CNNE Options History — June 2021

In June 2021, CNNE traded between $33.25 and $35.50. ATM implied volatility averaged 32.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 13.6% (HV 20d: 19.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2021-06-29: Highest Volume — 289 contracts
  • 2021-06-04: Largest IV spike — 103.4% change
  • 2021-06-04: Highest IV Rank — 41.8%
  • 2021-06-29: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.48$33.25$35.50$35.50$33.96
Max Pain$30.45$30.00$35.00$35.00$30.00
ATM IV32.9%21.9%52.6%32.0%33.4%
Expected Move9.2%6.3%13.3%9.2%9.6%
HV 20d19.3%15.7%28.0%28.0%15.8%
HV 60d21.8%20.3%24.6%24.6%20.8%
IV Rank15.2%0.3%41.8%14.0%15.8%
IV Percentile25.2%0.4%81.3%18.7%27.8%
Term Structure0.1%-18.7%16.0%-3.1%5.1%
VWIV33.2%20.3%47.1%32.4%44.2%
Skew 25d3.7%-12.7%72.6%30.8%72.6%
Skew 10d2.9%-23.8%91.3%56.1%91.3%
Call IV 25d32.3%22.2%43.6%29.3%32.7%
Put IV 25d36.0%21.3%105.3%60.1%105.3%
Bid-Ask Spread %111.00101.63120.88110.66111.84
Gamma HHI0.330.260.450.300.26
Net GEX23.8K15.5K36.0K20.5K25.2K
Net DEX-223.6K-508.1K61.0K-211.6K-348.2K
Net VEX-3.7K-5.9K-1.5K-1.6K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.003.130.000.75
Total Volume71.273028947
Total OI905.4555171,2375171,237

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$35.50$35.0032.0%9.2%28.0%14.0%0.0%30.8%-3.1%20.5K-211.6K-1.6K0.00110.664045859
2021-06-02$35.22$35.0034.5%9.9%24.2%17.4%32.4%4.7%-6.7%21.7K-252.3K-1.7K0.14110.407146259
2021-06-03$34.91$30.0025.9%9.4%24.2%5.7%0.0%-2.8%0.4%20.6K-201.8K-1.5K0.00108.240046960
2021-06-04$35.00$30.0052.6%10.6%24.2%41.8%0.0%-7.3%-2.9%18.4K-231.0K-1.7K1.43118.4371046970
2021-06-07$34.97$30.0034.2%6.4%23.9%16.9%0.0%1.5%16.0%21.6K-277.5K-1.8K0.00119.5413047661
2021-06-08$35.07$30.0032.0%10.6%22.7%14.0%0.0%-4.8%-2.7%22.2K-302.7K-1.7K0.02111.70118248961
2021-06-09$34.83$30.0034.3%9.8%20.4%17.0%41.2%-5.8%8.3%27.7K-371.9K-2.1K0.05114.4779462861
2021-06-10$34.95$30.0037.0%10.6%20.4%20.7%40.8%6.4%-10.8%33.5K-428.9K-2.3K0.00118.5795070861
2021-06-11$34.91$30.0032.4%9.3%20.1%14.5%43.3%-11.7%-12.8%36.0K-508.1K-2.5K3.13120.886420075461
2021-06-14$34.78$30.0039.0%11.2%18.0%23.5%36.2%-8.0%-6.3%33.2K-76.1K-4.1K0.06107.23171803259
2021-06-15$34.11$30.0033.1%9.5%17.1%15.4%33.9%-9.4%-0.9%18.6K61.0K-3.8K0.05109.88663813259
2021-06-16$33.75$30.0028.0%8.0%17.3%8.5%28.3%-7.4%7.1%19.3K38.3K-4.1K0.29110.67144881261
2021-06-17$33.77$30.0028.0%8.0%17.3%8.5%23.5%-3.3%11.3%22.8K-76.2K-4.6K0.02114.79511885265
2021-06-18$33.25$30.0021.9%6.3%16.2%0.3%20.3%-1.3%11.1%15.5K-42.3K-4.4K0.02110.49591935265
2021-06-21$33.28$30.0023.4%6.7%16.3%2.4%0.0%1.7%3.1%18.1K-29.0K-4.4K0.00103.42250737248
2021-06-22$34.12$30.0030.9%8.8%19.5%12.4%25.1%-2.1%8.8%27.3K-310.7K-5.4K0.00115.08120783248
2021-06-23$34.12$30.0027.7%7.9%16.1%8.2%26.4%-8.3%9.5%25.5K-292.0K-5.2K0.54102.9216187790248
2021-06-24$34.51$30.0026.2%7.5%15.8%6.2%26.5%-6.6%1.4%22.0K-223.7K-5.9K0.00102.58540782311
2021-06-25$34.82$30.0038.0%10.9%16.1%22.1%47.1%-12.7%-18.7%23.9K-279.7K-5.8K0.00110.35180810311
2021-06-28$34.52$30.0032.4%9.3%16.1%14.5%28.9%63.8%1.5%25.5K-229.6K-5.6K0.00108.24940812311
2021-06-29$34.31$30.0046.6%13.3%15.7%33.6%44.2%-7.5%-17.5%24.2K-325.8K-5.5K0.40101.6320782889311
2021-06-30$33.96$30.0033.4%9.6%15.8%15.8%0.0%72.6%5.1%25.2K-348.2K-5.8K0.75111.8443895342