CNNE Options History — February 2020

In February 2020, CNNE traded between $36.50 and $42.90. ATM implied volatility averaged 40.3%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 11.6% (HV 20d: 28.7%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.36.

Notable Days

2020-02-21: Highest Volume — 442 contracts
2020-02-07: Largest IV spike — 43.6% change
2020-02-10: Highest IV Rank — 71.4%
2020-02-04: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.51	$36.50	$42.90	$41.90	$36.50
Max Pain	$40.79	$35.00	$45.00	$40.00	$40.00
ATM IV	40.3%	29.1%	58.1%	44.4%	49.7%
Expected Move	11.2%	8.3%	14.4%	12.7%	14.3%
HV 20d	28.7%	26.8%	35.4%	27.7%	29.6%
HV 60d	29.9%	25.6%	39.7%	39.7%	28.0%
IV Rank	40.5%	20.9%	71.4%	48.1%	56.5%
IV Percentile	72.5%	38.9%	96.4%	90.9%	92.1%
Term Structure	-6.0%	-27.7%	12.9%	-27.7%	-8.7%
VWIV	37.1%	25.4%	60.9%	60.9%	53.8%
Skew 25d	6.1%	-3.6%	14.2%	-3.6%	5.6%
Skew 10d	11.3%	1.5%	46.3%	9.9%	22.9%
Call IV 25d	31.7%	22.5%	45.3%	33.2%	45.3%
Put IV 25d	37.8%	27.0%	50.9%	29.6%	50.9%
Bid-Ask Spread %	108.23	84.30	123.07	116.51	84.30
Gamma HHI	0.83	0.64	0.98	0.98	0.83
Net GEX	64.8K	42.1K	103.8K	48.3K	42.1K
Net DEX	-1.7M	-2.9M	-616.4K	-1.7M	-616.4K
Net VEX	-6.6K	-9.2K	-4.5K	-4.9K	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	4.00	0.96	4.00
Total Volume	69.947	0	442	104	5
Total OI	891.684	643	1,255	643	826

Daily Data (19 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
2020-02-03	$41.90	$40.00	44.4%	12.7%	27.7%	48.1%	0.0%	-3.6%	-27.7%	48.3K	-1.7M	-4.9K	0.96	116.51	53	51	614	29
2020-02-04	$41.33	$40.00	50.2%	14.4%	28.4%	58.0%	60.9%	9.7%	-10.9%	46.2K	-1.6M	-5.3K	0.00	114.99	50	0	617	80
2020-02-05	$41.08	$40.00	40.1%	11.5%	27.0%	40.7%	0.0%	11.8%	-8.6%	56.3K	-1.5M	-5.6K	0.00	116.97	0	0	659	80
2020-02-06	$40.44	$45.00	32.9%	11.4%	27.7%	28.5%	0.0%	7.1%	2.0%	48.1K	-1.4M	-5.5K	0.00	121.95	10	0	659	80
2020-02-07	$40.00	$45.00	47.3%	13.0%	27.0%	53.0%	33.6%	3.4%	-18.2%	55.8K	-1.3M	-5.5K	0.00	109.27	12	0	649	80
2020-02-10	$39.91	$45.00	58.1%	11.2%	26.9%	71.4%	41.9%	1.2%	-7.9%	49.6K	-1.2M	-5.3K	0.05	123.07	21	1	638	80
2020-02-11	$39.82	$35.00	51.7%	12.1%	26.9%	60.6%	0.0%	11.6%	-10.8%	55.1K	-1.2M	-5.5K	0.00	111.98	284	0	658	81
2020-02-12	$40.67	$35.00	41.4%	11.9%	26.8%	42.2%	0.0%	9.9%	-9.5%	81.3K	-2.0M	-8.7K	0.00	112.31	110	0	938	81
2020-02-13	$41.15	$35.00	41.0%	11.8%	26.9%	41.5%	31.5%	14.2%	-1.2%	79.9K	-2.4M	-9.2K	0.50	106.13	2	1	1,009	81
2020-02-14	$41.98	$35.00	29.8%	8.5%	27.2%	22.2%	28.9%	-1.9%	12.9%	80.2K	-2.6M	-9.0K	0.20	116.32	5	1	1,011	80
2020-02-18	$42.48	$45.00	36.4%	10.4%	27.1%	33.5%	33.4%	3.3%	-14.4%	86.2K	-2.8M	-8.6K	0.00	111.34	4	0	1,010	81
2020-02-19	$42.90	$45.00	36.2%	10.4%	26.9%	33.2%	40.3%	10.7%	-8.6%	84.3K	-2.9M	-8.5K	0.00	112.72	25	0	1,014	81
2020-02-20	$42.49	$45.00	37.8%	10.8%	27.4%	36.0%	38.6%	3.3%	-1.3%	78.9K	-2.8M	-8.6K	0.34	96.35	124	42	1,016	81
2020-02-21	$41.72	$45.00	29.1%	8.3%	28.6%	20.9%	25.4%	3.1%	2.6%	103.8K	-2.6M	-9.0K	0.04	102.71	426	16	1,141	114
2020-02-24	$40.41	$40.00	30.3%	8.7%	31.1%	23.0%	25.5%	4.5%	-1.3%	73.9K	-1.5M	-6.1K	0.03	109.18	79	2	821	77
2020-02-25	$39.54	$40.00	33.5%	9.6%	32.1%	28.6%	31.2%	11.0%	-1.5%	61.0K	-1.1M	-5.5K	0.00	100.23	4	0	748	76
2020-02-26	$38.18	$40.00	31.9%	9.2%	34.2%	25.8%	0.0%	5.1%	-1.9%	53.3K	-880.5K	-5.2K	0.00	92.86	0	0	750	76
2020-02-27	$37.15	$40.00	43.0%	12.3%	35.4%	45.0%	0.0%	6.1%	1.4%	47.6K	-712.6K	-4.8K	0.00	97.15	1	0	750	76
2020-02-28	$36.50	$40.00	49.7%	14.3%	29.6%	56.5%	53.8%	5.6%	-8.7%	42.1K	-616.4K	-4.5K	4.00	84.30	1	4	750	76