CNNE Options History — November 2020

In November 2020, CNNE traded between $36.47 and $41.65. ATM implied volatility averaged 37.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 3.4% (HV 20d: 34.0%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.79.

Notable Days

2020-11-11: Highest Volume — 119 contracts
2020-11-09: Largest IV drop — 25.6% change
2020-11-02: Highest IV Rank — 41.2%
2020-11-02: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.74	$36.47	$41.65	$36.47	$39.59
Max Pain	$38.50	$30.00	$40.00	$30.00	$40.00
ATM IV	37.4%	30.8%	53.1%	53.1%	33.7%
Expected Move	10.4%	8.8%	15.2%	15.2%	9.7%
HV 20d	34.0%	25.8%	36.5%	25.8%	34.1%
HV 60d	31.2%	27.9%	32.4%	27.9%	30.8%
IV Rank	21.3%	12.4%	41.2%	41.2%	16.0%
IV Percentile	31.8%	13.9%	75.4%	75.4%	20.2%
Term Structure	-0.6%	-8.6%	2.3%	-7.9%	-1.0%
VWIV	35.9%	21.1%	50.5%	47.5%	34.2%
Skew 25d	4.2%	-1.8%	9.1%	9.1%	-0.4%
Skew 10d	6.4%	-9.2%	22.9%	8.0%	-1.1%
Call IV 25d	34.8%	29.9%	47.5%	46.9%	36.4%
Put IV 25d	39.0%	29.5%	56.0%	56.0%	35.9%
Bid-Ask Spread %	95.71	84.52	109.99	94.88	102.45
Gamma HHI	0.41	0.33	0.55	0.33	0.37
Net GEX	158.5K	113.9K	245.3K	113.9K	129.1K
Net DEX	-4.0M	-5.7M	-2.1M	-3.2M	-2.1M
Net VEX	-12.3K	-14.0K	-10.5K	-10.5K	-11.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.79	0.00	40.00	0.30	0.05
Total Volume	33.8	0	119	13	20
Total OI	2,701.85	1,999	3,057	2,799	2,096

Daily Data (20 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
2020-11-02	$36.47	$30.00	53.1%	15.2%	25.8%	41.2%	47.5%	9.1%	-7.9%	113.9K	-3.2M	-10.5K	0.30	94.88	10	3	2,690	109
2020-11-03	$37.61	$30.00	46.0%	13.2%	28.4%	32.5%	0.0%	4.8%	-6.8%	126.0K	-3.7M	-11.4K	0.00	93.99	12	0	2,690	109
2020-11-04	$39.69	$30.00	47.4%	13.6%	34.3%	34.3%	49.0%	5.8%	-8.6%	153.1K	-4.6M	-13.1K	0.89	97.12	9	8	2,700	109
2020-11-05	$39.75	$40.00	46.0%	10.8%	32.8%	32.5%	50.5%	6.2%	-0.3%	155.4K	-4.7M	-13.0K	0.67	84.52	3	2	2,698	109
2020-11-06	$39.52	$40.00	49.3%	11.3%	31.9%	36.6%	41.0%	6.7%	-1.3%	147.5K	-4.6M	-12.8K	0.03	86.55	67	2	2,701	109
2020-11-09	$40.42	$40.00	36.7%	9.5%	32.8%	21.2%	32.8%	4.7%	1.4%	179.3K	-5.1M	-13.1K	0.06	90.59	50	3	2,766	109
2020-11-10	$41.65	$40.00	37.1%	9.5%	33.1%	21.7%	21.1%	3.1%	1.8%	199.1K	-5.7M	-14.0K	0.67	90.53	3	2	2,784	112
2020-11-11	$40.40	$40.00	35.4%	10.1%	35.0%	19.6%	35.2%	6.2%	0.8%	173.7K	-5.0M	-12.9K	2.84	92.16	31	88	2,784	114
2020-11-12	$39.27	$40.00	36.0%	10.3%	36.3%	20.4%	40.7%	6.1%	0.7%	152.5K	-4.3M	-12.6K	3.00	95.68	4	12	2,789	198
2020-11-13	$39.62	$40.00	33.7%	9.7%	36.5%	17.6%	0.0%	6.1%	2.3%	163.5K	-4.5M	-12.6K	0.00	92.92	0	0	2,785	205
2020-11-16	$39.99	$40.00	33.9%	9.7%	36.3%	16.6%	36.2%	5.7%	2.0%	182.6K	-4.7M	-12.6K	0.15	90.93	26	4	2,786	205
2020-11-17	$40.27	$40.00	34.6%	9.9%	36.3%	17.2%	30.3%	5.0%	1.4%	188.9K	-4.9M	-12.7K	0.00	97.89	5	0	2,806	207
2020-11-18	$39.97	$40.00	34.2%	9.8%	36.3%	16.5%	0.0%	4.5%	1.9%	214.3K	-4.7M	-12.4K	40.00	99.25	1	40	2,810	207
2020-11-19	$39.97	$40.00	33.1%	9.5%	35.8%	15.2%	30.3%	4.3%	0.1%	245.3K	-4.6M	-12.3K	0.07	99.68	27	2	2,810	247
2020-11-20	$39.68	$40.00	31.9%	9.2%	35.8%	13.8%	34.7%	1.1%	0.1%	125.5K	-4.1M	-11.8K	4.25	93.46	12	51	2,800	247
2020-11-23	$39.76	$40.00	31.1%	8.9%	35.7%	12.8%	31.4%	2.6%	0.4%	118.0K	-2.1M	-11.7K	0.00	104.17	59	0	1,788	211
2020-11-24	$39.66	$40.00	30.8%	8.8%	35.7%	12.4%	32.7%	0.4%	1.5%	125.2K	-2.1M	-11.4K	0.00	95.37	3	0	1,831	211
2020-11-25	$40.80	$40.00	32.1%	9.2%	33.9%	14.0%	32.1%	4.0%	0.1%	137.2K	-2.6M	-12.2K	0.00	102.13	81	0	1,834	211
2020-11-27	$40.68	$40.00	32.1%	9.2%	34.0%	14.0%	31.1%	-1.8%	0.2%	140.4K	-2.6M	-12.3K	0.00	109.99	36	0	1,849	211
2020-11-30	$39.59	$40.00	33.7%	9.7%	34.1%	16.0%	34.2%	-0.4%	-1.0%	129.1K	-2.1M	-11.2K	0.05	102.45	19	1	1,885	211