CNNE Options History — June 2022

In June 2022, CNNE traded between $17.23 and $20.81. ATM implied volatility averaged 56.1%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 2.2% (HV 20d: 53.9%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2022-06-17: Highest Volume — 8,472 contracts
  • 2022-06-02: Largest IV spike — 53.8% change
  • 2022-06-15: Highest IV Rank — 82.4%
  • 2022-06-15: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.48$17.23$20.81$20.05$19.27
Max Pain$19.17$17.50$22.50$17.50$17.50
ATM IV56.1%38.8%88.8%44.7%48.0%
Expected Move15.4%10.5%25.5%12.8%13.8%
HV 20d53.9%43.7%63.4%63.4%56.0%
HV 60d52.8%50.2%55.3%52.0%55.2%
IV Rank43.0%22.3%82.4%29.3%33.3%
IV Percentile74.4%40.5%98.8%57.5%59.5%
Term Structure-5.7%-39.5%22.3%22.3%1.7%
VWIV55.7%30.8%115.9%44.8%56.0%
Skew 25d14.9%-1.2%51.3%-1.2%9.8%
Skew 10d16.1%-12.2%62.3%-2.5%10.1%
Call IV 25d48.0%36.7%64.3%45.5%47.7%
Put IV 25d62.9%44.3%92.9%44.3%57.5%
Bid-Ask Spread %108.3380.31127.9099.4899.64
Gamma HHI0.570.350.810.570.67
Net GEX187.4K532544.5K19.3K544.5K
Net DEX-3.4M-13.3M3.0M-291.2K-8.4M
Net VEX-7.1K-13.6K-835-1.4K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.041.181.060.85
Total Volume1,680.9522498,4722,172300
Total OI5,297.3335488,8635488,863

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$20.05$17.5044.7%12.8%63.4%29.3%44.8%-1.2%22.3%19.3K-291.2K-1.4K1.0699.481,0551,11748068
2022-06-02$20.42$22.5068.7%16.1%61.7%58.2%36.6%32.9%-39.5%15.5K-828.8K-4.6K0.36112.165752091,4801,073
2022-06-03$20.17$22.5051.3%12.9%58.6%37.3%40.8%23.4%-1.8%58.0K-974.1K-5.4K1.18117.295756791,9951,174
2022-06-06$20.79$22.5057.6%12.7%59.3%44.8%30.8%8.7%-10.7%18.8K-1.6M-5.0K1.18112.395756791,9951,659
2022-06-07$20.81$22.5053.3%10.5%51.1%39.7%40.5%3.6%-3.6%19.9K-1.5M-4.6K1.18115.375756791,9951,659
2022-06-08$20.71$22.5038.8%11.1%43.7%22.3%42.9%9.0%5.3%23.0K-1.3M-4.8K1.17117.445786791,9951,659
2022-06-09$20.14$22.5045.2%13.0%44.0%30.0%46.7%21.9%3.4%20.6K-760.5K-4.8K1.17109.425786791,9981,659
2022-06-10$19.61$22.5048.7%14.0%44.5%34.1%62.3%13.7%-6.0%20.0K71.6K-4.3K0.46116.785782661,9981,659
2022-06-13$18.13$17.5071.5%20.5%51.0%61.5%71.5%13.6%-30.1%10.1K1.6M-2.8K0.47122.565782731,9981,727
2022-06-14$17.91$17.5068.9%19.8%49.8%58.4%79.5%51.3%-11.1%8.4K1.2M-2.8K0.97127.905785601,9981,727
2022-06-15$18.29$17.5088.8%25.5%50.2%82.4%115.9%24.3%-29.0%10.6K1.5M-2.5K0.59116.435783401,9981,824
2022-06-16$17.23$17.5054.5%15.6%53.1%41.1%61.1%10.7%4.4%4.9K2.3M-1.3K0.57111.995783321,9981,772
2022-06-17$18.04$17.5077.8%22.3%53.0%69.1%54.8%14.4%14.6%5323.0M-8350.04102.988,1403321,9981,772
2022-06-21$18.65$17.5056.2%16.1%54.5%43.1%55.4%5.4%-2.9%364.6K-6.3M-13.6K0.0599.182,6401317,852133
2022-06-22$18.70$17.5059.7%17.1%54.2%47.3%59.0%13.5%8.0%375.8K-6.1M-13.3K0.05103.892,5521317,898133
2022-06-23$19.63$17.5048.7%14.0%55.8%34.1%54.1%3.5%4.1%432.5K-8.6M-13.6K0.0495.853,0551317,899133
2022-06-24$20.56$17.5049.8%14.3%57.7%35.5%58.4%17.1%-23.2%455.4K-11.8M-13.5K0.0599.142,8071318,443133
2022-06-27$20.75$17.5046.1%13.2%57.0%31.1%49.3%23.9%1.8%477.4K-13.3M-11.8K0.34108.753771288,652133
2022-06-28$19.78$17.5046.5%13.3%56.2%31.5%53.0%6.1%-19.9%544.5K-10.3M-12.6K1.0680.311211288,672133
2022-06-29$19.42$17.5053.0%15.2%56.3%39.3%56.0%7.0%-7.1%510.5K-8.7M-12.7K0.84106.061651388,676133
2022-06-30$19.27$17.5048.0%13.8%56.0%33.3%56.0%9.8%1.7%544.5K-8.4M-12.4K0.8599.641621388,720143