CNNE Options History — September 2020

In September 2020, CNNE traded between $34.72 and $38.42. ATM implied volatility averaged 39.8%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.6% (HV 20d: 30.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2020-09-18: Highest Volume — 117 contracts
2020-09-21: Largest IV spike — 92.0% change
2020-09-21: Highest IV Rank — 61.3%
2020-09-21: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.35	$34.72	$38.42	$38.42	$37.17
Max Pain	$39.29	$35.00	$40.00	$35.00	$40.00
ATM IV	39.8%	31.6%	69.7%	34.0%	35.9%
Expected Move	11.3%	9.1%	20.0%	9.8%	10.3%
HV 20d	30.2%	21.8%	34.9%	22.3%	34.7%
HV 60d	29.2%	28.0%	32.7%	32.7%	29.6%
IV Rank	25.0%	15.0%	61.3%	18.0%	20.3%
IV Percentile	40.4%	18.7%	88.5%	26.6%	26.6%
Term Structure	4.2%	-16.6%	7.5%	2.2%	7.2%
VWIV	36.4%	31.0%	43.6%	38.5%	35.8%
Skew 25d	8.2%	-0.2%	44.5%	5.4%	6.2%
Skew 10d	3.8%	-37.4%	27.5%	9.9%	-20.3%
Call IV 25d	34.8%	26.8%	52.4%	33.1%	31.9%
Put IV 25d	43.0%	34.6%	96.9%	38.4%	38.1%
Bid-Ask Spread %	98.00	80.90	122.46	99.56	109.85
Gamma HHI	0.25	0.23	0.28	0.28	0.28
Net GEX	96.0K	67.8K	118.5K	115.5K	115.0K
Net DEX	-3.5M	-4.4M	-2.8M	-4.4M	-3.8M
Net VEX	-16.9K	-20.1K	-14.2K	-19.4K	-15.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.00	15.29	15.29	0.10
Total Volume	34.524	1	117	114	23
Total OI	3,019.619	2,834	3,258	2,928	2,847

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
2020-09-01	$38.42	$35.00	34.0%	9.8%	22.3%	18.0%	0.0%	5.4%	2.2%	115.5K	-4.4M	-19.4K	15.29	99.56	7	107	2,652	276
2020-09-02	$38.40	$35.00	34.7%	10.0%	21.8%	18.8%	38.5%	5.3%	3.3%	105.2K	-4.4M	-20.1K	3.40	97.83	15	51	2,657	381
2020-09-03	$36.71	$40.00	45.1%	12.5%	25.2%	31.5%	43.6%	6.2%	3.9%	90.4K	-3.5M	-18.4K	1.14	85.35	21	24	2,663	334
2020-09-04	$35.77	$40.00	42.5%	11.9%	26.4%	28.3%	39.1%	6.5%	4.7%	75.7K	-3.0M	-17.4K	0.76	90.88	25	19	2,681	358
2020-09-08	$36.38	$40.00	48.7%	12.7%	27.2%	35.8%	0.0%	6.7%	3.2%	83.5K	-3.3M	-17.8K	0.00	80.90	106	0	2,701	375
2020-09-09	$36.77	$40.00	41.9%	12.0%	27.5%	27.6%	0.0%	7.9%	3.5%	92.3K	-3.7M	-18.6K	0.00	83.13	5	0	2,805	375
2020-09-10	$36.37	$40.00	40.7%	11.7%	27.7%	26.1%	0.0%	5.2%	4.6%	84.4K	-3.4M	-18.1K	0.00	91.37	8	0	2,806	375
2020-09-11	$35.61	$40.00	38.7%	11.1%	28.4%	23.7%	0.0%	6.1%	4.7%	67.8K	-2.9M	-16.3K	0.00	87.53	1	0	2,804	375
2020-09-14	$36.66	$40.00	37.0%	10.6%	30.3%	21.6%	0.0%	5.6%	5.4%	83.9K	-3.5M	-16.9K	0.00	94.27	0	1	2,805	368
2020-09-15	$36.67	$40.00	35.8%	10.3%	30.1%	20.1%	31.0%	3.0%	5.8%	86.4K	-3.6M	-16.5K	0.02	97.05	48	1	2,805	367
2020-09-16	$37.52	$40.00	31.6%	9.1%	31.0%	15.0%	31.5%	2.3%	7.5%	118.5K	-4.0M	-17.9K	0.28	98.64	25	7	2,853	368
2020-09-17	$37.24	$40.00	37.7%	10.8%	31.0%	22.4%	0.0%	5.2%	5.9%	110.9K	-4.0M	-17.4K	0.00	98.94	10	0	2,884	364
2020-09-18	$36.39	$40.00	36.3%	10.4%	31.8%	20.7%	32.5%	6.2%	7.0%	107.6K	-3.6M	-16.3K	0.00	95.69	117	0	2,894	364
2020-09-21	$34.94	$40.00	69.7%	20.0%	34.4%	61.3%	0.0%	44.5%	-16.6%	100.1K	-2.8M	-15.2K	0.00	122.46	4	0	2,644	190
2020-09-22	$35.36	$40.00	37.0%	10.6%	34.7%	21.6%	0.0%	5.1%	6.1%	94.6K	-3.0M	-15.0K	0.00	102.69	1	0	2,646	190
2020-09-23	$34.72	$40.00	37.5%	10.7%	34.9%	22.2%	33.9%	13.4%	6.5%	88.8K	-3.3M	-17.2K	0.00	99.37	11	0	2,646	190
2020-09-24	$34.90	$40.00	37.6%	10.8%	34.6%	22.3%	0.0%	14.6%	6.8%	94.5K	-3.1M	-16.1K	0.00	108.14	6	0	2,652	190
2020-09-25	$35.22	$40.00	38.2%	10.9%	32.7%	23.1%	38.2%	16.1%	5.5%	98.7K	-3.0M	-15.4K	0.13	102.24	8	1	2,651	190
2020-09-28	$35.98	$35.00	37.6%	10.8%	33.9%	22.3%	37.6%	-0.2%	6.2%	100.5K	-3.1M	-14.2K	0.00	110.80	56	0	2,653	191
2020-09-29	$36.12	$40.00	38.1%	10.9%	33.4%	22.9%	38.1%	0.3%	5.8%	101.8K	-3.2M	-14.4K	0.70	101.27	10	7	2,651	191
2020-09-30	$37.17	$40.00	35.9%	10.3%	34.7%	20.3%	35.8%	6.2%	7.2%	115.0K	-3.8M	-15.7K	0.10	109.85	21	2	2,651	196