CNNE Options History — October 2020

In October 2020, CNNE traded between $36.84 and $40.75. ATM implied volatility averaged 36.0%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.5% (HV 20d: 28.5%). 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 7 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2020-10-27: Highest Volume — 98 contracts
  • 2020-10-14: Largest IV spike — 54.2% change
  • 2020-10-30: Highest IV Rank — 37.4%
  • 2020-10-30: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.07$36.84$40.75$37.68$36.84
Max Pain$30.91$30.00$40.00$40.00$30.00
ATM IV36.0%23.7%50.0%40.3%50.0%
Expected Move11.6%8.7%14.3%11.5%14.3%
HV 20d28.5%24.2%35.2%35.2%28.2%
HV 60d28.3%26.9%29.3%29.1%27.8%
IV Rank20.4%5.5%37.4%25.6%37.4%
IV Percentile34.8%2.8%70.2%46.8%70.2%
Term Structure-0.3%-4.7%12.4%12.4%-4.7%
VWIV40.0%28.0%49.1%28.0%49.1%
Skew 25d6.5%4.3%14.0%14.0%7.2%
Skew 10d3.1%-38.1%26.5%-38.1%8.1%
Call IV 25d37.4%27.5%45.8%27.5%45.8%
Put IV 25d43.9%36.3%52.9%41.5%52.9%
Bid-Ask Spread %94.2584.81111.01111.0195.33
Gamma HHI0.380.290.550.300.33
Net GEX156.2K115.3K270.2K125.6K115.3K
Net DEX-4.6M-5.7M-3.4M-4.1M-3.4M
Net VEX-14.7K-16.8K-11.2K-16.0K-11.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.005.500.000.00
Total Volume16.591198227
Total OI2,787.9092,6512,8562,8452,792

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$37.68$40.0040.3%11.5%35.2%25.6%28.0%14.0%12.4%125.6K-4.1M-16.0K0.00111.012202,649196
2020-10-02$37.66$40.0030.4%8.7%31.1%13.6%0.0%4.8%10.3%122.3K-4.0M-15.8K0.00102.99012,651196
2020-10-05$38.82$30.0029.9%11.7%31.0%13.0%40.6%5.8%0.6%142.3K-4.6M-16.2K0.0084.811302,651196
2020-10-06$38.83$30.0028.8%11.8%30.6%11.7%39.9%5.1%-0.8%146.2K-4.6M-16.0K0.0091.081102,651196
2020-10-07$38.39$30.0023.7%11.3%30.9%5.5%36.8%5.0%0.3%138.9K-4.3M-15.6K0.0091.33202,646196
2020-10-08$39.49$30.0025.1%11.2%31.8%7.2%38.9%6.3%1.4%163.0K-4.9M-16.2K0.0093.03202,648196
2020-10-09$40.34$30.0023.9%11.2%30.9%5.7%39.4%4.3%0.1%174.6K-5.4M-16.8K0.2992.45722,646196
2020-10-12$40.75$30.0025.1%11.3%29.8%7.1%36.9%5.6%0.5%176.6K-5.7M-16.4K0.1896.401732,644195
2020-10-13$39.73$30.0025.6%11.2%31.7%7.7%0.0%5.7%-0.3%184.3K-4.9M-15.4K0.0091.32602,653198
2020-10-14$39.58$30.0039.4%11.3%31.0%24.6%0.0%6.0%-0.2%189.6K-4.9M-15.3K0.0091.82102,658198
2020-10-15$39.98$30.0039.4%11.3%30.8%24.5%43.9%6.4%-0.8%223.1K-5.1M-15.8K0.5088.26212,658198
2020-10-16$39.94$30.0039.0%11.2%29.2%24.0%38.9%5.6%-0.6%270.2K-5.1M-15.3K0.2292.54922,656198
2020-10-19$39.38$30.0040.5%11.6%25.0%25.8%36.6%6.0%-1.8%141.8K-4.6M-14.4K0.0092.52302,56982
2020-10-20$39.27$30.0039.6%11.4%25.1%24.8%38.9%5.7%-1.9%141.8K-4.6M-14.0K0.6789.6815102,57082
2020-10-21$38.90$30.0039.1%11.2%24.2%24.2%37.3%5.3%-1.1%138.7K-4.4M-13.6K2.3397.21372,58492
2020-10-22$39.58$30.0039.5%11.3%24.5%24.6%43.4%5.4%-2.3%145.6K-4.7M-14.0K0.0094.18012,58697
2020-10-23$39.76$30.0039.9%11.4%24.5%25.1%45.4%7.9%-2.0%146.7K-4.8M-14.1K5.5093.182112,58697
2020-10-26$39.48$30.0042.8%12.3%24.2%28.6%37.2%7.8%-3.9%142.3K-4.6M-13.6K0.0395.083512,586106
2020-10-27$39.38$30.0042.6%12.2%24.4%28.4%38.2%7.1%-3.3%143.9K-4.6M-13.6K0.0097.899802,603105
2020-10-28$37.89$30.0044.5%12.8%27.0%30.8%47.5%6.1%-4.0%132.1K-3.9M-12.6K0.2794.881542,699105
2020-10-29$37.82$30.0042.9%12.3%26.6%28.8%42.9%9.3%-4.0%132.2K-3.8M-12.4K0.0496.445022,714109
2020-10-30$36.84$30.0050.0%14.3%28.2%37.4%49.1%7.2%-4.7%115.3K-3.4M-11.2K0.0095.33702,683109