CNNE Options History — December 2019

In December 2019, CNNE traded between $35.39 and $38.39. ATM implied volatility averaged 33.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.1% (HV 20d: 38.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.18.

Notable Days

2019-12-06: Highest Volume — 60 contracts
2019-12-23: Largest IV spike — 87.1% change
2019-12-23: Highest IV Rank — 40.1%
2019-12-04: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.07	$35.39	$38.39	$37.00	$37.30
Max Pain	$39.29	$35.00	$40.00	$35.00	$40.00
ATM IV	33.5%	20.8%	41.7%	38.2%	34.3%
Expected Move	9.0%	6.0%	11.9%	10.9%	9.8%
HV 20d	38.6%	26.9%	59.1%	56.6%	27.7%
HV 60d	40.1%	39.2%	41.1%	41.1%	39.3%
IV Rank	25.1%	7.9%	40.1%	24.8%	30.8%
IV Percentile	55.0%	7.5%	81.7%	71.4%	59.5%
Term Structure	-3.1%	-31.8%	12.1%	-17.8%	3.7%
VWIV	26.2%	17.4%	32.8%	24.3%	18.1%
Skew 25d	5.5%	-14.4%	14.8%	-1.8%	9.4%
Skew 10d	10.4%	-5.6%	43.1%	-0.8%	8.4%
Call IV 25d	26.1%	18.2%	43.7%	33.8%	23.9%
Put IV 25d	31.5%	24.9%	35.9%	32.0%	33.3%
Bid-Ask Spread %	105.81	100.17	118.67	101.39	109.49
Gamma HHI	0.89	0.79	0.98	0.98	0.82
Net GEX	49.1K	35.7K	55.4K	46.1K	50.6K
Net DEX	-840.4K	-1.1M	-488.9K	-779.3K	-762.3K
Net VEX	-5.4K	-6.0K	-4.3K	-5.0K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	1.00	0.09	0.00
Total Volume	9.19	0	60	1	0
Total OI	751	681	827	681	712

Daily Data (21 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
2019-12-02	$37.00	$35.00	38.2%	10.9%	56.6%	24.8%	0.0%	-1.8%	-17.8%	46.1K	-779.3K	-5.0K	0.00	101.39	0	1	600	81
2019-12-03	$36.74	$35.00	32.9%	9.4%	57.0%	18.8%	24.3%	6.1%	-3.2%	39.6K	-804.1K	-5.2K	0.00	108.20	0	10	600	81
2019-12-04	$35.39	$35.00	41.7%	11.9%	59.1%	28.8%	26.2%	-14.4%	-31.8%	35.7K	-488.9K	-4.3K	0.09	118.67	32	3	600	81
2019-12-05	$36.69	$40.00	39.6%	8.2%	58.3%	26.4%	29.8%	-0.2%	-2.9%	46.3K	-761.0K	-5.0K	0.50	101.30	2	1	632	82
2019-12-06	$36.22	$40.00	39.9%	7.8%	58.2%	26.8%	0.0%	1.1%	1.4%	42.1K	-771.0K	-5.1K	0.20	104.33	50	10	633	83
2019-12-09	$36.50	$40.00	38.7%	8.1%	58.2%	25.4%	0.0%	2.1%	1.6%	50.5K	-782.8K	-5.5K	0.00	102.07	12	0	683	83
2019-12-10	$37.15	$40.00	40.2%	8.4%	58.2%	27.1%	17.4%	13.8%	1.3%	54.9K	-913.3K	-5.7K	0.17	103.66	6	1	695	83
2019-12-11	$37.36	$40.00	37.0%	10.6%	31.2%	35.4%	0.0%	8.2%	-17.0%	53.9K	-1.1M	-6.0K	0.00	108.06	0	0	700	84
2019-12-12	$37.08	$40.00	28.5%	8.2%	29.4%	21.0%	30.8%	4.7%	-3.1%	51.3K	-943.0K	-5.6K	0.00	104.81	0	26	700	84
2019-12-13	$36.67	$40.00	29.1%	8.4%	29.6%	22.1%	29.6%	1.5%	0.8%	47.1K	-853.8K	-5.5K	0.00	100.17	0	16	700	110
2019-12-16	$37.24	$40.00	29.6%	8.5%	30.0%	22.9%	32.8%	4.3%	7.1%	51.5K	-953.2K	-5.6K	0.00	104.34	2	0	700	126
2019-12-17	$36.94	$40.00	26.9%	7.7%	26.9%	18.2%	0.0%	10.3%	4.4%	45.4K	-896.3K	-5.6K	0.00	106.38	0	0	701	126
2019-12-18	$37.46	$40.00	25.8%	7.4%	27.3%	16.4%	0.0%	2.6%	5.0%	50.5K	-913.2K	-5.5K	0.00	104.11	10	0	701	126
2019-12-19	$37.48	$40.00	37.8%	10.8%	27.3%	36.8%	0.0%	14.8%	-12.2%	52.6K	-985.6K	-5.6K	0.00	108.82	2	0	691	126
2019-12-20	$38.39	$40.00	21.2%	6.1%	28.2%	8.6%	27.0%	0.2%	1.4%	55.4K	-1.0M	-5.7K	1.00	100.51	3	3	689	126
2019-12-23	$37.28	$40.00	39.7%	11.4%	30.3%	40.1%	0.0%	5.5%	-19.3%	51.8K	-831.0K	-5.5K	0.00	104.13	0	0	628	82
2019-12-24	$37.43	$40.00	33.1%	9.5%	29.6%	28.8%	0.0%	13.0%	12.1%	51.6K	-791.5K	-5.4K	0.00	109.33	0	0	628	82
2019-12-26	$37.76	$40.00	20.8%	6.0%	29.7%	7.9%	18.1%	13.6%	6.9%	53.4K	-805.6K	-5.4K	0.00	109.05	1	0	628	82
2019-12-27	$37.30	$40.00	29.6%	8.5%	29.1%	22.8%	0.0%	5.5%	3.9%	48.4K	-793.3K	-5.3K	0.00	103.95	0	0	629	82
2019-12-30	$37.03	$40.00	38.7%	11.1%	28.1%	38.3%	0.0%	14.3%	-7.0%	52.2K	-711.8K	-5.0K	0.00	109.19	2	0	629	82
2019-12-31	$37.30	$40.00	34.3%	9.8%	27.7%	30.8%	0.0%	9.4%	3.7%	50.6K	-762.3K	-5.1K	0.00	109.49	0	0	630	82