CNNE Options History — September 2022

In September 2022, CNNE traded between $19.44 and $23.90. ATM implied volatility averaged 51.8%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 15.1% (HV 20d: 36.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.04.

Notable Days

2022-09-07: Highest Volume — 262 contracts
2022-09-09: Largest IV spike — 98.8% change
2022-09-09: Highest IV Rank — 82.7%
2022-09-16: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.51	$19.44	$23.90	$21.42	$20.79
Max Pain	$20.26	$20.00	$22.50	$22.50	$20.00
ATM IV	51.8%	30.8%	112.1%	30.8%	52.8%
Expected Move	12.6%	8.6%	16.3%	8.8%	15.1%
HV 20d	36.6%	32.0%	41.9%	38.0%	41.7%
HV 60d	39.2%	37.0%	43.6%	43.6%	37.5%
IV Rank	26.8%	8.6%	82.7%	8.6%	27.7%
IV Percentile	49.4%	7.1%	99.2%	7.1%	64.7%
Term Structure	4.2%	-12.5%	24.3%	7.9%	7.4%
VWIV	46.2%	37.8%	53.2%	48.8%	48.9%
Skew 25d	4.4%	-23.0%	35.9%	5.7%	7.7%
Skew 10d	11.1%	-19.8%	31.8%	30.5%	21.9%
Call IV 25d	44.5%	27.3%	60.7%	30.7%	43.8%
Put IV 25d	48.9%	36.4%	88.2%	36.4%	51.4%
Bid-Ask Spread %	118.42	106.62	139.82	136.46	116.27
Gamma HHI	0.53	0.41	0.74	0.52	0.56
Net GEX	1.1K	-5.0K	9.2K	8.3K	-3.7K
Net DEX	-103.2K	-319.3K	85.6K	-149.5K	-25.0K
Net VEX	-1.0K	-1.2K	-832	-899	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.00	2.43	0.72	0.48
Total Volume	84.143	0	262	0	169
Total OI	417.952	321	452	321	419

Daily Data (21 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
2022-09-01	$21.42	$22.50	30.8%	8.8%	38.0%	8.6%	0.0%	5.7%	7.9%	8.3K	-149.5K	-899	0.00	136.46	0	0	245	76
2022-09-02	$21.48	$22.50	32.1%	9.2%	36.5%	9.8%	0.0%	11.4%	17.7%	9.2K	-129.6K	-832	0.00	132.98	0	0	245	76
2022-09-06	$21.71	$0.00	42.6%	14.7%	33.1%	18.2%	0.0%	-0.2%	-0.8%	8.4K	-178.7K	-913	0.72	108.96	79	57	245	76
2022-09-07	$22.51	$0.00	67.6%	14.5%	32.0%	41.4%	48.8%	8.0%	-12.5%	8.4K	-229.8K	-976	2.16	109.15	83	179	247	76
2022-09-08	$22.95	$20.00	56.4%	12.7%	32.2%	31.0%	0.0%	3.5%	3.7%	5.9K	-214.9K	-1.2K	0.00	112.54	0	0	253	198
2022-09-09	$23.54	$20.00	112.1%	8.6%	33.3%	82.7%	0.0%	-23.0%	24.3%	3.5K	-279.9K	-1.1K	0.00	137.72	0	0	253	198
2022-09-12	$23.90	$20.00	53.8%	14.3%	33.3%	28.6%	0.0%	11.6%	-6.3%	5.6K	-319.3K	-1.0K	0.00	139.82	0	1	253	198
2022-09-13	$23.11	$20.00	89.5%	9.3%	35.5%	61.7%	48.0%	-19.2%	15.7%	6.8K	-245.4K	-1.1K	2.43	122.56	74	180	253	199
2022-09-14	$22.47	$20.00	49.6%	14.2%	36.7%	24.7%	0.0%	8.9%	-2.0%	2.2K	-236.6K	-1.0K	0.00	114.73	0	0	253	199
2022-09-15	$22.35	$20.00	44.6%	12.8%	36.7%	20.0%	0.0%	5.7%	-11.8%	2.4K	-232.1K	-967	0.00	121.90	0	0	253	199
2022-09-16	$21.68	$20.00	56.9%	16.3%	36.9%	31.4%	46.3%	9.4%	12.8%	-3.1K	-54.1K	-1.1K	2.22	107.59	81	180	253	199
2022-09-19	$21.81	$20.00	42.0%	12.0%	34.8%	17.6%	40.2%	-8.2%	6.5%	-4.2K	-58.2K	-1.0K	0.00	119.59	52	0	181	197
2022-09-20	$20.79	$20.00	42.0%	12.0%	38.2%	17.6%	42.0%	2.0%	2.2%	-2.3K	-29.3K	-1.1K	0.00	115.24	0	20	234	197
2022-09-21	$20.95	$20.00	44.0%	12.6%	38.3%	19.4%	0.0%	16.4%	4.3%	-1.2K	-28.4K	-1.1K	0.00	117.77	0	0	234	206
2022-09-22	$20.15	$20.00	44.3%	12.7%	38.3%	19.8%	0.0%	15.4%	4.4%	-3.3K	34.9K	-1.1K	0.00	113.78	0	0	234	206
2022-09-23	$19.72	$20.00	43.8%	12.6%	37.6%	19.3%	0.0%	0.4%	2.7%	-4.2K	70.1K	-1.0K	0.00	106.79	0	4	234	206
2022-09-26	$19.44	$20.00	43.2%	12.4%	36.0%	18.7%	53.2%	35.9%	-3.4%	-5.0K	74.0K	-1.0K	0.51	121.96	108	55	234	210
2022-09-27	$19.64	$20.00	47.2%	13.5%	36.4%	22.4%	37.8%	5.8%	3.1%	-4.3K	85.6K	-1.0K	0.51	115.27	108	55	234	209
2022-09-28	$20.72	$20.00	45.0%	12.9%	41.9%	20.4%	46.2%	-2.1%	-1.6%	-3.2K	-5.4K	-1.0K	0.82	106.62	67	55	234	209
2022-09-29	$20.64	$20.00	46.6%	13.4%	41.8%	21.9%	50.9%	-3.2%	14.0%	-3.3K	-14.5K	-1.1K	0.52	109.11	105	55	243	209
2022-09-30	$20.79	$20.00	52.8%	15.1%	41.7%	27.7%	48.9%	7.7%	7.4%	-3.7K	-25.0K	-1.0K	0.48	116.27	114	55	210	209