CNNE Options History — June 2020

In June 2020, CNNE traded between $35.45 and $41.26. ATM implied volatility averaged 47.2%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 4.0% (HV 20d: 43.2%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2020-06-26: Highest Volume — 2,718 contracts
  • 2020-06-10: Largest IV spike — 42.0% change
  • 2020-06-12: Highest IV Rank — 53.0%
  • 2020-06-12: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.20$35.45$41.26$36.72$41.26
Max Pain$35.48$30.00$40.00$30.00$35.00
ATM IV47.2%28.8%62.1%42.3%53.2%
Expected Move13.6%9.8%17.8%12.1%15.3%
HV 20d43.2%37.7%49.2%38.2%44.1%
HV 60d71.4%52.9%89.2%89.2%52.9%
IV Rank35.3%13.4%53.0%29.5%42.5%
IV Percentile68.8%23.4%82.1%69.0%76.6%
Term Structure0.9%-4.3%4.1%-1.5%2.4%
VWIV45.8%21.4%55.2%32.7%52.9%
Skew 25d7.9%2.8%19.6%6.8%6.1%
Skew 10d13.4%-21.2%40.4%3.8%8.4%
Call IV 25d43.0%26.5%52.7%34.4%48.7%
Put IV 25d50.9%39.5%64.6%41.2%54.7%
Bid-Ask Spread %74.0148.42104.1897.7748.42
Gamma HHI0.550.360.750.720.36
Net GEX317.7K149.6K531.5K149.6K461.1K
Net DEX-9.7M-15.8M-5.1M-6.0M-15.8M
Net VEX-26.8K-35.7K-18.3K-20.7K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.450.000.01
Total Volume681.63602,71822416
Total OI5,367.2733,3798,0873,3797,268

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$36.72$30.0042.3%12.1%38.2%29.5%32.7%6.8%-1.5%149.6K-6.0M-20.7K0.0097.772202,784595
2020-06-02$36.21$30.0041.0%11.8%38.9%28.0%21.4%19.6%-1.1%152.3K-5.6M-21.0K0.00104.044102,803595
2020-06-03$36.27$30.0040.4%11.6%38.6%27.2%0.0%13.0%-1.0%155.4K-5.7M-21.2K0.00104.18002,843595
2020-06-04$35.45$0.0040.2%11.3%39.7%27.0%33.6%8.7%3.3%154.3K-5.1M-20.9K0.1279.42562692,843595
2020-06-05$36.92$40.0042.8%11.6%38.9%30.1%34.6%2.8%2.4%158.0K-6.1M-20.5K0.4481.4227122,844595
2020-06-08$37.56$40.0030.3%9.8%38.5%15.1%0.0%12.0%4.1%167.5K-6.6M-19.9K0.0081.725102,866606
2020-06-09$37.64$40.0028.8%10.5%37.7%13.4%0.0%12.1%2.9%172.7K-6.7M-20.0K0.0079.681102,917606
2020-06-10$39.98$40.0040.9%11.7%40.2%27.8%40.4%6.0%2.1%172.8K-8.4M-18.3K0.0184.5849842,918606
2020-06-11$37.07$40.0055.6%15.9%49.2%45.3%50.6%9.9%-2.0%179.0K-6.7M-22.7K0.0366.28400123,318606
2020-06-12$37.28$35.0062.1%17.8%49.2%53.0%55.2%12.3%-4.3%178.7K-6.9M-23.3K0.0262.632,371553,434617
2020-06-15$37.64$35.0054.1%15.5%46.9%43.5%54.7%7.9%-2.0%352.3K-9.8M-30.2K0.0066.2432315,253684
2020-06-16$37.90$35.0048.8%14.0%44.9%37.2%48.9%6.7%1.2%395.4K-10.1M-29.8K0.0170.44936145,376685
2020-06-17$37.68$35.0050.6%14.5%44.9%39.3%50.1%5.9%0.7%387.6K-9.7M-29.0K0.0859.43558425,517697
2020-06-18$37.22$35.0058.6%16.8%45.2%48.9%54.5%7.2%-0.5%334.9K-9.3M-30.1K0.0070.321,68335,892736
2020-06-19$38.50$35.0046.4%13.3%46.4%34.4%46.4%3.2%3.6%513.8K-13.1M-35.7K0.0667.741,036657,349738
2020-06-22$39.59$35.0046.1%13.2%46.9%34.0%46.4%7.0%3.6%531.5K-14.0M-33.1K0.1249.249011106,316768
2020-06-23$40.01$35.0053.9%15.5%46.6%43.3%45.4%3.2%-2.4%455.8K-13.7M-30.3K0.4573.725162335,943872
2020-06-24$39.53$35.0052.5%15.1%43.7%41.6%52.3%6.2%-0.7%456.5K-13.1M-31.6K0.0166.5954036,159872
2020-06-25$39.71$35.0048.5%13.9%43.6%36.9%48.2%7.3%2.8%504.8K-13.8M-31.6K0.0369.5620056,315874
2020-06-26$39.52$35.0048.0%13.8%43.6%36.2%48.1%4.8%3.0%507.7K-13.1M-30.5K0.0181.572,703156,219881
2020-06-29$40.76$35.0053.2%15.2%44.6%42.4%53.2%6.4%2.6%448.0K-14.6M-33.9K0.0663.13525336,199881
2020-06-30$41.26$35.0053.2%15.3%44.1%42.5%52.9%6.1%2.4%461.1K-15.8M-34.9K0.0148.4241156,370898