CNNE Options History — December 2020

In December 2020, CNNE traded between $40.54 and $44.59. ATM implied volatility averaged 41.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 15.7% (HV 20d: 25.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2020-12-14: Highest Volume — 114 contracts
  • 2020-12-24: Largest IV spike — 88.3% change
  • 2020-12-31: Highest IV Rank — 61.4%
  • 2020-12-31: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.00$40.54$44.59$40.54$44.36
Max Pain$43.18$40.00$45.00$40.00$45.00
ATM IV41.0%28.5%71.0%34.0%71.0%
Expected Move11.9%8.2%20.3%9.7%20.3%
HV 20d25.4%21.2%34.4%34.4%22.5%
HV 60d29.2%27.8%30.6%30.6%28.2%
IV Rank24.9%9.5%61.4%16.3%61.4%
IV Percentile36.9%6.7%90.9%20.6%90.9%
Term Structure-6.0%-42.4%12.4%-1.6%-42.4%
VWIV32.9%29.3%44.6%29.6%31.5%
Skew 25d-3.4%-34.8%22.0%3.6%-12.3%
Skew 10d-14.0%-54.5%49.2%2.8%-52.3%
Call IV 25d47.2%23.1%98.3%25.5%98.3%
Put IV 25d43.8%19.5%86.0%29.1%86.0%
Bid-Ask Spread %110.8587.16131.75109.56131.09
Gamma HHI0.360.300.410.370.30
Net GEX163.7K100.3K214.6K145.2K100.3K
Net DEX-3.8M-4.9M-2.6M-2.6M-4.9M
Net VEX-12.3K-13.7K-10.7K-12.0K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.004.294.290.00
Total Volume29.95501143713
Total OI2,210.5912,0412,3692,1102,212

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$40.54$40.0034.0%9.7%34.4%16.3%29.6%3.6%-1.6%145.2K-2.6M-12.0K4.29109.567301,899211
2020-12-02$41.01$40.0034.4%9.9%33.1%16.9%30.6%10.2%-1.2%151.1K-2.7M-11.9K0.33110.93311,906240
2020-12-03$41.50$45.0032.6%9.4%27.7%14.6%32.3%6.1%3.6%158.6K-3.0M-12.3K0.3191.821341,903240
2020-12-04$42.32$40.0031.4%9.2%28.4%13.1%39.0%-3.4%2.8%168.5K-3.4M-12.6K0.9490.1716151,915254
2020-12-07$42.42$40.0028.5%9.4%28.2%9.5%29.8%-3.8%2.9%168.7K-3.4M-12.5K0.0091.173601,911266
2020-12-08$42.16$40.0029.5%9.7%27.5%10.8%29.3%-0.4%1.0%170.3K-3.3M-12.1K0.0089.32301,937266
2020-12-09$41.55$40.0032.8%9.4%26.0%14.9%32.7%4.9%2.2%164.1K-3.0M-11.7K1.2494.1917211,938266
2020-12-10$42.30$40.0034.4%9.9%24.1%16.8%33.3%3.4%0.2%185.4K-3.4M-12.4K0.2487.162152,048285
2020-12-11$42.58$40.0031.9%9.1%21.2%13.7%32.8%2.5%1.4%192.6K-3.6M-12.5K0.9391.8744412,069290
2020-12-14$43.49$45.0030.8%8.8%22.0%12.4%30.9%4.8%2.3%207.3K-4.0M-12.1K0.0090.3611402,038331
2020-12-15$43.26$45.0037.6%10.8%22.2%20.8%33.9%-28.7%5.8%191.6K-3.5M-10.7K0.00114.23801,930331
2020-12-16$43.55$45.0031.0%8.9%22.2%12.6%31.0%-0.3%5.8%175.1K-3.9M-11.9K0.00108.603701,928331
2020-12-17$43.81$45.0028.5%8.2%21.8%9.5%0.0%1.0%0.0%214.6K-4.0M-10.9K0.00120.93001,958331
2020-12-18$43.01$45.0047.7%13.7%23.3%33.3%0.0%-20.2%-18.2%146.0K-4.1M-12.2K0.00122.62001,958331
2020-12-21$42.82$45.0042.6%12.2%23.1%27.0%44.6%-18.5%-2.5%144.2K-3.8M-11.8K0.06130.738051,817224
2020-12-22$44.49$45.0039.7%11.4%26.1%23.4%0.0%10.8%12.4%148.6K-4.6M-13.1K0.00128.523901,896229
2020-12-23$43.99$45.0030.4%8.7%26.7%11.9%31.5%5.2%8.2%158.2K-4.5M-12.6K0.85112.0327231,914229
2020-12-24$43.73$45.0057.2%16.4%25.5%45.1%0.0%-13.8%-25.8%163.5K-4.4M-12.9K0.00130.76601,930252
2020-12-28$44.59$45.0063.1%18.1%25.9%51.5%0.0%22.0%-21.2%157.0K-4.5M-13.0K0.00129.322701,942252
2020-12-29$44.33$45.0066.7%19.1%23.5%56.1%0.0%-34.8%-32.6%165.9K-4.7M-12.8K0.00131.64201,960252
2020-12-30$44.17$45.0067.1%19.2%22.7%56.6%0.0%-13.5%-35.7%124.3K-4.7M-13.4K0.00131.75101,961252
2020-12-31$44.36$45.0071.0%20.3%22.5%61.4%0.0%-12.3%-42.4%100.3K-4.9M-13.7K0.00131.091301,960252