CNNE Options History — April 2020

In April 2020, CNNE traded between $26.53 and $33.53. ATM implied volatility averaged 70.6%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 37.5% (HV 20d: 108.1%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2020-04-03: Highest Volume — 5,323 contracts
  • 2020-04-06: Largest IV drop — 28.9% change
  • 2020-04-01: Highest IV Rank — 97.6%
  • 2020-04-01: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.92$26.53$33.53$31.09$31.65
Max Pain$22.86$22.50$30.00$30.00$22.50
ATM IV70.6%60.5%99.5%99.5%70.6%
Expected Move20.2%17.3%28.5%28.5%20.2%
HV 20d108.1%78.9%139.0%126.2%83.1%
HV 60d86.3%77.6%89.3%77.6%89.3%
IV Rank63.2%51.2%97.6%97.6%63.2%
IV Percentile91.8%84.1%99.6%99.6%92.1%
Term Structure-10.9%-15.8%-7.0%-11.9%-14.7%
VWIV67.3%59.5%90.6%90.6%62.4%
Skew 25d12.0%2.6%23.1%23.1%11.1%
Skew 10d25.6%0.2%43.8%43.8%31.2%
Call IV 25d63.9%54.3%84.8%84.8%63.0%
Put IV 25d75.9%60.9%107.8%107.8%74.1%
Bid-Ask Spread %81.8567.8496.1777.1787.71
Gamma HHI0.660.410.790.780.67
Net GEX206.0K113.4K275.2K217.5K226.4K
Net DEX-5.2M-9.0M-1.6M-6.5M-6.9M
Net VEX-23.5K-34.0K-16.1K-28.1K-31.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.670.080.04
Total Volume715.57105,323870
Total OI6,182.9055,3696,7986,7736,529

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$31.09$30.0099.5%28.5%126.2%97.6%90.6%23.1%-11.9%217.5K-6.5M-28.1K0.0077.17085,920853
2020-04-02$29.09$22.5076.9%22.1%127.2%70.7%72.1%17.5%-13.3%186.5K-3.9M-23.4K0.0867.842625,920854
2020-04-03$26.53$22.5086.5%23.7%130.3%82.1%68.4%17.6%-15.8%113.4K-1.6M-16.3K0.0069.465,307165,944854
2020-04-06$30.61$22.5061.5%18.2%138.6%52.3%63.1%12.2%-7.2%216.1K-5.5M-21.3K0.0371.68444155,215859
2020-04-07$31.34$22.5065.5%19.3%139.0%57.1%59.5%2.6%-10.6%200.9K-5.1M-19.8K0.0083.55014,688874
2020-04-08$31.64$22.5063.5%18.2%137.4%54.7%0.0%13.3%-7.0%210.6K-5.3M-19.4K0.0077.69014,688874
2020-04-09$33.43$22.5064.7%18.6%136.4%56.1%66.2%10.3%-9.3%275.2K-7.5M-21.4K0.0071.603,50514,688873
2020-04-13$31.76$22.5070.7%20.3%136.9%63.2%0.0%11.9%-11.6%266.6K-5.8M-21.8K0.0076.13005,674874
2020-04-14$31.59$22.5073.2%21.0%130.4%66.2%0.0%13.6%-14.4%228.1K-4.7M-19.5K0.0082.34005,328874
2020-04-15$31.05$22.5070.1%20.1%130.1%62.6%65.3%10.6%-11.6%192.3K-4.2M-18.8K0.0078.62205,328874
2020-04-16$30.77$22.5069.0%19.8%114.4%61.3%63.2%11.6%-10.8%190.7K-3.8M-17.7K0.4178.9049205,329874
2020-04-17$31.55$22.5069.4%19.9%89.5%61.7%0.0%11.5%-12.2%208.3K-4.6M-19.2K0.0080.03005,328894
2020-04-20$30.72$22.5070.8%20.3%84.4%63.4%62.5%12.5%-10.4%190.9K-3.8M-17.1K0.0083.561204,575794
2020-04-21$30.20$22.5072.6%20.8%84.2%65.6%67.6%10.1%-9.4%176.0K-3.3M-16.1K0.0088.135,00004,579794
2020-04-22$29.76$22.5068.0%19.5%79.7%60.1%0.0%12.4%-7.6%165.9K-4.4M-26.1K1.0086.29445,190794
2020-04-23$30.22$22.5067.7%19.4%80.0%59.7%71.1%4.1%-7.7%174.3K-4.9M-27.6K0.0096.1750205,210798
2020-04-24$30.43$22.5067.6%19.4%78.9%59.6%60.1%12.1%-11.1%196.7K-5.7M-31.6K1.2089.4310125,712798
2020-04-27$31.29$22.5067.1%19.2%79.7%59.0%63.4%10.7%-12.1%215.2K-6.6M-32.1K0.5094.85215,722808
2020-04-28$31.08$22.5067.3%19.3%79.6%59.2%81.3%13.5%-10.8%213.9K-6.3M-30.9K0.2585.32415,720809
2020-04-29$33.53$22.5060.5%17.3%83.9%51.2%59.7%10.2%-9.9%259.4K-9.0M-34.0K1.6792.29355,720808
2020-04-30$31.65$22.5070.6%20.2%83.1%63.2%62.4%11.1%-14.7%226.4K-6.9M-31.6K0.0487.716735,722807