CNNE Options History — January 2022

In January 2022, CNNE traded between $28.36 and $36.07. ATM implied volatility averaged 45.0%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 14.4% (HV 20d: 30.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.28.

Notable Days

2022-01-07: Highest Volume — 339 contracts
2022-01-05: Largest IV spike — 45.6% change
2022-01-28: Highest IV Rank — 75.6%
2022-01-28: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.22	$28.36	$36.07	$36.07	$29.59
Max Pain	$30.75	$30.00	$35.00	$35.00	$30.00
ATM IV	45.0%	32.3%	64.8%	43.0%	48.1%
Expected Move	13.1%	9.3%	18.6%	12.3%	13.8%
HV 20d	30.7%	22.0%	41.8%	41.8%	32.5%
HV 60d	37.1%	36.1%	39.4%	36.1%	39.4%
IV Rank	38.2%	16.5%	75.6%	30.1%	47.3%
IV Percentile	70.5%	30.6%	96.0%	70.2%	84.5%
Term Structure	-7.8%	-27.1%	22.8%	-14.4%	-5.9%
VWIV	45.1%	26.3%	84.1%	43.0%	55.5%
Skew 25d	9.9%	-5.8%	58.9%	14.2%	5.3%
Skew 10d	10.5%	-10.5%	55.4%	-1.9%	7.5%
Call IV 25d	38.4%	28.9%	54.2%	28.9%	43.5%
Put IV 25d	48.2%	32.3%	98.5%	43.1%	48.7%
Bid-Ask Spread %	111.78	95.50	124.11	112.09	122.47
Gamma HHI	0.36	0.31	0.43	0.41	0.43
Net GEX	39.1K	19.8K	64.7K	64.7K	22.8K
Net DEX	-781.5K	-1.6M	-268.3K	-1.6M	-268.3K
Net VEX	-2.8K	-4.2K	-1.4K	-3.5K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.14	0.60	0.47	0.60
Total Volume	245.25	85	339	181	85
Total OI	883.1	788	964	964	792

Daily Data (20 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
2022-01-03	$36.07	$35.00	43.0%	12.3%	41.8%	30.1%	43.0%	14.2%	-14.4%	64.7K	-1.6M	-3.5K	0.47	112.09	123	58	871	93
2022-01-04	$35.79	$35.00	37.5%	10.8%	37.6%	22.9%	36.0%	7.3%	-12.2%	60.0K	-1.5M	-4.0K	0.47	109.94	123	58	851	93
2022-01-05	$35.16	$35.00	54.6%	15.7%	38.5%	45.6%	49.8%	16.2%	-13.0%	51.8K	-1.4M	-4.1K	0.55	117.48	123	68	851	93
2022-01-06	$34.80	$30.00	46.2%	14.0%	30.9%	34.4%	45.7%	-5.8%	-20.1%	48.3K	-1.4M	-4.2K	0.55	116.38	123	68	851	103
2022-01-07	$34.52	$30.00	44.9%	12.9%	31.0%	32.6%	49.6%	-3.0%	-14.3%	52.8K	-1.2M	-3.8K	0.25	104.50	271	68	851	103
2022-01-10	$33.77	$30.00	39.7%	12.7%	32.0%	26.6%	41.2%	6.7%	-9.1%	48.2K	-1.0M	-3.4K	0.18	104.74	271	50	797	103
2022-01-11	$34.22	$30.00	37.8%	11.8%	32.1%	24.0%	41.5%	12.2%	0.0%	52.5K	-942.9K	-3.3K	0.18	95.50	271	50	797	103
2022-01-12	$33.70	$30.00	40.3%	11.5%	31.3%	27.5%	31.4%	7.2%	-9.2%	51.3K	-927.9K	-3.0K	0.18	104.70	271	50	797	103
2022-01-13	$33.26	$30.00	46.2%	13.3%	31.2%	35.6%	40.8%	27.8%	-12.1%	46.5K	-863.6K	-3.2K	0.22	104.16	224	50	797	103
2022-01-14	$32.27	$30.00	32.3%	9.3%	32.3%	16.5%	26.3%	-0.9%	11.7%	38.2K	-749.3K	-3.0K	0.23	101.81	225	51	800	103
2022-01-18	$31.19	$30.00	34.9%	10.0%	33.5%	24.8%	33.7%	0.7%	-1.4%	32.3K	-436.4K	-2.1K	0.23	114.78	225	51	802	103
2022-01-19	$30.59	$30.00	42.7%	12.2%	34.0%	38.0%	44.6%	1.7%	-2.4%	26.3K	-408.8K	-2.3K	0.22	112.94	231	51	802	103
2022-01-20	$30.90	$30.00	37.8%	10.8%	28.1%	29.7%	35.3%	4.3%	5.9%	28.5K	-456.1K	-2.3K	0.17	113.04	231	40	807	103
2022-01-21	$30.66	$30.00	46.4%	13.3%	25.9%	44.4%	46.4%	-1.3%	-4.7%	28.7K	-412.5K	-2.2K	0.17	110.35	231	40	807	104
2022-01-24	$30.69	$30.00	59.9%	17.2%	22.8%	67.3%	60.1%	13.5%	-17.8%	26.6K	-403.8K	-1.9K	0.14	117.97	221	32	730	67
2022-01-25	$30.37	$30.00	58.5%	16.8%	22.7%	65.0%	59.8%	-3.2%	-22.4%	26.6K	-430.8K	-2.1K	0.14	114.07	221	32	730	67
2022-01-26	$30.03	$30.00	37.6%	10.8%	22.0%	29.4%	38.1%	1.9%	-10.5%	28.5K	-421.4K	-1.9K	0.15	112.90	220	32	730	67
2022-01-27	$28.50	$30.00	47.8%	13.7%	26.6%	46.7%	39.8%	34.2%	22.8%	28.2K	-410.8K	-1.7K	0.15	121.77	220	32	730	67
2022-01-28	$28.36	$30.00	64.8%	18.6%	26.3%	75.6%	84.1%	58.9%	-27.1%	19.8K	-372.6K	-1.8K	0.39	124.11	82	32	730	58
2022-01-31	$29.59	$30.00	48.1%	13.8%	32.5%	47.3%	55.5%	5.3%	-5.9%	22.8K	-268.3K	-1.4K	0.60	122.47	53	32	734	58