CNNE Options History — September 2021

In September 2021, CNNE traded between $30.88 and $32.85. ATM implied volatility averaged 32.4%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.8% (HV 20d: 25.6%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.05.

Notable Days

2021-09-07: Highest Volume — 46 contracts
2021-09-03: Largest IV spike — 165.8% change
2021-09-03: Highest IV Rank — 48.3%
2021-09-01: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.73	$30.88	$32.85	$32.80	$31.24
Max Pain	$34.52	$25.00	$35.00	$25.00	$35.00
ATM IV	32.4%	21.3%	56.7%	45.7%	26.4%
Expected Move	8.9%	6.8%	13.1%	13.1%	7.6%
HV 20d	25.6%	17.9%	35.9%	35.9%	17.9%
HV 60d	30.3%	29.9%	30.6%	30.6%	29.9%
IV Rank	16.1%	1.4%	48.3%	33.7%	8.1%
IV Percentile	30.7%	0.4%	88.1%	77.4%	8.7%
Term Structure	-2.2%	-16.7%	10.6%	-3.4%	9.7%
VWIV	33.1%	26.3%	41.7%	41.7%	32.0%
Skew 25d	1.1%	-27.5%	25.5%	-1.0%	1.4%
Skew 10d	12.4%	-14.0%	63.7%	5.9%	13.4%
Call IV 25d	31.5%	20.6%	56.8%	43.8%	25.1%
Put IV 25d	32.5%	18.6%	58.9%	42.8%	26.5%
Bid-Ask Spread %	112.63	96.55	127.76	114.00	117.97
Gamma HHI	0.33	0.30	0.37	0.37	0.33
Net GEX	34.8K	31.4K	39.2K	34.6K	32.1K
Net DEX	-697.9K	-808.5K	-566.4K	-707.1K	-643.8K
Net VEX	-3.2K	-3.7K	-2.8K	-3.2K	-2.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.33	0.08	0.00
Total Volume	11.762	0	46	14	0
Total OI	1,044	962	1,117	962	1,044

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
2021-09-01	$32.80	$25.00	45.7%	13.1%	35.9%	33.7%	41.7%	-1.0%	-3.4%	34.6K	-707.1K	-3.2K	0.08	114.00	13	1	885	77
2021-09-02	$32.85	$35.00	21.3%	6.9%	35.9%	1.4%	26.3%	-0.4%	2.5%	37.3K	-808.5K	-3.4K	0.00	114.48	13	0	895	77
2021-09-03	$32.47	$35.00	56.7%	8.6%	32.2%	48.3%	0.0%	2.3%	10.6%	38.1K	-796.2K	-3.6K	0.33	115.28	3	1	893	78
2021-09-07	$32.42	$35.00	32.8%	8.5%	31.9%	16.6%	32.5%	-1.5%	-4.6%	39.2K	-788.1K	-3.5K	0.00	100.84	46	0	913	78
2021-09-08	$32.26	$35.00	33.6%	9.6%	31.5%	17.7%	0.0%	2.6%	-16.7%	34.5K	-779.4K	-3.4K	0.02	96.55	45	1	913	79
2021-09-09	$31.89	$35.00	29.6%	8.5%	30.4%	12.4%	0.0%	-1.9%	2.7%	33.6K	-689.7K	-3.2K	0.23	101.16	35	8	942	79
2021-09-10	$31.52	$35.00	31.7%	9.1%	30.4%	15.1%	0.0%	-7.0%	-14.8%	35.1K	-697.4K	-3.4K	0.00	106.59	21	0	967	80
2021-09-13	$31.64	$35.00	23.8%	6.8%	30.3%	4.7%	0.0%	-10.4%	-5.2%	33.1K	-668.6K	-3.1K	0.00	102.77	0	0	1,002	88
2021-09-14	$31.61	$35.00	30.4%	8.7%	29.0%	13.4%	0.0%	7.3%	-1.6%	35.6K	-697.2K	-3.4K	0.17	104.05	6	1	1,023	88
2021-09-15	$31.57	$35.00	26.2%	7.5%	27.9%	7.9%	0.0%	-3.3%	0.6%	35.5K	-702.0K	-3.5K	0.00	103.97	3	0	1,023	88
2021-09-16	$31.73	$35.00	27.6%	7.9%	26.4%	9.7%	0.0%	4.7%	5.9%	38.0K	-799.2K	-3.7K	0.00	107.11	12	0	1,028	89
2021-09-17	$31.29	$35.00	33.4%	9.6%	20.9%	17.5%	0.0%	12.3%	-13.0%	35.9K	-736.7K	-3.4K	0.00	122.70	9	0	1,028	89
2021-09-20	$30.89	$35.00	32.6%	9.4%	21.2%	16.4%	0.0%	25.5%	-0.8%	31.4K	-626.1K	-3.4K	0.00	118.12	2	0	975	77
2021-09-21	$30.88	$35.00	35.3%	10.1%	18.8%	19.9%	0.0%	6.8%	2.6%	32.8K	-566.4K	-3.0K	0.00	115.00	0	0	973	77
2021-09-22	$31.30	$35.00	31.3%	9.0%	18.8%	14.7%	0.0%	8.5%	5.4%	33.1K	-612.5K	-3.2K	0.00	121.90	0	9	974	77
2021-09-23	$31.92	$35.00	33.0%	9.5%	20.1%	16.9%	0.0%	8.4%	-7.7%	33.1K	-646.9K	-3.0K	0.00	116.59	2	0	974	77
2021-09-24	$31.65	$35.00	36.5%	10.5%	18.9%	21.5%	32.0%	0.6%	-3.8%	35.6K	-694.0K	-3.5K	0.00	116.72	10	0	974	78
2021-09-27	$32.12	$35.00	35.2%	10.1%	18.8%	19.8%	0.0%	-27.5%	-12.8%	36.1K	-723.6K	-2.8K	0.00	120.62	0	0	974	60
2021-09-28	$31.36	$35.00	30.8%	8.8%	20.7%	14.0%	0.0%	-3.7%	-12.3%	33.7K	-667.4K	-2.9K	0.00	120.99	5	0	984	60
2021-09-29	$30.95	$35.00	26.4%	7.6%	20.8%	8.2%	0.0%	-1.5%	10.1%	32.3K	-604.6K	-2.8K	0.00	127.76	1	0	984	60
2021-09-30	$31.24	$35.00	26.4%	7.6%	17.9%	8.1%	0.0%	1.4%	9.7%	32.1K	-643.8K	-2.8K	0.00	117.97	0	0	984	60