CNNE Options History — November 2018

In November 2018, CNNE traded between $16.94 and $18.43. ATM implied volatility averaged 63.9%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 20.0% (HV 20d: 43.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2018-11-27: Highest Volume — 195 contracts
  • 2018-11-28: Largest IV spike — 139.1% change
  • 2018-11-06: Highest IV Rank — 100.0%
  • 2018-11-30: Largest Expected Move — 26.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.61$16.94$18.43$18.43$17.48
Max Pain$19.72$17.50$20.00$17.50$20.00
ATM IV63.9%19.9%116.7%82.7%91.9%
Expected Move13.9%5.7%26.4%23.7%26.4%
HV 20d43.9%29.9%50.4%31.0%46.9%
HV 60d31.5%25.2%34.9%26.3%34.9%
IV Rank47.7%1.1%100.0%76.3%74.7%
IV Percentile80.6%2.4%100.0%97.9%98.4%
Term Structure-19.9%-91.6%65.8%-68.9%-68.5%
VWIV47.3%19.7%97.0%49.4%97.0%
Skew 25d4.8%-17.3%41.9%16.6%-15.7%
Skew 10d9.7%-3.9%75.3%16.4%4.2%
Call IV 25d36.7%20.6%60.7%20.6%58.4%
Put IV 25d41.5%28.0%69.7%37.1%42.7%
Bid-Ask Spread %118.67108.70123.69113.20123.56
Gamma HHI0.480.280.770.590.32
Net GEX6.1K-3.9K23.2K22.0K-3.6K
Net DEX59.7K-285.2K171.6K-110.0K162.7K
Net VEX-827-1.6K-589-1.4K-655
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.182.210.271.87
Total Volume171.857123195123195
Total OI678.952289918870404

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$18.43$17.5082.7%23.7%31.0%76.3%49.4%16.6%-68.9%22.0K-110.0K-1.4K0.27113.209726755115
2018-11-02$17.96$17.5088.6%25.4%31.8%83.3%43.0%19.2%-91.6%13.1K-285.2K-1.6K0.27108.709726755115
2018-11-05$17.83$0.0088.0%15.7%31.6%82.7%0.0%-17.3%-34.2%16.2K-28.1K-1.1K0.27118.429726755115
2018-11-06$17.94$0.00116.7%17.7%31.8%100.0%0.0%12.2%-53.2%14.3K28.3K-8330.27119.529726755115
2018-11-07$18.12$0.0084.3%11.3%29.9%66.9%48.6%-0.5%-12.2%18.0K-46.3K-1.0K0.18110.6514426755115
2018-11-08$17.00$20.0054.9%8.4%36.2%36.9%37.1%0.9%-3.8%7.4K96.5K-6290.19120.4214427803115
2018-11-09$18.25$20.0079.7%10.1%45.6%62.1%36.5%6.6%-9.9%23.2K-61.4K-1.0K0.18115.8715427803113
2018-11-12$17.25$20.0084.3%9.1%49.0%66.9%35.7%3.0%-14.2%11.7K33.2K-6500.18117.5815427803113
2018-11-13$17.52$20.00101.7%9.7%49.6%84.6%36.3%0.1%-15.3%12.8K64.1K-6210.18121.5515427803113
2018-11-14$17.76$20.0019.9%5.7%49.9%1.1%19.7%33.7%6.2%16.2K-25.1K-7520.18118.8915427803113
2018-11-15$18.00$20.0029.2%8.4%49.9%10.6%29.6%2.5%-8.3%-525105.3K-6040.18112.9815427803113
2018-11-16$17.77$20.0023.4%6.7%49.9%4.6%23.6%41.9%1.6%-61897.9K-6430.23117.7111627803113
2018-11-19$17.63$20.0033.1%9.5%49.9%14.6%39.4%-6.1%-6.6%-621112.9K-5892.21122.4657126177112
2018-11-20$17.24$20.0037.0%10.6%50.4%18.5%42.7%-0.5%-10.3%-3.1K153.2K-8392.21119.1157126177215
2018-11-21$17.31$20.0030.6%8.8%48.8%12.0%38.3%-3.4%-8.0%-3.9K171.6K-6991.85121.1168126177215
2018-11-23$17.23$20.0036.4%10.4%48.8%18.0%43.9%-2.0%-13.9%-3.2K161.9K-7621.85121.7668126188215
2018-11-26$17.37$20.0082.0%23.5%48.7%64.5%83.2%3.5%-44.0%-3.6K154.4K-6661.85122.6568126188215
2018-11-27$16.94$20.0037.8%10.8%48.2%19.3%47.0%-13.1%65.8%-3.1K165.9K-7231.87119.7868127188215
2018-11-28$17.55$20.0090.3%25.9%47.6%73.0%89.4%16.7%-46.6%-2.3K137.8K-9071.87122.5568127188216
2018-11-29$17.31$20.0050.0%14.3%46.7%31.9%58.6%1.7%17.2%-3.4K164.5K-6951.87123.6968127188216
2018-11-30$17.48$20.0091.9%26.4%46.9%74.7%97.0%-15.7%-68.5%-3.6K162.7K-6551.87123.5668127188216