CNNE Options History — November 2019

In November 2019, CNNE traded between $28.66 and $38.44. ATM implied volatility averaged 33.3%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 11.2% (HV 20d: 44.5%). Max pain ranged from $22.50 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2019-11-18: Highest Volume — 533 contracts
2019-11-18: Largest IV spike — 42.6% change
2019-11-05: Highest IV Rank — 44.7%
2019-11-01: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.08	$28.66	$38.44	$29.91	$37.57
Max Pain	$31.88	$22.50	$35.00	$22.50	$35.00
ATM IV	33.3%	19.2%	61.1%	55.5%	25.0%
Expected Move	8.5%	5.5%	15.9%	15.9%	7.2%
HV 20d	44.5%	23.6%	56.5%	26.1%	56.0%
HV 60d	37.3%	29.0%	42.0%	29.6%	41.2%
IV Rank	18.2%	3.4%	44.7%	39.1%	9.9%
IV Percentile	42.3%	3.2%	91.3%	88.9%	20.6%
Term Structure	-2.7%	-44.5%	6.6%	-44.5%	5.6%
VWIV	30.6%	15.0%	73.8%	73.8%	26.5%
Skew 25d	0.8%	-14.5%	11.6%	-14.5%	-7.8%
Skew 10d	8.7%	-9.0%	58.5%	-1.5%	-3.3%
Call IV 25d	27.5%	16.5%	57.1%	57.1%	28.2%
Put IV 25d	28.3%	18.3%	42.7%	42.7%	20.4%
Bid-Ask Spread %	106.37	90.59	115.37	115.37	106.68
Gamma HHI	0.86	0.53	0.99	0.68	0.98
Net GEX	26.7K	4.3K	51.1K	4.3K	44.0K
Net DEX	-488.6K	-1.1M	-107.2K	-107.2K	-928.4K
Net VEX	-2.3K	-5.8K	-107	-153	-5.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	5.50	0.00	0.33
Total Volume	45.75	0	533	14	8
Total OI	346.4	95	683	95	681

Daily Data (20 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
2019-11-01	$29.91	$22.50	55.5%	15.9%	26.1%	39.1%	73.8%	-14.5%	-44.5%	4.3K	-107.2K	-153	0.00	115.37	14	0	63	32
2019-11-04	$30.13	$30.00	53.9%	10.4%	26.1%	37.5%	0.0%	10.2%	-7.0%	5.5K	-144.2K	-185	0.00	108.17	3	0	77	32
2019-11-05	$29.91	$30.00	61.1%	11.2%	24.1%	44.7%	0.0%	11.1%	-13.3%	5.2K	-141.4K	-195	0.00	108.86	3	0	78	32
2019-11-06	$29.09	$30.00	51.4%	9.9%	23.6%	35.0%	0.0%	3.4%	-8.5%	5.5K	-129.1K	-214	0.00	111.57	10	0	81	32
2019-11-07	$28.66	$30.00	33.3%	10.6%	24.3%	19.3%	0.0%	3.0%	-7.0%	5.4K	-109.6K	-188	0.00	113.87	2	0	91	32
2019-11-08	$28.97	$30.00	36.4%	8.4%	24.5%	22.8%	0.0%	-4.8%	-1.8%	7.0K	-114.3K	-193	0.00	105.36	0	0	93	32
2019-11-11	$29.38	$30.00	36.9%	8.2%	24.3%	23.4%	28.7%	3.6%	-0.7%	8.6K	-123.8K	-185	0.13	90.59	8	1	93	32
2019-11-12	$33.91	$30.00	33.4%	8.1%	55.5%	19.5%	31.1%	-1.1%	-2.3%	7.5K	-246.4K	-107	0.02	106.78	128	2	94	33
2019-11-13	$35.10	$30.00	29.7%	8.5%	55.9%	15.3%	38.9%	5.3%	-4.5%	43.3K	-343.9K	-263	0.07	110.51	44	3	138	35
2019-11-14	$35.45	$30.00	19.2%	5.5%	55.9%	3.4%	19.4%	1.0%	3.8%	31.7K	-392.6K	-284	0.01	107.19	78	1	149	37
2019-11-15	$35.35	$30.00	20.4%	5.9%	55.7%	4.8%	20.4%	-1.2%	3.3%	26.5K	-404.7K	-453	0.00	101.01	0	26	172	38
2019-11-18	$36.75	$35.00	29.2%	8.4%	56.5%	14.7%	25.3%	11.6%	1.8%	5.7K	-191.6K	-539	0.03	100.44	519	14	104	29
2019-11-19	$36.60	$35.00	25.1%	7.2%	54.6%	10.1%	31.8%	1.8%	-1.8%	46.4K	-727.3K	-5.2K	0.00	104.39	13	0	600	43
2019-11-20	$36.64	$35.00	25.7%	7.4%	54.4%	10.7%	0.0%	4.1%	5.6%	44.2K	-786.8K	-5.1K	0.00	108.09	0	0	610	43
2019-11-21	$37.12	$35.00	25.7%	7.4%	54.4%	10.8%	0.0%	3.4%	6.0%	50.2K	-877.7K	-5.5K	0.50	102.20	2	1	610	43
2019-11-22	$37.15	$35.00	25.7%	7.4%	54.6%	10.8%	0.0%	2.4%	1.4%	45.6K	-863.7K	-5.3K	0.00	107.15	0	0	609	45
2019-11-25	$37.83	$35.00	28.1%	8.1%	54.3%	13.5%	25.9%	3.2%	6.0%	51.1K	-1.0M	-5.7K	2.60	106.66	5	13	607	55
2019-11-26	$37.70	$35.00	25.0%	7.2%	54.6%	10.0%	15.0%	-12.8%	-2.9%	46.6K	-993.9K	-5.6K	5.50	106.48	2	11	602	68
2019-11-27	$38.44	$35.00	24.7%	7.1%	54.4%	9.6%	0.0%	-5.6%	6.6%	50.5K	-1.1M	-5.8K	0.00	106.08	4	0	604	79
2019-11-29	$37.57	$35.00	25.0%	7.2%	56.0%	9.9%	26.5%	-7.8%	5.6%	44.0K	-928.4K	-5.5K	0.33	106.68	6	2	602	79