CNNE Options History — December 2021

In December 2021, CNNE traded between $29.40 and $36.34. ATM implied volatility averaged 46.4%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 0.3% (HV 20d: 46.7%). 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 5 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2021-12-06: Highest Volume — 412 contracts
  • 2021-12-15: Largest IV drop — 52.6% change
  • 2021-12-14: Highest IV Rank — 64.6%
  • 2021-12-28: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.55$29.40$36.34$29.47$35.28
Max Pain$30.23$25.00$35.00$35.00$35.00
ATM IV46.4%28.6%69.0%47.8%41.8%
Expected Move11.2%7.3%15.4%13.7%12.0%
HV 20d46.7%36.7%53.5%38.3%42.4%
HV 60d33.9%28.3%36.2%28.3%35.9%
IV Rank34.6%11.1%64.6%36.5%28.6%
IV Percentile68.4%15.9%94.4%81.0%67.1%
Term Structure-7.4%-24.7%6.2%-11.3%-9.0%
VWIV43.1%27.3%66.4%49.9%41.6%
Skew 25d14.7%-10.9%45.9%34.5%20.8%
Skew 10d17.6%-17.2%86.5%50.6%28.7%
Call IV 25d35.5%26.1%61.2%50.1%30.6%
Put IV 25d50.2%32.9%84.6%84.6%51.4%
Bid-Ask Spread %106.2795.74114.69112.76105.52
Gamma HHI0.370.330.530.350.38
Net GEX53.9K31.1K66.3K31.1K59.3K
Net DEX-1.4M-2.0M-464.4K-467.3K-1.4M
Net VEX-3.9K-4.5K-2.6K-2.8K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.100.780.150.78
Total Volume219.727100412261132
Total OI992.9558381,114838964

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$29.47$35.0047.8%13.7%38.3%36.5%49.9%34.5%-11.3%31.1K-467.3K-2.8K0.15112.762273479444
2021-12-02$29.80$30.0046.3%13.3%38.3%34.5%47.1%4.1%-7.8%33.4K-464.4K-2.7K0.10114.673673880444
2021-12-03$29.40$30.0051.6%14.8%36.7%41.6%53.1%-10.9%-14.5%46.2K-617.1K-2.6K0.11114.693713995448
2021-12-06$31.25$25.0067.5%15.3%44.3%62.6%43.1%12.0%-24.7%53.8K-1.0M-4.0K0.11110.473714195852
2021-12-07$31.69$25.0046.6%11.7%44.8%34.9%47.1%7.9%-5.6%65.2K-1.3M-3.9K0.18108.62231411,02357
2021-12-08$33.91$25.0052.4%8.6%51.8%42.6%66.4%14.5%6.2%53.9K-1.8M-4.3K0.59102.3378461,01357
2021-12-09$34.10$25.0054.4%10.2%50.6%45.2%59.0%19.6%-9.6%61.1K-1.9M-3.9K0.60109.2078471,01562
2021-12-10$33.88$25.0044.8%7.3%47.5%32.6%27.3%1.0%5.9%54.4K-1.9M-3.9K0.39108.8672281,01563
2021-12-13$34.24$25.0060.8%7.5%47.5%53.7%29.3%8.5%0.2%58.3K-2.0M-4.1K0.10105.10234241,03465
2021-12-14$33.40$25.0069.0%7.7%48.4%64.6%30.1%15.2%2.8%55.7K-1.8M-3.6K0.21112.21213441,04866
2021-12-15$32.89$30.0032.7%9.4%48.6%16.5%39.3%13.0%-5.8%56.8K-1.3M-4.1K0.13108.123344499587
2021-12-16$33.48$30.0028.6%8.2%49.0%11.1%32.7%14.5%-7.0%58.9K-1.5M-3.9K0.11108.543253699587
2021-12-17$32.73$30.0034.0%9.8%49.6%18.3%37.5%19.8%-4.0%44.9K-883.2K-3.6K0.29103.931243689089
2021-12-20$32.75$30.0032.5%9.3%49.2%16.3%38.3%15.2%-5.4%44.0K-960.2K-3.7K0.31101.121233882168
2021-12-21$34.43$30.0042.1%12.1%52.2%29.0%42.7%16.5%-11.3%54.1K-1.2M-3.9K0.75101.41775882774
2021-12-22$35.26$35.0043.1%12.4%52.8%30.3%43.4%13.6%-15.5%54.7K-1.4M-4.1K0.69102.05845883193
2021-12-23$36.24$35.0041.5%11.9%53.5%28.1%43.6%19.4%-16.5%66.3K-1.6M-4.1K0.7895.74745885993
2021-12-27$36.11$35.0052.7%15.1%52.5%43.0%50.9%19.9%-13.0%56.8K-1.6M-4.5K0.5997.42995886493
2021-12-28$36.34$35.0053.6%15.4%45.5%44.2%50.4%17.6%-17.8%59.3K-1.7M-4.3K0.59104.66995887493
2021-12-29$35.70$35.0039.2%11.2%42.2%25.1%38.5%1.3%-5.5%57.9K-1.6M-4.2K0.59105.86995887393
2021-12-30$35.78$35.0037.0%10.6%41.5%22.2%36.4%45.9%6.0%58.9K-1.6M-4.4K0.72104.76805887393
2021-12-31$35.28$35.0041.8%12.0%42.4%28.6%41.6%20.8%-9.0%59.3K-1.4M-3.9K0.78105.52745887193