CNNE Options History — November 2021

In November 2021, CNNE traded between $29.83 and $35.90. ATM implied volatility averaged 39.0%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 13.5% (HV 20d: 25.4%). 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 6 of 21 days. Put/call ratio averaged 0.10.

Notable Days

  • 2021-11-18: Highest Volume — 906 contracts
  • 2021-11-17: Largest IV spike — 55.2% change
  • 2021-11-29: Highest IV Rank — 56.6%
  • 2021-11-29: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.92$29.83$35.90$34.61$29.83
Max Pain$32.86$25.00$35.00$25.00$35.00
ATM IV39.0%23.0%62.9%25.3%54.6%
Expected Move10.7%6.6%18.0%7.3%15.6%
HV 20d25.4%16.4%38.3%18.8%38.3%
HV 60d24.3%23.0%28.2%24.9%28.2%
IV Rank24.8%3.6%56.6%6.7%45.5%
IV Percentile52.5%1.6%91.7%4.4%85.3%
Term Structure-4.7%-28.2%11.0%-0.6%-23.6%
VWIV36.6%23.4%52.9%27.0%51.3%
Skew 25d9.2%-2.7%62.5%3.2%0.2%
Skew 10d14.2%0.2%92.7%3.5%1.8%
Call IV 25d36.1%24.5%46.8%38.2%46.0%
Put IV 25d45.3%29.5%93.9%41.4%46.2%
Bid-Ask Spread %108.4194.88120.13101.39118.81
Gamma HHI0.430.330.580.540.34
Net GEX64.1K31.3K90.2K74.1K31.3K
Net DEX-1.5M-2.4M-496.3K-1.8M-496.3K
Net VEX-4.2K-5.1K-2.9K-4.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.040.200.190.16
Total Volume501.238206906343264
Total OI1,228.2868231,4291,342835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$34.61$25.0025.3%7.3%18.8%6.7%27.0%3.2%-0.6%74.1K-1.8M-4.4K0.19101.39289541,28161
2021-11-02$34.37$25.0038.4%11.0%19.3%24.0%42.3%3.9%4.4%67.7K-1.9M-4.6K0.12104.64290341,29171
2021-11-03$34.75$25.0029.2%8.4%18.8%11.8%29.1%62.5%7.9%80.4K-1.9M-3.9K0.11120.13298341,29368
2021-11-04$35.53$30.0044.4%10.2%19.4%32.1%35.6%5.8%-0.6%78.5K-2.1M-4.4K0.2099.37172341,28068
2021-11-05$35.62$30.0044.5%12.1%18.9%32.2%40.1%15.1%-3.8%90.1K-2.4M-5.1K0.09107.47368341,35768
2021-11-08$35.67$30.0047.5%11.3%17.7%36.1%36.1%4.6%-7.3%90.2K-2.3M-4.4K0.0694.88566341,35968
2021-11-09$35.90$35.0055.5%11.3%16.4%46.7%33.9%-2.7%-0.0%85.0K-2.2M-4.3K0.04102.98560251,29678
2021-11-10$34.72$35.0038.8%11.1%21.9%24.5%39.3%13.7%-12.1%76.6K-1.9M-3.9K0.04110.41579251,30377
2021-11-11$33.09$35.0039.3%11.3%28.8%25.3%41.3%10.8%-8.8%59.1K-1.4M-3.6K0.06109.08622401,27777
2021-11-12$33.39$35.0032.9%9.4%28.5%16.8%31.9%6.5%-9.4%64.2K-1.2M-3.9K0.07109.78622421,28597
2021-11-15$33.59$35.0030.8%8.8%28.5%14.0%30.6%-0.8%-6.8%76.7K-1.3M-3.4K0.07105.65617421,285100
2021-11-16$33.71$35.0025.0%7.2%27.9%6.3%25.8%7.1%11.0%72.0K-1.3M-3.9K0.04108.22867381,285100
2021-11-17$33.97$35.0038.8%11.1%27.9%24.6%38.8%-1.7%-9.0%66.3K-1.4M-4.7K0.04104.90867381,329100
2021-11-18$33.89$35.0044.3%12.7%27.4%31.9%43.8%0.1%-19.4%68.2K-1.3M-4.3K0.05102.64866401,329100
2021-11-19$33.25$35.0040.9%11.7%28.3%27.3%40.3%3.3%-4.9%45.1K-1.1M-4.2K0.05107.33831411,324100
2021-11-22$33.73$35.0023.0%6.6%28.0%3.6%23.4%17.8%9.4%44.2K-1.2M-4.7K0.15110.162243478241
2021-11-23$33.89$35.0030.2%8.7%28.0%13.1%29.3%10.3%7.9%47.6K-1.1M-4.4K0.15110.632243479241
2021-11-24$34.23$35.0031.2%8.9%27.1%14.5%33.9%11.5%2.2%46.3K-1.2M-4.6K0.15114.612243479141
2021-11-26$33.35$35.0040.7%11.7%28.2%27.2%40.7%4.4%-6.3%46.0K-968.0K-4.0K0.15113.722243479141
2021-11-29$31.21$35.0062.9%18.0%36.2%56.6%52.9%17.7%-28.2%36.8K-814.9K-3.8K0.15119.722273479141
2021-11-30$29.83$35.0054.6%15.6%38.3%45.5%51.3%0.2%-23.6%31.3K-496.3K-2.9K0.16118.812273779441