CNNE Options History — January 2020

In January 2020, CNNE traded between $37.63 and $41.00. ATM implied volatility averaged 32.6%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 10.1% (HV 20d: 22.5%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2020-01-14: Highest Volume — 15 contracts
2020-01-14: Largest IV spike — 30.0% change
2020-01-31: Highest IV Rank — 49.6%
2020-01-31: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.91	$37.63	$41.00	$37.63	$40.52
Max Pain	$31.43	$30.00	$40.00	$40.00	$40.00
ATM IV	32.6%	22.3%	45.3%	26.1%	45.3%
Expected Move	9.7%	6.7%	13.0%	7.5%	13.0%
HV 20d	22.5%	18.7%	27.7%	27.7%	26.0%
HV 60d	38.6%	38.1%	39.3%	39.3%	39.3%
IV Rank	27.9%	10.4%	49.6%	16.8%	49.6%
IV Percentile	53.1%	12.7%	91.7%	27.8%	91.7%
Term Structure	-4.4%	-18.1%	8.3%	0.7%	-14.8%
VWIV	40.3%	35.9%	47.8%	47.8%	41.6%
Skew 25d	4.2%	-4.6%	13.7%	8.2%	13.7%
Skew 10d	5.4%	-12.9%	15.2%	6.3%	7.7%
Call IV 25d	26.8%	22.3%	35.4%	24.3%	24.5%
Put IV 25d	31.0%	22.9%	38.2%	32.5%	38.2%
Bid-Ask Spread %	112.01	107.97	115.89	109.78	113.14
Gamma HHI	0.96	0.83	0.99	0.83	0.98
Net GEX	60.7K	50.2K	69.4K	53.2K	51.6K
Net DEX	-1.1M	-1.6M	-765.7K	-765.7K	-1.6M
Net VEX	-5.2K	-5.5K	-4.9K	-5.0K	-4.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.00	7.00	0.00	7.00
Total Volume	3.952	0	15	0	8
Total OI	685.857	632	740	712	642

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
2020-01-02	$37.63	$40.00	26.1%	7.5%	27.7%	16.8%	0.0%	8.2%	0.7%	53.2K	-765.7K	-5.0K	0.00	109.78	0	0	630	82
2020-01-03	$38.32	$40.00	23.2%	6.7%	24.2%	12.0%	0.0%	0.9%	8.3%	57.9K	-1.0M	-5.5K	0.00	114.86	0	0	630	82
2020-01-06	$38.60	$30.00	24.0%	8.0%	21.1%	13.4%	47.8%	1.8%	-5.2%	65.0K	-994.9K	-5.3K	0.00	107.97	2	0	630	81
2020-01-07	$37.75	$30.00	27.8%	6.8%	22.3%	19.8%	0.0%	8.5%	3.0%	57.1K	-896.8K	-5.2K	0.00	110.61	0	0	631	81
2020-01-08	$38.21	$30.00	24.9%	7.2%	22.5%	14.9%	0.0%	-2.8%	-1.8%	66.7K	-911.1K	-5.1K	0.00	113.62	7	0	631	81
2020-01-09	$39.11	$30.00	22.3%	9.9%	23.1%	10.4%	0.0%	6.4%	-8.2%	69.4K	-1.2M	-5.4K	0.09	109.90	11	1	637	81
2020-01-10	$38.84	$30.00	26.6%	9.4%	23.3%	17.8%	0.0%	9.7%	-5.1%	64.5K	-1.2M	-5.5K	0.00	110.38	0	0	648	81
2020-01-13	$38.90	$30.00	22.4%	9.9%	23.0%	10.6%	0.0%	-4.6%	-18.1%	68.1K	-1.1M	-5.4K	0.00	109.79	5	0	648	81
2020-01-14	$38.22	$30.00	29.1%	7.6%	23.6%	22.1%	0.0%	3.5%	-3.7%	61.3K	-1.0M	-5.3K	2.00	109.59	5	10	653	81
2020-01-15	$38.65	$30.00	35.1%	10.1%	23.3%	32.3%	0.0%	10.4%	-6.0%	62.2K	-1.1M	-5.2K	5.00	110.50	2	10	651	81
2020-01-16	$39.22	$30.00	37.2%	10.7%	23.5%	35.7%	0.0%	1.0%	-11.4%	69.3K	-1.3M	-5.4K	0.00	111.04	0	0	649	91
2020-01-17	$38.98	$30.00	33.4%	9.6%	23.3%	29.3%	0.0%	-1.0%	-5.8%	60.3K	-1.1M	-5.4K	0.00	113.07	2	0	649	91
2020-01-21	$38.76	$30.00	34.7%	10.0%	23.4%	31.6%	0.0%	-0.6%	7.8%	58.9K	-1.1M	-5.3K	0.00	111.45	0	0	610	22
2020-01-22	$38.97	$30.00	37.3%	10.7%	22.0%	36.0%	35.9%	4.5%	6.1%	59.1K	-1.1M	-5.3K	0.00	113.11	2	0	610	22
2020-01-23	$39.23	$30.00	37.9%	10.9%	19.0%	37.0%	0.0%	3.6%	-5.8%	60.5K	-1.2M	-5.2K	0.00	113.48	0	0	612	22
2020-01-24	$39.07	$30.00	37.7%	10.8%	19.1%	36.7%	0.0%	5.3%	-3.9%	60.5K	-1.2M	-5.2K	0.00	112.32	3	0	612	22
2020-01-27	$39.32	$30.00	41.9%	12.0%	19.0%	43.9%	0.0%	1.9%	-7.6%	56.6K	-1.2M	-5.1K	0.00	115.03	3	0	615	22
2020-01-28	$38.83	$30.00	37.6%	10.8%	19.0%	36.4%	0.0%	2.2%	-3.5%	60.5K	-1.1M	-5.1K	0.00	113.05	2	0	615	22
2020-01-29	$38.96	$30.00	37.0%	10.6%	18.7%	35.4%	0.0%	3.8%	-3.0%	62.6K	-1.1M	-5.1K	0.00	113.61	0	0	615	22
2020-01-30	$41.00	$30.00	42.6%	12.2%	25.4%	44.9%	36.1%	12.6%	-15.4%	50.2K	-1.6M	-5.0K	2.33	115.89	3	7	615	22
2020-01-31	$40.52	$40.00	45.3%	13.0%	26.0%	49.6%	41.6%	13.7%	-14.8%	51.6K	-1.6M	-4.9K	7.00	113.14	1	7	613	29