CNNE Options History — January 2021

In January 2021, CNNE traded between $37.93 and $45.75. ATM implied volatility averaged 67.7%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 37.0% (HV 20d: 30.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.49.

Notable Days

2021-01-07: Highest Volume — 47 contracts
2021-01-08: Largest IV spike — 64.3% change
2021-01-08: Highest IV Rank — 92.6%
2021-01-15: Largest Expected Move — 26.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.55	$37.93	$45.75	$43.22	$37.93
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	67.7%	39.4%	95.7%	70.4%	58.1%
Expected Move	15.6%	10.3%	26.7%	12.0%	16.6%
HV 20d	30.7%	24.4%	36.8%	24.7%	36.8%
HV 60d	30.2%	28.1%	32.7%	28.7%	32.7%
IV Rank	56.7%	20.2%	92.6%	60.7%	44.1%
IV Percentile	78.1%	35.3%	98.4%	89.3%	74.6%
Term Structure	-6.3%	-74.5%	67.1%	-7.8%	-10.6%
VWIV	52.0%	20.4%	97.4%	46.4%	67.3%
Skew 25d	-3.4%	-44.2%	70.5%	14.5%	-4.3%
Skew 10d	14.4%	-52.0%	68.3%	19.7%	12.6%
Call IV 25d	64.1%	33.5%	112.4%	37.1%	81.8%
Put IV 25d	60.7%	27.7%	103.9%	51.6%	77.6%
Bid-Ask Spread %	127.45	113.40	147.33	123.51	119.76
Gamma HHI	0.34	0.31	0.38	0.32	0.37
Net GEX	155.7K	110.8K	209.6K	141.2K	121.2K
Net DEX	-3.7M	-5.2M	-1.7M	-4.0M	-1.7M
Net VEX	-10.3K	-12.6K	-7.0K	-12.6K	-7.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.49	0.00	12.00	8.40	5.00
Total Volume	9.579	0	47	0	24
Total OI	2,192.895	2,121	2,226	2,225	2,193

Daily Data (19 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
2021-01-04	$43.22	$35.00	70.4%	12.0%	24.7%	60.7%	0.0%	14.5%	-7.8%	141.2K	-4.0M	-12.6K	0.00	123.51	0	0	1,973	252
2021-01-05	$42.58	$35.00	84.9%	10.9%	24.4%	79.1%	0.0%	-4.4%	-3.4%	170.0K	-3.7M	-11.5K	0.00	116.00	0	0	1,973	252
2021-01-06	$43.15	$35.00	89.7%	10.3%	24.9%	85.1%	0.0%	2.9%	1.1%	153.5K	-3.8M	-11.9K	0.00	117.90	0	0	1,974	252
2021-01-07	$45.58	$35.00	58.2%	13.2%	31.2%	45.4%	46.4%	1.3%	-9.0%	161.0K	-5.1M	-12.0K	8.40	116.90	5	42	1,974	252
2021-01-08	$45.75	$35.00	95.7%	12.3%	30.4%	92.6%	0.0%	-7.6%	-5.9%	147.9K	-5.2M	-12.5K	0.00	123.94	6	0	1,974	251
2021-01-11	$44.78	$35.00	89.8%	12.3%	31.4%	85.1%	0.0%	-7.3%	-6.0%	163.7K	-4.8M	-11.6K	0.00	122.48	13	0	1,972	251
2021-01-12	$44.32	$35.00	57.3%	12.5%	31.7%	44.1%	44.8%	-21.3%	-0.9%	173.1K	-4.6M	-10.8K	0.00	119.49	3	0	1,961	251
2021-01-13	$43.26	$35.00	90.2%	25.8%	32.1%	85.4%	0.0%	24.6%	-74.5%	111.6K	-4.3M	-11.6K	0.00	143.46	0	2	1,964	251
2021-01-14	$42.98	$35.00	91.7%	26.3%	32.2%	87.3%	0.0%	-38.6%	-25.3%	154.7K	-3.7M	-10.8K	0.00	141.46	0	0	1,964	252
2021-01-15	$42.73	$35.00	93.2%	26.7%	32.1%	89.3%	0.0%	-26.7%	-26.5%	110.8K	-4.0M	-11.5K	0.00	147.33	12	0	1,964	252
2021-01-19	$42.34	$35.00	40.9%	11.7%	32.1%	22.0%	0.0%	-2.5%	25.4%	186.7K	-3.3M	-9.1K	0.00	127.83	0	16	1,949	172
2021-01-20	$42.06	$35.00	49.7%	14.2%	31.6%	33.4%	0.0%	-1.9%	14.1%	196.5K	-3.6M	-9.0K	0.00	133.91	0	10	1,949	188
2021-01-21	$42.51	$35.00	54.8%	15.7%	31.8%	40.0%	20.4%	70.5%	67.1%	133.8K	-3.7M	-10.5K	12.00	145.75	1	12	1,949	198
2021-01-22	$41.40	$35.00	62.8%	18.0%	29.6%	50.3%	0.0%	-3.5%	-3.9%	179.6K	-3.4M	-9.3K	0.00	139.30	1	0	1,949	210
2021-01-25	$42.12	$35.00	39.4%	11.3%	30.4%	20.2%	48.6%	-26.6%	-7.9%	209.6K	-3.3M	-8.3K	8.00	113.40	1	8	1,950	210
2021-01-26	$41.76	$35.00	40.2%	11.5%	30.4%	21.1%	27.2%	-44.2%	-7.7%	174.0K	-3.1M	-9.1K	0.00	124.50	0	10	1,951	218
2021-01-27	$40.03	$35.00	55.3%	15.8%	32.4%	40.5%	97.4%	6.7%	-13.7%	131.3K	-2.5M	-8.6K	5.00	127.89	2	10	1,951	228
2021-01-28	$40.04	$35.00	64.2%	18.4%	32.4%	52.0%	64.2%	3.7%	-23.6%	137.7K	-2.5M	-8.5K	0.00	116.70	4	0	1,953	238
2021-01-29	$37.93	$35.00	58.1%	16.6%	36.8%	44.1%	67.3%	-4.3%	-10.6%	121.2K	-1.7M	-7.0K	5.00	119.76	4	20	1,955	238