CNNE Options History — March 2021

In March 2021, CNNE traded between $38.20 and $41.20. ATM implied volatility averaged 36.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.9% (HV 20d: 41.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.20.

Notable Days

  • 2021-03-01: Highest Volume — 501 contracts
  • 2021-03-05: Largest IV spike — 31.2% change
  • 2021-03-09: Highest IV Rank — 29.6%
  • 2021-03-09: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.71$38.20$41.20$40.26$39.70
Max Pain$40.43$40.00$45.00$40.00$40.00
ATM IV36.8%28.5%46.7%46.2%32.3%
Expected Move10.8%8.2%14.1%13.2%9.3%
HV 20d41.6%29.3%45.6%43.1%29.3%
HV 60d37.3%35.7%38.5%35.7%37.3%
IV Rank16.8%6.3%29.6%28.9%11.3%
IV Percentile24.1%2.8%50.4%48.8%11.5%
Term Structure3.1%-5.8%17.1%-0.3%4.0%
VWIV37.3%29.2%48.3%48.3%32.3%
Skew 25d4.5%-17.7%60.4%-8.4%-11.8%
Skew 10d8.2%-30.8%78.8%0.4%-19.3%
Call IV 25d35.9%25.8%47.0%47.0%39.5%
Put IV 25d40.4%26.8%95.4%38.6%27.7%
Bid-Ask Spread %101.6091.44113.80111.3599.18
Gamma HHI0.510.410.750.670.46
Net GEX125.5K41.2K415.1K287.5K51.1K
Net DEX-1.2M-3.2M-673.5K-2.5M-817.9K
Net VEX-5.2K-11.7K-3.7K-9.9K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.670.000.00
Total Volume51150150114
Total OI2,825.0437453,9793,568812

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$40.26$40.0046.2%13.2%43.1%28.9%48.3%-8.4%-0.3%287.5K-2.5M-9.9K0.00111.3550013,407161
2021-03-02$41.10$40.0036.3%10.4%42.8%16.1%29.4%14.1%17.1%415.1K-3.2M-11.7K0.14103.3674103,760162
2021-03-03$39.92$40.0038.1%10.9%42.0%18.5%43.4%10.1%3.8%227.4K-1.5M-6.9K0.0394.4812643,746172
2021-03-04$38.48$40.0028.7%12.1%43.7%6.4%43.9%6.3%-1.2%108.8K-833.5K-5.3K0.4091.441563,716175
2021-03-05$38.20$40.0037.7%12.8%42.4%17.9%33.9%15.5%-2.0%97.3K-765.8K-5.1K1.23100.5213163,722177
2021-03-08$39.01$45.0043.9%13.0%43.3%25.9%45.4%4.8%-0.4%147.6K-1.1M-5.7K0.2593.72823,733178
2021-03-09$39.62$45.0046.7%14.1%43.7%29.6%48.3%15.5%-5.8%148.6K-1.1M-5.6K0.0898.356053,738179
2021-03-10$39.11$40.0042.0%12.0%43.7%23.4%0.0%5.9%2.5%98.3K-946.2K-5.0K0.00111.80103,779184
2021-03-11$39.38$40.0039.5%11.3%41.7%20.3%40.6%10.5%5.5%132.5K-1.1M-5.4K0.29101.491443,780183
2021-03-12$39.17$40.0042.5%12.2%41.0%24.2%0.0%5.5%-2.7%106.1K-915.7K-4.7K0.00109.391603,774189
2021-03-15$41.20$40.0038.0%10.9%44.5%18.4%37.7%-0.4%6.9%318.3K-2.0M-5.9K0.05103.265933,790189
2021-03-16$41.03$40.0034.0%9.7%44.3%13.2%33.2%-0.3%3.5%103.2K-1.4M-4.5K0.02103.679123,780192
2021-03-17$40.93$40.0039.6%11.4%44.3%20.4%36.4%4.7%-1.8%95.2K-1.3M-4.3K0.0099.97603,746192
2021-03-18$39.80$40.0041.6%11.9%45.6%23.0%0.0%4.5%1.1%95.2K-985.3K-4.3K1.67104.31353,743192
2021-03-19$40.17$40.0035.8%10.3%45.5%15.5%35.5%-7.9%3.5%148.6K-1.0M-4.1K0.0097.011003,742192
2021-03-22$39.62$40.0030.3%8.7%44.5%8.5%30.9%10.8%5.5%42.6K-673.5K-3.8K0.2092.35469567178
2021-03-23$39.53$40.0032.9%9.4%43.2%11.8%0.0%0.8%3.0%42.2K-751.3K-3.9K0.0498.67241600179
2021-03-24$39.04$40.0032.4%9.3%42.9%11.4%32.4%-2.0%7.4%41.2K-729.7K-3.9K0.00102.1102612178
2021-03-25$39.68$40.0032.5%9.3%42.8%11.6%0.0%-17.7%3.1%46.0K-762.1K-3.7K0.00105.8920612180
2021-03-26$39.43$40.0033.4%9.6%40.3%12.8%0.0%-8.3%3.0%45.1K-763.1K-3.7K0.00101.3540614180
2021-03-29$39.48$40.0028.5%8.2%31.9%6.3%29.2%60.4%12.1%42.0K-724.7K-3.7K0.00113.8010615180
2021-03-30$39.40$40.0032.5%9.3%30.9%11.6%32.5%-8.2%4.4%46.1K-763.4K-3.7K0.0099.36160616180
2021-03-31$39.70$40.0032.3%9.3%29.3%11.3%32.3%-11.8%4.0%51.1K-817.9K-3.8K0.0099.18140632180