CNNE Options History — March 2020

In March 2020, CNNE traded between $22.85 and $39.12. ATM implied volatility averaged 74.0%, placing in the 81.9% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 9.7% (HV 20d: 83.7%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.78.

Notable Days

  • 2020-03-25: Highest Volume — 4,229 contracts
  • 2020-03-05: Largest IV spike — 38.4% change
  • 2020-03-16: Highest IV Rank — 100.0%
  • 2020-03-23: Largest Expected Move — 29.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.22$22.85$39.12$39.12$33.21
Max Pain$30.25$25.00$35.00$35.00$30.00
ATM IV74.0%37.4%101.5%39.7%78.5%
Expected Move20.6%10.7%29.1%11.4%22.5%
HV 20d83.7%39.6%128.4%39.7%125.3%
HV 60d54.1%31.3%76.6%31.4%76.6%
IV Rank81.9%35.2%100.0%39.2%72.5%
IV Percentile95.7%69.0%100.0%79.4%96.0%
Term Structure-3.7%-10.7%23.1%-3.5%-3.6%
VWIV76.3%39.7%126.6%39.7%57.8%
Skew 25d15.0%-16.9%52.7%11.3%-16.9%
Skew 10d34.3%4.3%80.7%21.5%39.3%
Call IV 25d63.6%31.3%88.2%31.3%72.4%
Put IV 25d78.5%40.6%121.0%42.6%55.5%
Bid-Ask Spread %78.6057.81108.4293.7289.26
Gamma HHI0.680.260.920.770.78
Net GEX112.7K17.9K261.9K54.2K261.9K
Net DEX-3.7M-9.1M66.3K-1.0M-8.8M
Net VEX-12.8K-32.1K-2.4K-5.2K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.780.0035.500.000.73
Total Volume811.09104,2291119
Total OI3,355.5918276,7678276,767

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$39.12$35.0039.7%11.4%39.7%39.2%39.7%11.3%-3.5%54.2K-1.0M-5.2K0.0093.7211075176
2020-03-03$37.61$35.0041.9%12.0%39.6%43.1%47.9%5.5%-3.7%47.5K-793.4K-4.8K0.00103.330176076
2020-03-04$38.78$35.0037.4%10.7%41.4%35.2%41.9%9.2%-1.3%55.0K-1.0M-5.1K0.0085.760176076
2020-03-05$37.07$0.0051.7%12.4%44.0%59.9%0.0%3.5%-0.6%45.1K-712.3K-4.5K0.0087.250076077
2020-03-06$36.17$0.0066.4%13.1%44.4%85.4%46.6%5.3%-0.9%39.9K-589.2K-4.3K0.1580.1513276077
2020-03-09$33.08$30.0068.1%16.7%53.4%88.3%58.6%7.6%-4.7%25.2K-286.6K-3.3K0.0077.462,010576778
2020-03-10$33.24$30.0063.6%16.1%53.6%80.5%58.3%8.5%-4.2%175.0K-3.0M-11.7K0.3373.9639132,77783
2020-03-11$31.31$25.0062.3%17.9%56.5%83.3%62.8%8.5%-5.4%140.6K-2.0M-9.3K0.0073.300182,76593
2020-03-12$29.35$30.0070.3%20.2%58.0%98.1%72.5%13.6%-8.3%97.4K-1.2M-7.5K3.0873.9013402,765108
2020-03-13$30.82$30.0066.2%19.0%61.7%90.4%79.8%10.4%-5.0%124.0K-1.8M-8.9K0.0072.320102,775141
2020-03-16$27.59$30.0074.0%21.2%69.1%100.0%95.7%24.4%-10.0%68.9K-666.6K-5.4K35.5072.412712,775155
2020-03-17$26.81$25.0079.4%22.8%68.0%100.0%73.2%20.8%-6.8%48.1K-235.9K-3.9K1.0078.19662,777215
2020-03-18$22.85$30.0091.6%26.3%82.3%100.0%50.7%13.4%-10.7%17.9K66.3K-2.4K0.0183.862,012122,775218
2020-03-19$28.10$30.0092.6%26.6%118.0%100.0%82.8%21.4%-5.6%64.3K-2.8M-8.0K0.0166.002,001212,787261
2020-03-20$30.74$30.0098.1%28.1%124.4%100.0%101.3%21.5%0.3%84.9K-5.7M-12.1K0.0160.533,601413,393279
2020-03-23$30.05$30.00101.5%29.1%124.3%100.0%106.2%24.6%-5.0%155.8K-9.1M-21.8K3.3357.813105,462276
2020-03-24$32.35$30.0087.1%25.0%128.1%82.8%126.6%52.7%23.1%136.8K-8.2M-19.4K0.07108.42261194,389277
2020-03-25$32.10$30.0096.0%27.5%127.8%93.5%86.4%21.8%-9.7%167.5K-8.5M-19.9K0.1472.203,7055244,649284
2020-03-26$33.17$30.0080.6%23.1%128.4%75.1%112.4%21.2%-2.8%199.6K-8.8M-29.1K0.0171.503,250425,293803
2020-03-27$32.91$30.0088.2%25.3%128.3%84.1%89.5%20.7%-6.4%226.4K-8.8M-32.1K0.0874.053635,873843
2020-03-30$32.45$30.0092.9%26.6%125.3%89.7%112.0%20.3%-7.8%242.4K-8.0M-30.9K0.0073.810235,909838
2020-03-31$33.21$30.0078.5%22.5%125.3%72.5%57.8%-16.9%-3.6%261.9K-8.8M-31.2K0.7389.261185,909858