CNNE Options History — August 2021

In August 2021, CNNE traded between $30.11 and $34.02. ATM implied volatility averaged 35.0%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.2% (HV 20d: 34.8%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 3.61.

Notable Days

  • 2021-08-06: Highest Volume — 304 contracts
  • 2021-08-17: Largest IV spike — 75.1% change
  • 2021-08-04: Highest IV Rank — 43.2%
  • 2021-08-04: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.36$30.11$34.02$33.85$31.85
Max Pain$26.36$25.00$35.00$35.00$25.00
ATM IV35.0%20.3%53.6%36.1%34.2%
Expected Move10.1%5.8%15.4%10.4%9.8%
HV 20d34.8%31.3%37.1%33.2%34.2%
HV 60d27.9%25.5%29.9%25.7%29.9%
IV Rank18.9%0.0%43.2%19.6%18.5%
IV Percentile40.8%0.0%86.1%45.6%40.5%
Term Structure-2.8%-35.9%15.4%-4.4%0.0%
VWIV35.4%23.4%55.6%33.7%50.1%
Skew 25d10.9%0.7%24.6%8.4%11.0%
Skew 10d18.1%-3.5%59.4%14.7%59.4%
Call IV 25d28.7%15.0%39.7%32.9%26.8%
Put IV 25d39.6%28.8%56.1%41.3%37.8%
Bid-Ask Spread %107.9281.92122.9882.87113.87
Gamma HHI0.330.270.460.320.30
Net GEX37.8K24.2K63.0K38.9K34.4K
Net DEX-572.7K-916.9K-86.8K-485.6K-758.0K
Net VEX-4.3K-7.0K-2.7K-7.0K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.0075.000.000.00
Total Volume28.81823042211
Total OI1,378.9099071,7421,701945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$33.85$35.0036.1%10.4%33.2%19.6%33.7%8.4%-4.4%38.9K-485.6K-7.0K0.0082.872201,308393
2021-08-03$32.65$35.0038.1%10.9%34.2%22.2%43.2%9.8%-3.2%29.0K-131.7K-5.7K2.0083.18121,308393
2021-08-04$32.49$35.0053.6%15.4%34.1%43.2%36.4%19.3%0.6%30.4K-86.8K-5.4K0.0081.92601,318393
2021-08-05$32.43$25.0041.3%11.0%32.3%26.6%29.4%7.2%-5.4%30.8K-116.7K-5.9K0.0099.46401,319394
2021-08-06$33.88$25.0025.0%7.3%35.9%4.5%26.4%3.5%10.3%40.1K-455.9K-6.7K75.00110.6143001,321394
2021-08-09$33.39$25.0025.5%9.5%36.3%5.2%32.5%5.6%-2.2%35.7K-334.8K-6.5K0.00107.271801,348394
2021-08-10$32.87$25.0029.9%8.6%36.4%11.2%0.0%14.2%-1.3%47.4K-799.5K-4.5K0.00103.571801,352135
2021-08-11$33.64$25.0033.0%9.5%35.1%15.3%0.0%11.0%-18.6%54.2K-887.3K-4.5K0.18119.331121,346135
2021-08-12$33.78$25.0027.8%8.0%34.6%8.3%0.0%16.8%-2.6%58.8K-859.7K-4.0K0.00113.692101,356135
2021-08-13$34.02$25.0026.6%7.6%34.5%6.7%0.0%0.7%-0.8%63.0K-916.9K-4.0K0.50119.62211,356136
2021-08-16$33.12$25.0020.3%5.8%31.3%0.0%0.0%14.2%15.4%50.7K-878.3K-4.4K0.00121.3910001,375136
2021-08-17$32.34$25.0035.5%10.2%32.0%20.2%24.7%23.1%10.4%43.3K-684.6K-3.8K0.00117.63301,375137
2021-08-18$31.51$25.0048.8%14.0%31.7%37.8%55.6%9.6%-22.1%29.2K-500.6K-3.2K0.00120.351701,375137
2021-08-19$30.11$25.0043.6%12.5%35.2%31.0%23.4%15.4%6.0%26.3K-345.4K-2.7K0.21122.981941,375137
2021-08-20$30.49$25.0033.5%9.6%35.6%17.6%33.5%7.7%1.7%24.2K-348.8K-2.8K0.00105.991201,372137
2021-08-23$31.32$25.0036.3%10.4%36.7%21.3%36.4%7.0%1.1%28.7K-590.0K-3.2K0.00107.4126084067
2021-08-24$31.74$25.0039.7%11.4%37.0%25.8%0.0%24.6%-5.0%33.4K-679.8K-3.3K0.00106.603085167
2021-08-25$31.86$25.0037.0%10.6%36.0%22.2%0.0%7.8%-12.3%35.6K-703.8K-3.5K0.00105.013087667
2021-08-26$31.22$25.0033.8%9.7%36.6%17.9%0.0%15.3%-1.1%32.0K-670.2K-3.6K0.0097.352087667
2021-08-27$31.71$25.0040.0%11.5%37.1%26.1%0.0%1.1%-35.9%33.1K-725.1K-3.7K0.00119.815087767
2021-08-30$31.55$25.0031.2%8.9%36.1%14.5%50.1%7.6%8.6%33.3K-639.9K-3.1K1.43114.4671087967
2021-08-31$31.85$25.0034.2%9.8%34.2%18.5%0.0%11.0%0.0%34.4K-758.0K-4.0K0.00113.8711087867