CNNE Options History — May 2020

In May 2020, CNNE traded between $30.55 and $36.74. ATM implied volatility averaged 53.5%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 0.7% (HV 20d: 52.8%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.24.

Notable Days

2020-05-26: Highest Volume — 1,007 contracts
2020-05-11: Largest IV spike — 198.1% change
2020-05-12: Highest IV Rank — 84.4%
2020-05-01: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.39	$30.55	$36.74	$30.57	$36.74
Max Pain	$29.63	$22.50	$30.00	$22.50	$30.00
ATM IV	53.5%	24.6%	88.4%	71.7%	41.9%
Expected Move	13.5%	11.3%	20.5%	20.5%	12.0%
HV 20d	52.8%	41.1%	80.4%	80.4%	41.1%
HV 60d	90.3%	89.5%	91.4%	89.5%	89.7%
IV Rank	42.8%	8.4%	84.4%	64.5%	29.0%
IV Percentile	75.3%	11.5%	97.2%	93.3%	67.9%
Term Structure	-1.0%	-13.4%	5.5%	-13.4%	-2.2%
VWIV	40.1%	20.7%	83.9%	83.9%	32.8%
Skew 25d	11.1%	6.0%	19.2%	13.3%	10.3%
Skew 10d	16.5%	-14.6%	32.7%	27.6%	-14.6%
Call IV 25d	40.9%	29.6%	64.6%	64.6%	34.1%
Put IV 25d	51.9%	42.7%	77.9%	77.9%	44.4%
Bid-Ask Spread %	85.33	59.99	97.39	84.33	96.78
Gamma HHI	0.73	0.53	0.93	0.64	0.71
Net GEX	182.6K	120.0K	267.9K	204.4K	148.9K
Net DEX	-5.9M	-7.7M	-4.9M	-5.7M	-6.0M
Net VEX	-25.5K	-30.1K	-21.1K	-30.1K	-21.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.24	0.00	3.00	0.00	0.00
Total Volume	116.5	0	1,007	522	5
Total OI	5,096	3,380	6,592	6,592	3,384

Daily Data (20 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
2020-05-01	$30.57	$22.50	71.7%	20.5%	80.4%	64.5%	83.9%	13.3%	-13.4%	204.4K	-5.7M	-30.1K	0.00	84.33	521	1	5,784	808
2020-05-04	$30.55	$30.00	77.2%	17.0%	72.3%	71.1%	0.0%	9.6%	-3.8%	194.6K	-5.4M	-28.0K	0.00	59.99	10	0	5,560	807
2020-05-05	$31.24	$30.00	80.8%	16.9%	52.1%	75.3%	0.0%	10.4%	-3.6%	212.6K	-6.1M	-28.4K	3.00	68.73	1	3	5,570	807
2020-05-06	$30.95	$30.00	81.3%	16.4%	51.5%	75.9%	54.7%	10.8%	-2.8%	207.8K	-5.7M	-27.8K	0.00	62.54	4	0	5,570	810
2020-05-07	$32.44	$30.00	47.5%	13.8%	54.1%	35.6%	45.4%	12.7%	2.5%	252.7K	-6.9M	-28.2K	0.00	84.76	6	0	5,572	810
2020-05-08	$33.27	$30.00	24.6%	11.4%	51.1%	8.4%	35.0%	6.5%	5.5%	260.7K	-7.7M	-28.4K	0.00	87.89	2	0	5,573	810
2020-05-11	$32.77	$30.00	73.4%	11.4%	47.9%	66.5%	21.9%	11.0%	5.5%	267.9K	-7.5M	-28.2K	0.00	96.15	14	0	5,573	810
2020-05-12	$31.96	$30.00	88.4%	12.6%	48.7%	84.4%	0.0%	6.9%	5.5%	244.4K	-6.3M	-27.0K	0.00	90.25	0	0	5,583	811
2020-05-13	$31.16	$30.00	48.6%	13.9%	49.2%	37.0%	0.0%	11.2%	0.0%	221.5K	-5.3M	-24.5K	0.00	85.15	503	0	5,583	811
2020-05-14	$31.48	$30.00	50.6%	14.5%	49.2%	39.4%	50.6%	19.2%	-1.9%	120.0K	-5.7M	-23.6K	0.00	97.39	0	1	5,351	811
2020-05-15	$33.04	$30.00	42.4%	12.2%	51.4%	29.6%	40.8%	8.9%	-0.3%	129.6K	-6.9M	-25.1K	0.07	85.63	14	1	5,351	811
2020-05-18	$34.48	$30.00	45.4%	13.0%	52.1%	33.2%	38.0%	11.8%	-2.6%	143.9K	-5.2M	-25.6K	0.02	79.07	118	2	3,090	582
2020-05-19	$34.97	$30.00	45.8%	13.1%	51.4%	33.6%	38.4%	11.8%	-2.5%	154.8K	-5.6M	-25.8K	0.00	85.60	7	0	3,209	583
2020-05-20	$35.24	$30.00	43.1%	12.4%	50.8%	30.5%	36.5%	11.1%	-0.6%	145.2K	-5.4M	-24.1K	0.00	84.55	50	0	3,004	583
2020-05-21	$35.06	$30.00	43.4%	12.5%	50.9%	30.8%	36.3%	11.9%	-1.1%	142.8K	-5.3M	-24.1K	0.00	86.94	24	0	3,004	583
2020-05-22	$34.78	$30.00	43.4%	12.4%	51.2%	30.7%	34.3%	11.7%	-1.8%	144.7K	-5.1M	-23.7K	0.20	89.75	10	2	2,991	583
2020-05-26	$34.51	$30.00	40.4%	11.6%	50.8%	27.2%	20.7%	16.7%	-1.1%	153.9K	-4.9M	-23.1K	0.00	93.14	1,007	0	3,000	585
2020-05-27	$36.41	$30.00	40.8%	11.7%	53.4%	27.7%	34.7%	9.2%	-1.3%	152.3K	-5.8M	-21.7K	1.00	95.50	10	10	2,795	585
2020-05-28	$36.27	$30.00	39.3%	11.3%	47.1%	25.9%	37.8%	6.0%	0.8%	149.0K	-5.6M	-21.7K	0.00	92.44	4	0	2,788	595
2020-05-29	$36.74	$30.00	41.9%	12.0%	41.1%	29.0%	32.8%	10.3%	-2.2%	148.9K	-6.0M	-21.1K	0.00	96.78	5	0	2,789	595