CNNE Options History — March 2022

In March 2022, CNNE traded between $23.44 and $27.17. ATM implied volatility averaged 52.2%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 2.1% (HV 20d: 50.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2022-03-02: Highest Volume — 338 contracts
  • 2022-03-28: Largest IV spike — 45.3% change
  • 2022-03-01: Highest IV Rank — 95.1%
  • 2022-03-11: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.71$23.44$27.17$26.91$24.00
Max Pain$24.78$22.50$25.00$22.50$25.00
ATM IV52.2%36.8%71.7%71.7%52.7%
Expected Move15.2%10.7%20.7%20.6%10.7%
HV 20d50.1%46.0%53.1%50.2%50.5%
HV 60d42.8%40.7%44.4%43.2%44.4%
IV Rank59.1%30.6%95.1%95.1%59.9%
IV Percentile84.3%49.6%99.6%99.6%86.1%
Term Structure-5.4%-36.1%13.1%-36.1%-15.3%
VWIV55.0%39.6%83.9%63.6%39.6%
Skew 25d7.2%-28.4%33.8%-1.7%-4.2%
Skew 10d9.7%-20.7%47.3%10.1%16.8%
Call IV 25d49.5%34.3%71.1%61.8%49.3%
Put IV 25d56.7%38.9%80.1%60.1%45.2%
Bid-Ask Spread %107.3088.65125.39116.0996.75
Gamma HHI0.840.740.940.770.94
Net GEX35.6K25.3K51.9K31.8K51.9K
Net DEX-938.0K-1.3M-574.2K-1.3M-865.4K
Net VEX-4.0K-4.7K-3.0K-3.6K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.221.810.231.81
Total Volume142.43574338330104
Total OI1,137.3489791,2779791,236

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$26.91$22.5071.7%20.6%50.2%95.1%63.6%-1.7%-36.1%31.8K-1.3M-3.6K0.23116.092696192950
2022-03-02$27.17$25.0062.5%17.9%49.6%78.1%52.6%9.6%-6.7%29.4K-1.3M-3.8K0.22111.402776193673
2022-03-03$26.55$25.0056.9%16.3%46.0%67.7%54.7%17.6%-7.0%27.8K-1.1M-4.0K0.22121.862776194673
2022-03-04$25.35$22.5054.1%15.5%46.7%62.5%71.7%-10.2%7.8%26.5K-972.0K-3.9K0.73121.94554094663
2022-03-07$24.07$25.0057.5%16.5%48.4%68.8%66.8%18.1%4.4%25.3K-750.7K-3.5K0.84125.27554694965
2022-03-08$23.44$25.0050.4%18.2%47.8%55.8%70.9%13.8%11.5%26.0K-612.8K-3.3K1.09116.22556094973
2022-03-09$24.76$25.0050.5%19.1%52.4%55.9%74.8%16.6%-4.2%28.7K-810.5K-3.5K1.09120.65556094972
2022-03-10$24.72$25.0046.4%18.8%51.3%48.3%70.8%28.1%-4.7%31.1K-798.7K-3.4K1.36119.90557594972
2022-03-11$24.02$25.0060.7%20.7%51.5%74.7%83.9%14.9%-15.8%30.8K-701.9K-3.4K1.36125.39557594987
2022-03-14$23.55$25.0048.1%16.9%51.5%51.5%50.3%14.4%13.1%25.3K-574.2K-3.0K1.2999.67587594987
2022-03-15$23.78$25.0049.7%15.5%51.0%54.4%50.3%33.8%-2.1%27.3K-641.4K-3.2K0.3099.932487595087
2022-03-16$24.78$25.0052.0%13.3%52.9%58.7%48.9%30.2%-12.3%38.3K-1.1M-4.7K1.65101.1543711,154104
2022-03-17$24.72$25.0056.2%13.7%52.9%66.4%50.2%21.2%-8.9%35.3K-1.0M-4.5K1.4891.6648711,155115
2022-03-18$25.14$25.0048.6%14.6%52.8%52.4%48.9%-5.3%1.8%37.7K-1.1M-4.7K1.4895.2348711,162115
2022-03-21$24.00$25.0040.5%12.9%52.1%37.4%43.4%1.8%2.1%39.1K-932.7K-4.3K1.3197.8935461,14982
2022-03-22$24.81$25.0036.8%11.9%53.1%30.6%43.3%1.7%5.1%43.1K-1.1M-4.5K1.31101.2935461,14991
2022-03-23$24.18$25.0053.4%11.6%51.1%61.2%41.8%0.3%-13.2%44.9K-904.1K-4.3K1.44104.1532461,14991
2022-03-24$24.36$25.0050.3%12.2%46.9%55.5%46.6%3.8%-8.1%44.6K-925.2K-4.3K1.3199.1732421,15191
2022-03-25$24.47$25.0042.5%11.2%47.0%41.0%41.9%8.4%-4.1%46.9K-1.0M-4.3K1.1496.1837421,15191
2022-03-28$23.98$25.0061.7%14.6%46.4%76.5%49.7%-13.4%-18.5%38.2K-884.3K-4.2K1.14107.0337421,15691
2022-03-29$25.16$25.0048.4%14.4%50.1%52.1%53.3%-5.3%-4.2%41.3K-1.2M-4.4K1.70110.4237631,15691
2022-03-30$24.40$25.0049.8%11.9%50.8%54.6%46.8%-28.4%-8.2%47.9K-1.0M-4.1K1.7088.6537631,15670
2022-03-31$24.00$25.0052.7%10.7%50.5%59.9%39.6%-4.2%-15.3%51.9K-865.4K-4.1K1.8196.7537671,15680