CNNE Options History — August 2019

In August 2019, CNNE traded between $27.77 and $30.89. ATM implied volatility averaged 32.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.1% (HV 20d: 30.3%). Max pain ranged from $22.50 to $40.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2019-08-12: Highest Volume — 10 contracts
2019-08-12: Largest IV spike — 39.7% change
2019-08-05: Highest IV Rank — 23.6%
2019-08-21: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.14	$27.77	$30.89	$29.04	$27.77
Max Pain	$35.68	$22.50	$40.00	$22.50	$40.00
ATM IV	32.4%	20.5%	39.9%	27.7%	31.8%
Expected Move	9.0%	7.4%	11.1%	7.9%	9.1%
HV 20d	30.3%	24.6%	34.3%	24.6%	30.6%
HV 60d	24.4%	22.9%	26.1%	23.7%	26.1%
IV Rank	16.1%	4.3%	23.6%	11.5%	15.6%
IV Percentile	55.0%	7.9%	77.0%	44.4%	52.8%
Term Structure	1.0%	-14.0%	26.6%	5.0%	-7.1%
VWIV	45.3%	39.2%	51.3%	51.3%	39.2%
Skew 25d	1.7%	-8.0%	22.7%	13.4%	-5.9%
Skew 10d	2.8%	-12.2%	18.1%	4.6%	-6.7%
Call IV 25d	32.4%	21.7%	42.1%	30.3%	35.6%
Put IV 25d	34.0%	25.0%	60.7%	43.7%	29.7%
Bid-Ask Spread %	116.04	103.00	123.28	113.53	119.37
Gamma HHI	0.71	0.39	0.98	0.90	0.39
Net GEX	10.1K	-1.8K	34.2K	16.5K	-1.2K
Net DEX	-116.9K	-409.6K	25.0K	-197.8K	21.3K
Net VEX	-212	-379	-82	-379	-141
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.773	0	10	0	0
Total OI	153.591	79	222	211	80

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	Spread %	Call Vol	Put Vol	Call OI	Put OI
2019-08-01	$29.04	$22.50	27.7%	7.9%	24.6%	11.5%	0.0%	13.4%	5.0%	16.5K	-197.8K	-379	113.53	0	0	154	57
2019-08-02	$29.19	$22.50	36.6%	10.5%	24.7%	20.3%	0.0%	22.7%	6.6%	12.8K	-223.2K	-376	114.56	0	0	154	57
2019-08-05	$28.66	$30.00	39.9%	7.7%	25.5%	23.6%	0.0%	-0.2%	-8.0%	14.6K	-185.3K	-356	118.65	0	0	154	57
2019-08-06	$29.43	$30.00	32.2%	8.1%	27.3%	15.9%	0.0%	-2.7%	-14.0%	22.5K	-214.1K	-290	123.28	2	0	154	57
2019-08-07	$29.99	$30.00	27.9%	8.2%	28.0%	11.7%	0.0%	3.9%	-2.9%	24.5K	-278.2K	-335	119.21	0	1	156	57
2019-08-08	$30.89	$30.00	20.5%	10.4%	29.4%	4.3%	0.0%	11.5%	-13.5%	25.7K	-409.6K	-224	112.41	2	0	156	58
2019-08-09	$30.15	$30.00	27.6%	7.5%	30.8%	11.4%	0.0%	3.2%	-0.5%	31.6K	-287.8K	-314	103.00	0	1	154	58
2019-08-12	$29.59	$30.00	38.6%	8.4%	31.1%	22.3%	51.3%	-1.1%	-7.3%	28.0K	-225.4K	-266	121.83	0	10	154	58
2019-08-13	$29.76	$40.00	37.8%	8.1%	30.8%	21.5%	0.0%	1.6%	-6.8%	34.2K	-213.6K	-226	118.90	0	0	154	68
2019-08-14	$29.27	$40.00	29.8%	8.5%	31.5%	13.6%	0.0%	5.2%	-8.5%	14.4K	-194.5K	-217	120.83	0	0	154	68
2019-08-15	$28.81	$40.00	35.6%	10.2%	32.1%	19.3%	0.0%	0.6%	-8.0%	13.5K	-160.6K	-213	112.68	0	0	154	68
2019-08-16	$29.12	$40.00	28.0%	8.0%	32.2%	11.8%	0.0%	0.9%	-8.6%	-1.6K	-71.7K	-135	114.62	0	0	154	68
2019-08-19	$29.43	$40.00	34.8%	10.0%	32.2%	18.5%	0.0%	-5.8%	13.4%	-1.5K	2.7K	-127	112.49	0	0	21	58
2019-08-20	$29.15	$40.00	32.2%	9.2%	32.3%	15.9%	0.0%	1.1%	17.9%	-992	-4.9K	-82	114.73	0	0	21	58
2019-08-21	$29.48	$40.00	38.7%	11.1%	32.4%	22.4%	0.0%	0.5%	11.6%	-1.4K	-207	-123	112.34	0	0	21	58
2019-08-22	$29.53	$40.00	36.8%	10.5%	31.1%	20.5%	39.2%	3.6%	10.8%	-1.1K	-5.3K	-88	113.32	1	0	21	58
2019-08-23	$28.49	$40.00	32.1%	9.2%	34.0%	15.9%	0.0%	-0.7%	26.6%	-1.8K	14.3K	-200	116.56	0	0	22	58
2019-08-26	$28.69	$40.00	32.1%	9.2%	33.2%	15.8%	0.0%	-2.6%	20.0%	-1.6K	6.3K	-141	116.27	0	0	22	58
2019-08-27	$28.02	$40.00	30.9%	8.9%	34.3%	14.6%	0.0%	-7.8%	6.9%	-1.2K	17.2K	-136	118.30	0	0	22	58
2019-08-28	$27.99	$40.00	25.8%	7.4%	28.4%	9.5%	0.0%	3.2%	-1.4%	-1.5K	25.0K	-153	115.03	0	0	22	58
2019-08-29	$28.52	$40.00	34.7%	10.0%	29.3%	18.5%	0.0%	-8.0%	-9.2%	-1.5K	14.5K	-141	120.91	0	0	22	58
2019-08-30	$27.77	$40.00	31.8%	9.1%	30.6%	15.6%	0.0%	-5.9%	-7.1%	-1.2K	21.3K	-141	119.37	0	0	22	58