CNNE Options History — July 2019

In July 2019, CNNE traded between $27.35 and $29.24. ATM implied volatility averaged 27.7%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 10.4% (HV 20d: 17.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 6.40.

Notable Days

2019-07-23: Highest Volume — 17 contracts
2019-07-29: Largest IV spike — 131.1% change
2019-07-29: Highest IV Rank — 39.7%
2019-07-29: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.54	$27.35	$29.24	$28.98	$29.10
Max Pain	$22.84	$22.50	$25.00	$25.00	$22.50
ATM IV	27.7%	17.5%	56.1%	33.9%	30.6%
Expected Move	8.0%	5.7%	16.1%	9.7%	8.8%
HV 20d	17.2%	13.1%	24.7%	22.1%	24.7%
HV 60d	22.6%	21.9%	23.9%	22.6%	23.9%
IV Rank	11.4%	1.4%	39.7%	17.6%	14.3%
IV Percentile	36.2%	0.8%	88.1%	58.7%	54.0%
Term Structure	-5.8%	-57.7%	42.3%	-21.0%	-3.8%
VWIV	48.2%	23.8%	66.0%	66.0%	44.2%
Skew 25d	-4.0%	-28.5%	4.3%	-28.5%	-0.6%
Skew 10d	-4.1%	-27.0%	1.3%	-27.0%	-2.7%
Call IV 25d	30.1%	19.6%	48.3%	48.3%	37.6%
Put IV 25d	26.1%	18.2%	37.0%	19.7%	37.0%
Bid-Ask Spread %	110.53	99.69	117.89	116.06	113.61
Gamma HHI	0.79	0.57	0.91	0.84	0.91
Net GEX	14.0K	8.6K	18.7K	13.4K	17.2K
Net DEX	-214.3K	-291.7K	-117.5K	-280.3K	-227.3K
Net VEX	-484	-657	-377	-657	-420
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.40	0.00	16.00	0.00	16.00
Total Volume	5.136	0	17	0	0
Total OI	219.864	195	228	228	211

Daily Data (22 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
2019-07-01	$28.98	$25.00	33.9%	9.7%	22.1%	17.6%	0.0%	-28.5%	-21.0%	13.4K	-280.3K	-657	0.00	116.06	0	0	167	61
2019-07-02	$29.14	$25.00	31.6%	9.0%	22.1%	15.3%	0.0%	-14.1%	-21.9%	15.4K	-264.3K	-605	0.00	116.70	0	0	167	61
2019-07-03	$29.24	$25.00	35.1%	10.1%	21.9%	18.8%	0.0%	-15.9%	-27.5%	15.8K	-279.3K	-592	0.00	117.89	0	0	167	61
2019-07-05	$29.18	$22.50	17.5%	6.0%	21.8%	1.4%	0.0%	-2.1%	-0.1%	17.1K	-283.7K	-606	0.00	104.75	1	0	167	61
2019-07-08	$29.09	$22.50	20.0%	7.0%	18.8%	3.8%	0.0%	-2.0%	-2.8%	16.8K	-261.3K	-555	0.00	99.69	0	0	167	61
2019-07-09	$29.10	$22.50	30.0%	8.4%	18.2%	13.7%	0.0%	0.2%	-6.1%	14.9K	-291.7K	-565	0.00	108.00	0	0	167	61
2019-07-10	$29.05	$22.50	20.8%	6.0%	18.0%	4.6%	0.0%	1.0%	-1.3%	18.7K	-271.9K	-519	0.00	115.00	0	0	167	61
2019-07-11	$28.77	$22.50	24.8%	7.1%	17.4%	8.6%	0.0%	1.9%	-2.1%	14.8K	-245.1K	-521	0.00	113.48	0	0	167	61
2019-07-12	$29.08	$22.50	24.8%	7.1%	16.5%	8.5%	0.0%	-1.3%	-4.2%	16.4K	-252.5K	-467	0.00	102.75	0	0	167	61
2019-07-15	$28.62	$22.50	26.3%	7.5%	16.2%	10.1%	0.0%	-5.6%	-12.8%	14.2K	-231.2K	-516	0.00	114.30	0	0	167	61
2019-07-16	$28.37	$22.50	19.9%	5.7%	16.3%	3.7%	66.0%	4.3%	-0.8%	14.5K	-204.5K	-432	0.00	111.41	10	0	167	61
2019-07-17	$28.27	$22.50	21.5%	6.2%	15.6%	5.3%	23.8%	-0.7%	-5.4%	14.2K	-186.8K	-443	0.00	105.32	11	0	163	61
2019-07-18	$28.44	$22.50	25.7%	7.4%	15.3%	9.4%	58.8%	-2.6%	-9.9%	13.5K	-205.3K	-409	0.00	111.22	11	0	163	61
2019-07-19	$28.29	$22.50	23.1%	6.6%	14.0%	6.9%	44.2%	-1.5%	1.0%	13.8K	-189.3K	-413	0.00	107.79	11	0	163	61
2019-07-22	$28.09	$22.50	26.1%	7.5%	14.1%	9.9%	0.0%	-3.7%	31.5%	12.7K	-178.4K	-377	0.00	106.41	1	0	155	41
2019-07-23	$28.38	$22.50	26.1%	7.5%	14.7%	9.8%	0.0%	1.8%	-1.4%	14.8K	-186.5K	-392	16.00	104.64	1	16	154	41
2019-07-24	$28.29	$22.50	35.2%	10.1%	13.1%	18.9%	0.0%	-8.0%	-9.8%	10.8K	-178.7K	-510	16.00	107.82	1	16	154	57
2019-07-25	$27.65	$22.50	30.3%	8.7%	14.0%	14.1%	0.0%	-3.5%	-12.5%	10.8K	-130.8K	-437	16.00	109.68	1	16	154	57
2019-07-26	$27.86	$22.50	24.3%	7.0%	14.3%	8.0%	0.0%	0.8%	42.3%	10.5K	-130.0K	-425	16.00	115.14	1	16	154	57
2019-07-29	$27.35	$22.50	56.1%	16.1%	15.2%	39.7%	0.0%	-4.3%	-57.7%	8.6K	-117.7K	-402	0.00	115.75	0	0	154	57
2019-07-30	$27.61	$22.50	24.8%	7.1%	15.2%	8.5%	0.0%	-4.0%	-2.0%	9.0K	-117.5K	-393	0.00	114.30	0	0	154	57
2019-07-31	$29.10	$22.50	30.6%	8.8%	24.7%	14.3%	0.0%	-0.6%	-3.8%	17.2K	-227.3K	-420	0.00	113.61	0	0	154	57