CNNE Options History — November 2022

In November 2022, CNNE traded between $21.55 and $25.50. ATM implied volatility averaged 50.7%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 2.6% (HV 20d: 53.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2022-11-17: Highest Volume — 711 contracts
2022-11-28: Largest IV spike — 43.1% change
2022-11-01: Highest IV Rank — 48.7%
2022-11-01: Largest Expected Move — 21.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.24	$21.55	$25.50	$23.33	$23.07
Max Pain	$21.67	$20.00	$22.50	$20.00	$22.50
ATM IV	50.7%	39.4%	75.5%	75.5%	54.9%
Expected Move	13.8%	11.3%	21.7%	21.7%	15.7%
HV 20d	53.2%	40.3%	61.1%	40.3%	57.3%
HV 60d	45.4%	40.7%	48.4%	40.7%	48.4%
IV Rank	24.7%	13.8%	48.7%	48.7%	25.7%
IV Percentile	45.8%	9.5%	92.9%	92.9%	66.7%
Term Structure	-5.4%	-17.5%	17.2%	-14.1%	-8.2%
VWIV	49.6%	39.7%	65.0%	59.5%	43.7%
Skew 25d	7.6%	-12.4%	23.4%	11.8%	23.4%
Skew 10d	16.4%	6.0%	61.4%	26.7%	10.7%
Call IV 25d	43.0%	30.4%	62.9%	62.9%	30.4%
Put IV 25d	50.7%	37.7%	74.7%	74.7%	53.9%
Bid-Ask Spread %	112.20	86.48	130.00	86.48	130.00
Gamma HHI	0.51	0.22	0.79	0.25	0.72
Net GEX	10.7K	715	20.1K	1.4K	18.6K
Net DEX	-490.0K	-1.1M	-91.2K	-207.9K	-643.1K
Net VEX	-2.3K	-4.0K	-520	-773	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.00	3.19	2.59	0.00
Total Volume	335.905	0	711	183	0
Total OI	568.762	361	882	389	675

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
2022-11-01	$23.33	$20.00	75.5%	21.7%	40.3%	48.7%	59.5%	11.8%	-14.1%	1.4K	-207.9K	-773	2.59	86.48	51	132	218	171
2022-11-02	$22.19	$20.00	54.5%	15.6%	44.4%	29.2%	65.0%	16.0%	-5.1%	1.2K	-150.9K	-777	2.05	107.73	65	133	218	171
2022-11-03	$21.55	$22.50	54.7%	14.3%	45.5%	29.4%	56.5%	14.6%	-17.5%	783	-120.2K	-744	3.16	117.15	43	136	204	157
2022-11-04	$21.81	$20.00	46.4%	12.4%	44.1%	21.7%	43.0%	-0.6%	-0.1%	715	-132.9K	-730	3.19	111.49	43	137	203	160
2022-11-07	$22.51	$20.00	58.9%	12.8%	45.1%	33.3%	46.7%	11.8%	-2.0%	1.4K	-193.2K	-670	3.14	94.38	44	138	203	161
2022-11-08	$22.41	$20.00	71.3%	11.5%	44.1%	44.8%	41.4%	9.7%	2.6%	1.2K	-174.8K	-647	3.14	100.48	44	138	204	162
2022-11-09	$21.82	$20.00	48.9%	14.0%	45.4%	24.0%	46.4%	5.7%	-3.5%	1.2K	-91.2K	-708	3.18	111.44	44	140	204	162
2022-11-10	$24.19	$20.00	47.6%	13.6%	57.5%	22.8%	61.1%	17.8%	17.2%	2.0K	-267.0K	-620	2.98	122.28	47	140	204	163
2022-11-11	$25.50	$22.50	41.2%	11.8%	58.7%	16.9%	42.4%	1.1%	-3.0%	2.8K	-358.3K	-520	2.59	107.91	59	153	205	160
2022-11-14	$24.86	$22.50	40.6%	11.6%	60.0%	16.4%	49.3%	-0.8%	-5.9%	2.9K	-338.4K	-610	0.27	110.37	557	153	217	173
2022-11-15	$25.18	$22.50	47.3%	13.6%	59.6%	22.5%	50.2%	3.3%	-7.1%	19.4K	-1.1M	-4.0K	0.27	106.31	557	153	708	173
2022-11-16	$24.82	$22.50	40.7%	11.7%	58.1%	16.4%	56.1%	-1.8%	-1.8%	19.2K	-1.0M	-3.9K	0.27	115.28	557	153	708	173
2022-11-17	$24.31	$22.50	44.7%	12.8%	58.9%	20.1%	57.2%	-12.4%	-9.1%	18.7K	-963.1K	-3.9K	0.27	116.94	558	153	708	173
2022-11-18	$23.62	$22.50	40.3%	11.6%	60.6%	16.1%	41.7%	-0.9%	-8.4%	19.3K	-828.1K	-3.8K	0.27	111.19	558	153	709	173
2022-11-21	$23.32	$22.50	48.0%	13.8%	61.1%	23.2%	43.0%	12.2%	0.3%	17.6K	-667.7K	-3.7K	0.11	106.67	542	61	600	58
2022-11-22	$22.86	$22.50	39.4%	11.3%	54.9%	15.2%	39.7%	11.4%	0.6%	20.1K	-622.8K	-3.7K	0.11	109.78	547	61	611	58
2022-11-23	$23.08	$22.50	49.0%	14.1%	54.6%	20.0%	43.7%	17.3%	-11.5%	19.0K	-635.8K	-3.7K	0.11	117.38	542	61	616	58
2022-11-25	$22.95	$22.50	42.7%	12.3%	54.2%	13.8%	0.0%	6.4%	-11.6%	20.0K	-606.7K	-3.6K	0.00	125.16	0	0	616	58
2022-11-28	$21.98	$22.50	61.2%	17.5%	56.3%	31.9%	0.0%	2.7%	-15.2%	18.9K	-582.4K	-3.5K	0.00	120.84	1	0	616	58
2022-11-29	$22.70	$22.50	55.8%	16.0%	57.0%	26.6%	0.0%	11.8%	-10.6%	18.1K	-590.6K	-3.5K	0.00	127.00	0	0	617	58
2022-11-30	$23.07	$22.50	54.9%	15.7%	57.3%	25.7%	0.0%	23.4%	-8.2%	18.6K	-643.1K	-3.6K	0.00	130.00	0	0	617	58