109 808 110 2018-09-19 $21.28 $22.50 29.3% 8.4% 20.6% 12.4% 29.7% -0.2% -8.0% 39.4K -1.1M -2.6K 0.76 117.23 144 109 819 130 2018-09-20 $21.00 $22.50 25.0% 7.2% 21.1% 7.3% 22.5% -0.6% -2.0% 38.5K -1.0M -2.6K 0.75 117.65 145 109 821 130 2018-09-21 $21.35 $22.50 26.3% 7.5% 21.2% 8.9% 27.0% -5.7% 0.0% 36.9K -898.2K -2.7K 0.76 116.88 144 109 775 130 2018-09-24 $21.36 $22.50 26.1% 7.5% 21.0% 8.6% 24.6% -3.5% -2.8% 35.9K -741.4K -2.6K 3.00 119.35 35 105 680 122 2018-09-25 $21.26 $22.50 26.3% 7.5% 21.1% 8.9% 26.6% 3.2% 0.6% 38.8K -701.6K -2.6K 3.00 117.69 35 105 685 122 2018-09-26 $20.95 $22.50 18.9% 5.4% 21.4% 0.0% 26.7% 4.4% 10.7% 37.4K -664.7K -2.6K 2.09 119.36 55 115 685 122 2018-09-27 $21.10 $22.50 29.6% 8.5% 21.2% 12.8% 29.5% 12.0% -7.4% 39.0K -667.1K -2.7K 2.09 117.12 55 115 705 132 2018-09-28 $20.94 $22.50 24.2% 6.9% 21.6% 6.4% 23.0% -3.4% 1.7% 40.5K -668.4K -2.7K 2.21 112.19 52 115 705 132
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