CNNE Options History — May 2022

In May 2022, CNNE traded between $17.93 and $23.22. ATM implied volatility averaged 62.9%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 4.2% (HV 20d: 58.8%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2022-05-06: Highest Volume — 748 contracts
  • 2022-05-06: Largest IV spike — 56.7% change
  • 2022-05-02: Highest IV Rank — 100.0%
  • 2022-05-02: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.87$17.93$23.22$22.81$20.41
Max Pain$19.64$17.50$25.00$25.00$17.50
ATM IV62.9%40.4%103.5%92.9%40.4%
Expected Move17.2%11.6%26.6%26.6%11.6%
HV 20d58.8%47.5%66.3%47.5%63.6%
HV 60d51.1%46.6%53.5%46.8%52.8%
IV Rank53.9%24.2%100.0%100.0%24.2%
IV Percentile83.4%46.0%100.0%100.0%46.0%
Term Structure-3.9%-57.3%21.2%-57.3%0.0%
VWIV62.1%50.1%84.2%70.1%54.9%
Skew 25d12.1%-20.1%37.6%14.6%-10.8%
Skew 10d12.1%-26.4%66.1%-26.4%-0.2%
Call IV 25d57.8%27.8%77.3%74.7%54.8%
Put IV 25d69.9%43.9%94.5%89.3%43.9%
Bid-Ask Spread %112.39106.95122.64114.12119.72
Gamma HHI0.590.380.930.900.53
Net GEX31.2K3.3K128.2K75.4K18.6K
Net DEX-392.7K-1.5M50.9K-1.5M-299.1K
Net VEX-2.0K-4.8K-859-4.8K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.082.420.651.82
Total Volume233.524101748112169
Total OI1,8155342,3922,358557

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$22.81$25.0092.9%26.6%47.5%100.0%70.1%14.6%-57.3%75.4K-1.5M-4.8K0.65114.1268442,247111
2022-05-03$22.28$25.0085.5%24.5%47.9%89.7%67.9%36.4%-12.4%75.4K-1.2M-4.3K0.65111.8768442,247111
2022-05-04$23.22$25.0058.8%16.8%50.3%53.0%50.1%14.6%-7.2%128.2K-1.4M-4.5K0.64106.9569442,247111
2022-05-05$21.90$25.0048.3%20.1%53.1%38.6%80.1%-20.1%1.8%83.6K-755.7K-3.5K0.67108.3469462,249111
2022-05-06$21.37$25.0075.8%18.1%53.4%76.3%71.7%6.8%19.4%73.8K-941.8K-3.6K0.08108.68692562,249113
2022-05-09$19.69$25.0086.4%18.3%59.3%91.1%84.2%4.7%-14.5%27.0K-173.8K-1.9K2.23115.29521162,050115
2022-05-10$18.38$17.50103.5%16.5%62.5%100.0%62.5%-10.4%-8.9%11.6K-4.7K-1.2K2.15115.24541162,058137
2022-05-11$17.93$17.5078.5%22.5%61.7%70.0%84.0%8.8%0.9%9.1K19.5K-9942.19112.54531162,060126
2022-05-12$18.48$17.5056.5%16.2%63.4%43.5%53.0%24.8%3.2%3.3K50.9K-8590.45109.902591162,060126
2022-05-13$19.21$17.5063.5%18.2%65.9%52.0%58.8%10.1%-9.3%20.2K-254.4K-1.8K0.45107.522561162,266126
2022-05-16$18.58$17.5054.1%15.5%66.3%40.7%52.2%-9.4%15.4%15.6K-144.8K-1.5K0.28114.51256722,266126
2022-05-17$18.86$17.5049.7%14.3%57.5%35.4%52.7%20.2%-18.5%16.3K-144.2K-1.2K0.28115.75259722,266115
2022-05-18$18.22$17.5065.7%18.8%57.6%54.6%58.1%11.0%-4.8%9.1K-79.9K-1.2K0.28112.31259722,269115
2022-05-19$19.09$17.5057.3%16.4%61.1%44.4%62.1%31.3%9.7%17.3K-175.9K-1.3K0.28122.64255722,230115
2022-05-20$19.09$17.5054.3%15.6%61.0%40.8%56.9%26.4%3.4%9.9K-99.2K-1.2K0.31110.11255792,231122
2022-05-23$19.39$17.5057.2%16.4%60.1%44.3%56.8%11.2%4.6%11.4K-217.9K-1.3K1.66113.41386344789
2022-05-24$18.79$17.5048.5%13.9%58.7%33.9%51.7%21.3%-1.5%9.8K-126.1K-1.3K1.66110.593863454114
2022-05-25$19.11$17.5048.9%14.0%59.4%34.4%59.1%37.6%21.2%8.9K-145.3K-1.4K1.50114.634263456114
2022-05-26$19.68$17.5050.3%14.4%60.0%36.1%59.6%7.7%-15.5%13.3K-202.8K-1.4K2.42108.5445109461114
2022-05-27$20.78$17.5045.1%12.9%63.8%29.8%58.8%18.2%-11.7%17.1K-348.5K-1.5K1.82107.646010946668
2022-05-31$20.41$17.5040.4%11.6%63.6%24.2%54.9%-10.8%0.0%18.6K-299.1K-1.4K1.82119.726010947978