CNNE Options History — October 2018

In October 2018, CNNE traded between $17.27 and $20.91. ATM implied volatility averaged 42.4%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 19.8% (HV 20d: 22.6%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.11.

Notable Days

  • 2018-10-09: Highest Volume — 218 contracts
  • 2018-10-05: Largest IV spike — 122.3% change
  • 2018-10-30: Highest IV Rank — 80.6%
  • 2018-10-30: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.42$17.27$20.91$20.80$18.46
Max Pain$18.15$17.50$22.50$22.50$17.50
ATM IV42.4%23.8%86.3%23.9%33.3%
Expected Move11.2%6.3%24.7%6.8%9.5%
HV 20d22.6%18.7%31.0%21.9%31.0%
HV 60d24.0%22.6%26.8%22.9%26.8%
IV Rank28.2%6.0%80.6%6.0%17.3%
IV Percentile63.7%15.7%98.7%16.3%75.1%
Term Structure-11.1%-99.1%51.2%4.8%-10.8%
VWIV32.9%20.7%72.2%31.3%33.1%
Skew 25d8.4%-8.9%43.1%-4.6%9.7%
Skew 10d17.3%2.2%35.8%11.0%17.8%
Call IV 25d28.6%21.9%57.8%31.1%24.4%
Put IV 25d37.0%18.8%67.7%26.5%34.1%
Bid-Ask Spread %116.42107.41125.21119.91113.98
Gamma HHI0.590.480.730.490.73
Net GEX32.2K12.5K42.7K40.1K20.3K
Net DEX-317.1K-658.0K37.9K-635.5K-4.0K
Net VEX-1.9K-2.6K-969-2.6K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.272.132.130.27
Total Volume175.304123218169123
Total OI874.522839908839870

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$20.80$22.5023.9%6.8%21.9%6.0%31.3%-4.6%4.8%40.1K-635.5K-2.6K2.13119.9154115707132
2018-10-02$20.73$22.5024.8%7.1%22.1%7.2%36.1%-8.9%-10.2%39.5K-575.6K-2.6K2.13121.7054115712132
2018-10-03$20.91$22.5023.8%6.8%22.1%6.0%29.7%5.0%4.1%40.3K-658.0K-2.6K2.13117.2254115712132
2018-10-04$20.84$17.5034.8%8.1%22.2%19.1%29.4%5.3%-5.3%39.6K-584.4K-2.6K2.09112.8955115712132
2018-10-05$20.75$17.5077.4%9.5%22.4%70.0%27.1%10.2%-9.9%39.5K-630.1K-2.5K2.02111.4257115714132
2018-10-08$20.80$17.5025.7%6.3%22.3%8.2%25.8%3.9%-2.7%41.6K-572.3K-2.4K2.02109.3457115718132
2018-10-09$20.86$17.5050.9%7.4%22.2%38.3%26.7%3.4%-1.0%40.0K-592.2K-2.4K1.12107.67103115720132
2018-10-10$20.05$17.5026.8%7.7%26.7%9.6%27.2%3.8%-4.7%42.7K-494.7K-2.3K1.12116.66103115772132
2018-10-11$19.63$17.5030.1%8.6%27.2%13.5%20.7%16.5%-1.5%36.8K-414.3K-2.3K1.12125.21103115772132
2018-10-12$19.48$17.5031.0%8.9%23.5%14.5%21.4%9.9%-10.7%35.5K-360.7K-2.2K1.12120.84103115772132
2018-10-15$19.68$17.5034.9%10.0%22.1%19.2%23.5%11.1%-10.9%35.0K-330.9K-2.1K1.12115.53103115772132
2018-10-16$19.67$17.5024.6%7.0%20.5%6.9%26.9%9.1%0.8%42.5K-275.1K-2.0K1.13111.15102115772132
2018-10-17$19.40$17.5028.8%8.3%19.7%12.0%23.6%9.9%-13.3%38.2K-328.6K-1.9K1.13119.12102115773132
2018-10-18$18.98$17.5029.1%8.3%20.4%12.2%28.6%7.3%-5.7%35.3K-222.3K-1.8K1.13119.79102115776132
2018-10-19$18.82$17.5029.2%8.4%18.7%12.4%27.2%12.8%-4.7%31.7K-139.7K-1.7K1.13107.41102115776132
2018-10-22$18.87$17.5026.1%7.5%18.9%8.7%32.5%7.8%51.2%27.9K-110.0K-1.5K0.98117.289795755112
2018-10-23$18.72$17.5042.5%12.2%18.9%28.3%35.4%10.5%31.0%21.9K-74.1K-1.4K0.27116.379726755112
2018-10-24$18.02$17.5077.0%22.1%21.8%69.5%44.7%12.4%-46.4%24.3K-110.6K-1.4K0.27119.929726755115
2018-10-25$18.08$17.5085.6%24.6%21.5%79.8%33.9%43.1%-39.6%24.6K-237.2K-1.6K0.27120.479726755115
2018-10-26$17.82$17.5082.7%23.7%21.7%76.3%72.2%-8.8%-99.1%12.9K37.9K-9690.27120.349726755115
2018-10-29$17.27$17.5046.8%13.4%23.2%33.4%45.0%10.4%-11.0%12.5K24.8K-1.0K0.27115.659726755115
2018-10-30$17.99$17.5086.3%24.7%29.2%80.6%55.1%12.8%-59.8%16.7K-5.6K-1.1K0.27117.689726755115
2018-10-31$18.46$17.5033.3%9.5%31.0%17.3%33.1%9.7%-10.8%20.3K-4.0K-1.1K0.27113.989726755115