CNNE Options History — July 2020

In July 2020, CNNE traded between $37.44 and $41.29. ATM implied volatility averaged 49.8%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 16.3% (HV 20d: 33.5%). Max pain ranged from $30.00 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 0.49.

Notable Days

  • 2020-07-06: Highest Volume — 934 contracts
  • 2020-07-13: Largest IV spike — 26.5% change
  • 2020-07-14: Highest IV Rank — 46.2%
  • 2020-07-14: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.58$37.44$41.29$40.97$37.58
Max Pain$31.59$30.00$35.00$35.00$35.00
ATM IV49.8%44.2%57.2%49.3%47.3%
Expected Move14.6%13.5%15.5%14.1%13.6%
HV 20d33.5%27.7%44.3%44.3%31.7%
HV 60d42.1%38.5%44.8%44.8%38.8%
IV Rank37.4%30.4%46.2%37.8%34.1%
IV Percentile70.9%63.5%79.8%72.2%63.5%
Term Structure-2.2%-5.9%5.4%4.6%-4.1%
VWIV50.9%43.9%55.7%49.2%54.0%
Skew 25d7.5%2.7%9.3%5.7%7.5%
Skew 10d16.1%9.1%26.8%9.1%11.6%
Call IV 25d47.4%44.4%49.9%46.0%48.7%
Put IV 25d54.9%51.7%58.6%51.7%56.3%
Bid-Ask Spread %78.7050.9288.1072.2285.92
Gamma HHI0.470.340.750.380.45
Net GEX508.4K237.2K1.4M498.9K286.8K
Net DEX-13.6M-18.5M-9.3M-15.9M-9.7M
Net VEX-34.9K-42.2K-29.8K-36.3K-29.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.007.060.020.61
Total Volume195.3182093430229
Total OI6,973.1365,5608,2027,4635,880

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$40.97$35.0049.3%14.1%44.3%37.8%49.2%5.7%4.6%498.9K-15.9M-36.3K0.0272.2229666,566897
2020-07-02$40.48$35.0047.5%13.6%43.5%35.7%47.5%5.9%5.4%519.3K-15.5M-38.4K0.0084.6660226,753902
2020-07-06$40.46$30.0048.0%15.1%41.7%36.2%52.8%9.3%-1.9%580.7K-16.4M-42.2K0.1074.55846887,270902
2020-07-07$39.68$30.0048.2%15.1%42.3%35.2%55.7%7.8%-1.5%579.0K-15.0M-41.4K0.3577.63105377,300902
2020-07-08$40.88$30.0046.8%15.3%43.3%33.5%52.7%7.3%-2.1%620.5K-17.3M-41.3K0.0575.93203107,284901
2020-07-09$39.80$30.0047.5%15.2%39.2%34.4%53.0%7.8%-2.1%602.8K-14.9M-40.0K0.0577.777847,189891
2020-07-10$40.50$30.0044.2%14.8%27.7%30.4%50.6%7.8%-0.6%661.8K-16.5M-39.7K0.0076.585407,236891
2020-07-13$39.83$30.0056.0%15.4%28.7%44.7%54.0%8.8%-2.0%666.9K-14.9M-37.8K0.0377.317827,213891
2020-07-14$40.25$30.0057.2%15.5%28.7%46.2%55.1%8.3%-3.0%732.5K-15.8M-36.8K0.0660.2912077,215890
2020-07-15$41.29$30.0053.6%15.4%29.7%41.8%54.2%8.6%-3.3%771.9K-18.5M-36.1K0.2576.837391847,251886
2020-07-16$40.59$30.0051.3%14.7%30.5%39.0%51.3%7.6%-1.4%974.7K-17.0M-35.4K0.0050.9215107,190862
2020-07-17$40.50$30.0049.6%14.2%30.0%36.9%46.0%7.1%-2.6%1.4M-17.6M-33.0K0.0481.027137,110862
2020-07-20$39.62$30.0047.2%13.5%29.2%34.0%0.0%6.7%-1.6%240.7K-11.5M-32.3K0.7780.6913104,889671
2020-07-21$40.32$30.0048.3%13.9%28.2%35.4%47.6%8.5%-2.8%238.2K-12.2M-32.1K0.0087.362704,902681
2020-07-22$40.25$30.0047.9%13.7%28.0%34.8%43.9%8.3%-1.9%237.2K-12.1M-31.7K0.1988.10104204,885681
2020-07-23$38.65$30.0047.8%13.7%31.3%34.7%51.1%2.7%-3.0%256.3K-10.7M-31.3K7.0684.69171204,954667
2020-07-24$37.49$30.0052.6%15.1%32.9%40.5%47.2%8.4%-4.5%261.6K-9.3M-31.3K1.0079.7410104,965787
2020-07-27$37.44$35.0053.2%15.3%32.9%41.3%52.8%7.8%-5.3%269.1K-9.3M-30.5K0.1083.596164,961797
2020-07-28$37.49$35.0053.7%15.4%30.4%41.9%51.5%8.7%-4.2%267.2K-9.3M-29.8K0.0086.474604,965803
2020-07-29$38.24$35.0048.0%13.8%31.1%35.0%48.0%6.2%-4.4%266.8K-10.2M-29.9K0.0183.3410614,990803
2020-07-30$38.40$35.0050.8%14.6%31.2%38.4%50.9%7.6%-5.9%269.9K-10.5M-30.3K0.0085.793105,072802
2020-07-31$37.58$35.0047.3%13.6%31.7%34.1%54.0%7.5%-4.1%286.8K-9.7M-29.8K0.6185.9218115,078802