CNNE Options History — August 2023

In August 2023, CNNE traded between $18.38 and $19.93. ATM implied volatility averaged 55.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 25.7% (HV 20d: 29.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 3.09.

Notable Days

  • 2023-08-02: Highest Volume — 3,190 contracts
  • 2023-08-29: Largest IV spike — 56.6% change
  • 2023-08-31: Highest IV Rank — 25.2%
  • 2023-08-31: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.29$18.38$19.93$19.88$19.77
Max Pain$19.72$17.50$20.00$17.50$20.00
ATM IV55.0%29.7%81.1%56.4%81.1%
Expected Move15.4%8.5%23.3%16.2%23.3%
HV 20d29.4%24.6%31.5%24.6%27.3%
HV 60d24.9%23.7%25.7%23.7%24.1%
IV Rank12.0%0.0%25.2%12.6%25.2%
IV Percentile58.7%0.0%96.4%71.0%96.4%
Term Structure-8.7%-53.0%28.7%-5.1%-53.0%
VWIV35.7%22.9%42.3%42.3%40.6%
Skew 25d16.3%-5.7%53.6%28.8%7.8%
Skew 10d28.5%0.4%108.8%36.4%29.5%
Call IV 25d46.3%15.8%76.5%54.0%48.9%
Put IV 25d62.5%41.2%92.5%82.7%56.7%
Bid-Ask Spread %116.67107.69140.29133.96125.86
Gamma HHI0.300.240.550.310.25
Net GEX1.1K-38.0K57.0K2.2K1.1K
Net DEX78.0K-480.0K311.1K-47.6K-19.1K
Net VEX-556-2.7K-290-337-304
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.0021.002.130.00
Total Volume276.47803,19000
Total OI519.0431323,326151166

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$19.88$17.5056.4%16.2%24.6%12.6%0.0%28.8%-5.1%2.2K-47.6K-3370.00133.960012427
2023-08-02$19.16$17.5058.5%16.8%27.1%13.6%42.3%8.1%25.0%1.6K-46.3K-3582.13127.811,0202,17012427
2023-08-03$19.09$0.0045.0%14.2%26.0%7.0%0.0%21.1%-1.3%57.0K-438.9K-2.7K0.00140.29001,1292,197
2023-08-04$19.84$0.0063.5%16.5%29.7%16.1%0.0%15.9%-18.3%-38.0K-480.0K-2.3K1.98110.721,0082,0001,1292,197
2023-08-07$19.93$0.0066.8%17.5%29.6%17.7%0.0%19.8%-9.3%401255.2K-4280.00109.3900134197
2023-08-08$19.87$0.0080.2%16.6%29.3%24.3%0.0%18.1%-6.9%-827245.8K-4260.00109.1100134198
2023-08-09$19.84$0.0044.4%12.7%28.1%6.7%34.6%10.9%-3.2%-287248.0K-4220.00109.47040134198
2023-08-10$19.14$20.0056.4%16.2%30.1%12.6%41.1%11.1%-28.9%-526311.1K-42621.00117.06242134238
2023-08-11$19.38$20.0050.8%14.6%30.5%9.8%0.0%-5.7%-4.8%307290.7K-4240.00111.6900135226
2023-08-14$19.66$20.0039.5%11.3%30.9%4.3%0.0%14.9%-1.3%252284.9K-4440.00112.50100135226
2023-08-15$19.45$20.0056.7%16.3%30.6%12.7%0.0%23.2%-11.8%648278.0K-4280.00114.70270145226
2023-08-16$18.94$20.0044.0%12.6%30.5%6.5%0.0%13.4%6.8%2.4K274.8K-3830.25114.6341172226
2023-08-17$18.73$20.0061.6%17.6%30.1%15.1%0.0%6.5%-24.9%-16303.3K-3660.00111.6900168226
2023-08-18$18.77$20.0050.4%14.5%30.1%9.7%0.0%53.6%-18.6%145291.5K-3560.00121.9701168225
2023-08-21$18.77$20.0053.7%15.4%29.6%11.3%0.0%8.3%-12.1%-45419.2K-3190.00107.69008151
2023-08-22$18.38$20.0053.5%15.3%30.1%11.2%22.9%28.3%-18.6%-73621.0K-3160.45114.441158151
2023-08-23$18.78$20.0047.0%13.5%31.5%8.0%0.0%29.3%-8.8%4173.2K-3490.00110.75009256
2023-08-24$19.01$20.0059.2%17.0%31.2%14.0%0.0%-3.2%-24.3%-2588.9K-3210.00122.78009256
2023-08-25$19.04$20.0066.0%18.9%30.4%17.3%0.0%5.6%-20.0%220-17.9K-4010.00117.93009256
2023-08-28$19.24$20.0029.7%8.5%30.5%0.0%33.0%32.0%5.4%-8719.3K-3582.00110.41129256
2023-08-29$19.54$20.0046.5%13.3%30.2%8.2%40.6%10.6%4.5%-53812.2K-2900.00111.421509358
2023-08-30$19.51$20.0054.4%15.6%27.1%12.1%0.0%15.5%28.7%813-12.6K-3500.00117.220010858
2023-08-31$19.77$20.0081.1%23.3%27.3%25.2%0.0%7.8%-53.0%1.1K-19.1K-3040.00125.860010858