CNNE Options History — July 2021

In July 2021, CNNE traded between $29.70 and $35.15. ATM implied volatility averaged 36.6%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.3% (HV 20d: 27.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2021-07-02: Highest Volume — 123 contracts
2021-07-26: Largest IV spike — 73.4% change
2021-07-12: Highest IV Rank — 48.0%
2021-07-26: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.49	$29.70	$35.15	$34.34	$33.15
Max Pain	$34.52	$30.00	$35.00	$30.00	$35.00
ATM IV	36.6%	23.7%	57.2%	35.3%	31.6%
Expected Move	9.8%	6.8%	15.7%	10.1%	9.1%
HV 20d	27.2%	16.2%	33.9%	16.2%	33.4%
HV 60d	24.0%	21.0%	26.7%	21.0%	25.3%
IV Rank	20.1%	2.8%	48.0%	18.4%	13.5%
IV Percentile	38.8%	1.2%	88.1%	36.9%	22.2%
Term Structure	-3.0%	-24.4%	11.6%	-7.7%	1.3%
VWIV	31.7%	16.9%	51.3%	33.6%	30.8%
Skew 25d	8.2%	-17.4%	70.0%	70.0%	5.1%
Skew 10d	13.5%	-7.3%	87.2%	87.2%	9.1%
Call IV 25d	31.3%	23.2%	37.2%	37.2%	32.1%
Put IV 25d	39.5%	19.1%	107.2%	107.2%	37.2%
Bid-Ask Spread %	92.45	72.24	109.54	99.64	88.10
Gamma HHI	0.28	0.23	0.39	0.29	0.32
Net GEX	23.1K	13.0K	37.6K	24.6K	27.7K
Net DEX	-108.7K	-530.5K	251.7K	-240.4K	-189.3K
Net VEX	-5.4K	-6.5K	-4.0K	-5.5K	-5.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	4.00	0.08	0.04
Total Volume	33.667	0	123	14	0
Total OI	1,450.524	1,242	1,600	1,242	1,600

Daily Data (21 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
2021-07-01	$34.34	$30.00	35.3%	10.1%	16.2%	18.4%	33.6%	70.0%	-7.7%	24.6K	-240.4K	-5.5K	0.08	99.64	13	1	898	344
2021-07-02	$35.15	$30.00	28.9%	8.3%	18.3%	9.8%	0.0%	-5.3%	0.3%	31.6K	-530.5K	-6.2K	0.00	102.26	123	0	907	345
2021-07-06	$34.19	$35.00	26.0%	8.9%	20.8%	5.8%	16.9%	0.1%	0.1%	37.6K	-377.8K	-5.7K	0.11	86.78	9	1	998	345
2021-07-07	$33.82	$35.00	37.6%	8.7%	21.1%	21.6%	30.3%	-3.3%	2.5%	31.3K	-369.4K	-5.7K	0.00	80.39	14	0	998	345
2021-07-08	$32.78	$35.00	32.7%	10.6%	23.5%	14.9%	21.3%	2.5%	-8.6%	25.4K	-155.8K	-5.2K	1.25	107.61	4	5	1,008	345
2021-07-09	$32.98	$35.00	34.1%	10.9%	23.6%	16.8%	0.0%	-7.5%	-8.2%	28.2K	-227.6K	-5.3K	0.00	107.81	5	0	1,007	346
2021-07-12	$33.09	$35.00	57.2%	8.8%	23.7%	48.0%	30.7%	0.5%	0.9%	25.3K	-85.8K	-4.7K	0.75	76.25	4	3	1,007	345
2021-07-13	$32.63	$35.00	56.1%	8.1%	24.0%	46.6%	27.6%	-6.6%	0.7%	19.4K	21.1K	-4.4K	0.14	81.81	105	15	1,009	348
2021-07-14	$31.59	$35.00	23.8%	6.8%	25.6%	2.9%	35.8%	-17.4%	-7.0%	16.9K	-77.0K	-5.1K	0.04	91.09	25	1	1,110	337
2021-07-15	$31.20	$35.00	27.6%	7.9%	25.6%	8.0%	29.6%	0.5%	-3.1%	14.7K	123.5K	-4.9K	4.00	102.21	1	4	1,158	344
2021-07-16	$31.10	$35.00	30.3%	8.7%	25.6%	11.7%	0.0%	-0.6%	5.4%	14.7K	164.5K	-4.5K	0.20	109.54	30	6	1,159	348
2021-07-19	$29.70	$35.00	40.9%	11.7%	29.4%	26.0%	36.6%	5.5%	-5.5%	13.0K	251.7K	-4.0K	0.08	109.16	52	4	1,090	341
2021-07-20	$30.47	$35.00	39.0%	11.2%	31.4%	23.5%	51.3%	8.8%	-8.7%	17.5K	133.7K	-4.8K	2.26	72.24	23	52	1,131	345
2021-07-21	$31.44	$35.00	45.6%	13.1%	32.2%	32.4%	40.8%	6.0%	-9.4%	17.1K	27.3K	-5.5K	3.00	101.30	1	3	1,151	392
2021-07-22	$31.79	$35.00	35.3%	10.1%	32.7%	18.4%	32.5%	18.1%	11.6%	22.2K	-91.0K	-6.4K	0.00	96.67	17	0	1,151	394
2021-07-23	$31.92	$35.00	31.6%	9.0%	32.3%	13.4%	25.1%	5.6%	0.4%	18.8K	85.7K	-5.2K	0.00	78.81	13	0	1,156	394
2021-07-26	$32.36	$35.00	54.7%	15.7%	32.6%	44.6%	30.4%	25.3%	-24.4%	21.9K	-124.3K	-5.9K	0.00	85.41	12	0	1,156	393
2021-07-27	$32.35	$35.00	49.3%	14.1%	32.6%	37.3%	33.7%	20.9%	-10.5%	22.0K	-20.9K	-5.3K	0.00	81.47	42	0	1,165	393
2021-07-28	$33.11	$35.00	23.7%	6.8%	33.9%	2.8%	0.0%	27.5%	8.0%	25.6K	-212.1K	-6.0K	0.00	90.74	12	0	1,175	393
2021-07-29	$33.15	$35.00	26.7%	7.6%	33.7%	6.8%	30.8%	16.4%	-0.2%	28.8K	-387.2K	-6.5K	0.04	92.07	103	4	1,197	393
2021-07-30	$33.15	$35.00	31.6%	9.1%	33.4%	13.5%	0.0%	5.1%	1.3%	27.7K	-189.3K	-5.7K	0.00	88.10	0	0	1,207	393