CNNE Options History — August 2020

In August 2020, CNNE traded between $36.86 and $39.02. ATM implied volatility averaged 39.0%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.4% (HV 20d: 25.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2020-08-06: Highest Volume — 163 contracts
2020-08-07: Largest IV drop — 22.8% change
2020-08-04: Highest IV Rank — 40.1%
2020-08-04: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.83	$36.86	$39.02	$38.19	$37.87
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	39.0%	31.3%	52.3%	51.2%	33.6%
Expected Move	11.2%	9.0%	15.0%	14.7%	9.6%
HV 20d	25.6%	19.7%	32.5%	32.5%	21.6%
HV 60d	35.0%	32.8%	37.8%	37.8%	32.8%
IV Rank	24.1%	14.7%	40.1%	38.8%	17.5%
IV Percentile	40.0%	19.0%	73.0%	71.4%	26.2%
Term Structure	2.4%	-7.9%	7.5%	-6.6%	2.1%
VWIV	39.2%	31.0%	53.0%	51.1%	34.0%
Skew 25d	6.2%	4.3%	9.8%	6.3%	5.0%
Skew 10d	11.5%	-1.4%	29.4%	14.8%	29.4%
Call IV 25d	36.6%	27.9%	52.6%	51.0%	33.8%
Put IV 25d	42.8%	36.4%	58.9%	57.3%	38.8%
Bid-Ask Spread %	79.10	34.95	99.72	47.81	97.70
Gamma HHI	0.37	0.24	0.50	0.42	0.27
Net GEX	244.0K	89.8K	378.8K	284.4K	107.4K
Net DEX	-8.8M	-11.2M	-3.7M	-10.4M	-4.1M
Net VEX	-22.7K	-29.0K	-18.6K	-29.0K	-19.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.00	4.00	0.30	0.38
Total Volume	32.952	0	163	43	22
Total OI	5,084.429	2,834	6,021	5,899	2,916

Daily Data (21 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
2020-08-03	$38.19	$35.00	51.2%	14.7%	32.5%	38.8%	51.1%	6.3%	-6.6%	284.4K	-10.4M	-29.0K	0.30	47.81	33	10	5,086	813
2020-08-04	$38.16	$35.00	52.3%	15.0%	31.9%	40.1%	52.0%	6.3%	-6.9%	282.9K	-10.3M	-28.8K	0.00	92.72	11	0	5,117	823
2020-08-05	$38.64	$35.00	51.4%	14.7%	30.2%	39.1%	53.0%	5.3%	-7.9%	283.6K	-11.0M	-28.2K	0.04	90.15	24	1	5,117	829
2020-08-06	$37.58	$35.00	49.8%	12.3%	30.3%	37.2%	40.7%	7.3%	3.2%	303.0K	-9.8M	-27.7K	0.01	73.19	162	1	5,133	828
2020-08-07	$37.92	$35.00	38.4%	11.5%	29.7%	23.3%	40.5%	7.6%	4.6%	332.9K	-10.5M	-25.9K	0.01	75.50	95	1	5,110	829
2020-08-10	$38.13	$35.00	37.3%	11.2%	29.4%	22.0%	38.4%	6.9%	5.6%	318.2K	-10.9M	-24.9K	0.10	76.83	21	2	5,133	829
2020-08-11	$38.20	$35.00	38.4%	11.2%	29.0%	23.3%	39.1%	5.7%	6.3%	317.3K	-11.0M	-24.5K	0.08	48.08	13	1	5,146	829
2020-08-12	$38.06	$35.00	36.4%	10.4%	27.1%	20.9%	36.6%	6.0%	6.3%	320.1K	-10.9M	-24.1K	0.00	84.98	7	0	5,147	830
2020-08-13	$38.15	$35.00	36.0%	10.3%	26.7%	20.4%	36.2%	6.2%	5.9%	303.2K	-11.2M	-23.1K	0.00	84.08	7	0	5,149	830
2020-08-14	$37.55	$35.00	35.7%	10.2%	27.1%	20.0%	0.0%	8.8%	7.5%	336.1K	-10.7M	-22.1K	0.00	88.27	0	0	5,152	830
2020-08-17	$37.20	$35.00	40.1%	11.5%	26.3%	25.3%	40.6%	5.6%	3.8%	350.3K	-10.5M	-21.2K	0.00	88.82	14	0	5,152	830
2020-08-18	$36.86	$35.00	37.8%	10.8%	25.2%	22.5%	45.7%	5.8%	6.3%	272.7K	-10.6M	-19.7K	0.83	34.95	6	5	5,164	830
2020-08-19	$37.20	$35.00	38.2%	11.0%	25.7%	23.1%	32.9%	4.3%	5.8%	378.8K	-9.7M	-21.5K	0.00	98.96	25	0	5,168	813
2020-08-20	$37.61	$35.00	33.0%	9.5%	22.2%	16.8%	38.1%	6.1%	2.2%	329.7K	-10.8M	-20.2K	4.00	89.89	10	40	5,168	813
2020-08-21	$37.03	$35.00	38.0%	10.9%	20.2%	22.9%	38.8%	4.7%	2.5%	89.9K	-11.0M	-19.4K	0.42	95.53	24	10	5,168	853
2020-08-24	$37.10	$35.00	37.4%	10.7%	20.2%	22.1%	32.9%	4.3%	0.7%	89.8K	-3.7M	-18.6K	0.00	36.14	15	0	2,564	270
2020-08-25	$37.42	$35.00	36.8%	10.5%	20.4%	21.4%	31.0%	5.0%	1.9%	93.7K	-3.8M	-19.2K	0.06	84.42	34	2	2,572	270
2020-08-26	$37.90	$35.00	31.3%	9.0%	19.7%	14.7%	35.3%	5.5%	3.3%	101.5K	-4.1M	-19.3K	0.13	95.74	23	3	2,599	270
2020-08-27	$39.02	$35.00	33.5%	9.6%	22.3%	17.4%	33.0%	9.8%	2.2%	115.7K	-4.7M	-20.1K	0.00	77.53	21	0	2,627	269
2020-08-28	$38.65	$35.00	33.5%	9.6%	21.0%	17.3%	33.7%	7.4%	2.5%	113.4K	-4.5M	-20.0K	0.29	99.72	38	11	2,628	269
2020-08-31	$37.87	$35.00	33.6%	9.6%	21.6%	17.5%	34.0%	5.0%	2.1%	107.4K	-4.1M	-19.0K	0.38	97.70	16	6	2,640	276