CNNE Options History — May 2021

In May 2021, CNNE traded between $35.38 and $40.32. ATM implied volatility averaged 34.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 9.3% (HV 20d: 24.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.33.

Notable Days

2021-05-10: Highest Volume — 112 contracts
2021-05-17: Largest IV spike — 58.2% change
2021-05-13: Highest IV Rank — 35.3%
2021-05-13: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.90	$35.38	$40.32	$40.32	$35.98
Max Pain	$39.25	$35.00	$45.00	$40.00	$35.00
ATM IV	34.1%	24.8%	47.8%	42.8%	35.3%
Expected Move	9.5%	6.4%	13.7%	12.3%	10.1%
HV 20d	24.8%	16.2%	29.3%	16.2%	29.1%
HV 60d	29.8%	24.5%	31.7%	30.1%	24.5%
IV Rank	16.8%	4.3%	35.3%	28.5%	18.4%
IV Percentile	25.9%	1.2%	71.0%	56.0%	31.0%
Term Structure	1.5%	-15.0%	20.6%	-6.7%	-0.8%
VWIV	35.8%	21.4%	62.6%	62.6%	21.4%
Skew 25d	2.8%	-15.6%	26.2%	6.5%	4.3%
Skew 10d	6.8%	-13.7%	53.1%	4.6%	-1.9%
Call IV 25d	32.5%	21.1%	49.8%	33.5%	27.0%
Put IV 25d	35.3%	27.2%	47.3%	40.0%	31.3%
Bid-Ask Spread %	109.45	97.14	117.49	117.49	104.06
Gamma HHI	0.36	0.29	0.52	0.42	0.30
Net GEX	25.1K	3.8K	59.9K	59.9K	22.8K
Net DEX	-283.9K	-931.1K	-19.9K	-931.1K	-287.5K
Net VEX	-2.1K	-3.0K	-1.5K	-3.0K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.00	13.00	0.00	0.00
Total Volume	20.15	1	112	6	1
Total OI	819	492	1,062	822	516

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
2021-05-03	$40.32	$40.00	42.8%	12.3%	16.2%	28.5%	62.6%	6.5%	-6.7%	59.9K	-931.1K	-3.0K	0.00	117.49	6	0	622	200
2021-05-04	$38.56	$40.00	38.8%	11.1%	22.4%	23.1%	38.0%	-7.1%	-6.3%	40.7K	-450.2K	-2.6K	0.17	116.05	12	2	622	200
2021-05-05	$38.22	$40.00	31.8%	9.1%	22.4%	13.6%	0.0%	-7.6%	-14.3%	49.3K	-480.5K	-2.6K	0.00	111.96	6	0	634	201
2021-05-06	$37.83	$45.00	29.0%	6.4%	22.1%	9.9%	0.0%	14.1%	6.7%	34.8K	-313.8K	-2.4K	0.00	110.59	8	0	640	201
2021-05-07	$38.06	$45.00	31.8%	10.2%	22.2%	13.7%	29.7%	0.5%	-1.0%	40.8K	-399.3K	-2.6K	0.20	99.79	5	1	644	201
2021-05-10	$37.10	$45.00	38.1%	8.4%	22.3%	22.3%	0.0%	2.3%	16.7%	24.8K	-247.9K	-2.3K	0.58	109.21	71	41	644	202
2021-05-11	$36.01	$45.00	34.7%	7.7%	23.8%	17.6%	35.7%	-8.0%	20.6%	3.8K	-45.7K	-1.9K	10.00	115.83	1	10	713	212
2021-05-12	$35.75	$45.00	36.6%	10.5%	23.8%	20.2%	0.0%	-0.2%	4.6%	18.6K	-107.1K	-2.2K	0.00	106.49	2	0	713	220
2021-05-13	$35.38	$45.00	47.8%	13.7%	21.8%	35.3%	0.0%	4.5%	-11.5%	7.1K	-19.9K	-1.8K	0.17	104.47	6	1	715	220
2021-05-14	$36.21	$45.00	28.7%	8.2%	24.5%	9.5%	39.0%	-15.6%	14.2%	4.5K	-94.8K	-2.0K	0.13	110.78	75	10	721	218
2021-05-17	$36.92	$35.00	45.4%	13.0%	26.3%	32.0%	0.0%	13.7%	-8.2%	20.6K	-245.9K	-2.3K	13.00	106.84	1	13	789	223
2021-05-18	$36.70	$35.00	32.8%	9.4%	25.9%	15.0%	35.5%	-1.4%	-0.5%	13.9K	-192.8K	-1.9K	0.33	97.14	3	1	788	223
2021-05-19	$36.49	$35.00	25.6%	7.3%	25.9%	5.3%	0.0%	0.5%	13.9%	26.9K	-214.4K	-2.1K	0.25	116.59	4	1	791	223
2021-05-20	$37.06	$35.00	40.3%	11.6%	26.9%	25.2%	33.2%	11.8%	1.9%	18.5K	-276.1K	-2.2K	0.00	110.20	46	0	793	224
2021-05-21	$36.85	$35.00	33.8%	9.7%	26.8%	16.3%	29.3%	14.6%	-2.4%	22.6K	-259.0K	-2.1K	0.22	114.17	23	5	838	224
2021-05-24	$36.75	$35.00	27.9%	8.0%	26.7%	8.4%	33.8%	-4.8%	-3.7%	25.1K	-365.8K	-2.1K	0.21	108.81	14	3	448	60
2021-05-25	$35.54	$35.00	29.9%	8.6%	28.5%	11.1%	0.0%	6.6%	-15.0%	21.1K	-237.1K	-1.6K	0.00	112.86	0	1	435	57
2021-05-26	$36.02	$35.00	24.8%	7.1%	29.3%	4.3%	21.4%	26.2%	13.2%	22.9K	-213.5K	-1.5K	0.04	109.41	25	1	435	58
2021-05-27	$36.23	$35.00	26.2%	7.5%	29.2%	6.1%	0.0%	-4.9%	9.6%	23.6K	-296.5K	-1.9K	0.00	106.32	4	0	453	59
2021-05-28	$35.98	$35.00	35.3%	10.1%	29.1%	18.4%	0.0%	4.3%	-0.8%	22.8K	-287.5K	-1.9K	0.00	104.06	1	0	457	59