CNNE Options History — September 2023

In September 2023, CNNE traded between $18.57 and $20.05. ATM implied volatility averaged 53.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 33.2% (HV 20d: 20.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2023-09-26: Highest Volume — 23 contracts
2023-09-05: Largest IV spike — 198.5% change
2023-09-12: Highest IV Rank — 38.4%
2023-09-29: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.42	$18.57	$20.05	$20.05	$18.66
Max Pain	$17.63	$17.50	$20.00	$20.00	$17.50
ATM IV	53.5%	25.5%	105.6%	25.5%	58.7%
Expected Move	12.4%	7.3%	16.8%	7.3%	16.8%
HV 20d	20.3%	16.6%	24.4%	24.2%	23.6%
HV 60d	24.1%	23.5%	25.5%	24.3%	25.5%
IV Rank	13.4%	0.0%	38.4%	0.0%	15.9%
IV Percentile	46.3%	0.0%	98.4%	0.0%	72.6%
Term Structure	2.0%	-16.3%	16.6%	11.3%	1.3%
VWIV	42.3%	34.2%	59.9%	47.1%	34.9%
Skew 25d	15.9%	-10.3%	38.1%	27.9%	36.4%
Skew 10d	28.1%	-12.0%	114.5%	32.8%	31.8%
Call IV 25d	37.0%	17.3%	63.8%	17.3%	21.8%
Put IV 25d	52.9%	29.4%	88.2%	45.2%	58.3%
Bid-Ask Spread %	114.43	103.55	130.02	115.62	112.36
Gamma HHI	0.29	0.23	0.41	0.29	0.36
Net GEX	1.9K	757	3.6K	1.0K	3.1K
Net DEX	-24.3K	-44.0K	28.5K	-44.0K	-43.5K
Net VEX	-265	-410	-177	-410	-289
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	1.00	0.00	1.00
Total Volume	3.85	0	23	0	0
Total OI	155.4	106	185	166	163

Daily Data (20 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
2023-09-01	$20.05	$20.00	25.5%	7.3%	24.2%	0.0%	0.0%	27.9%	11.3%	1.0K	-44.0K	-410	0.00	115.62	0	0	108	58
2023-09-05	$19.84	$17.50	76.1%	14.5%	24.4%	24.3%	0.0%	5.4%	-16.3%	1.2K	-22.0K	-314	0.00	121.37	0	0	108	58
2023-09-06	$19.81	$17.50	68.2%	8.7%	24.4%	20.5%	0.0%	6.6%	10.5%	1.1K	-20.1K	-303	0.00	126.68	0	0	108	58
2023-09-07	$19.77	$17.50	53.3%	15.3%	24.4%	13.3%	0.0%	8.8%	-5.2%	1.0K	-17.5K	-328	0.00	106.61	0	0	108	58
2023-09-08	$19.62	$17.50	88.1%	12.1%	20.7%	30.0%	0.0%	35.6%	4.6%	1.2K	-20.0K	-338	0.00	107.35	0	0	108	58
2023-09-11	$19.77	$17.50	79.7%	13.6%	20.4%	26.0%	47.1%	-10.3%	-3.9%	757	-575	-244	0.00	103.55	19	0	108	58
2023-09-12	$19.88	$17.50	105.6%	12.4%	19.9%	38.4%	0.0%	19.3%	-5.8%	3.6K	-32.2K	-285	0.00	107.59	0	0	127	58
2023-09-13	$19.93	$17.50	58.0%	16.6%	19.5%	15.6%	0.0%	6.9%	-15.8%	2.7K	-41.1K	-284	0.00	106.97	0	0	127	58
2023-09-14	$19.77	$17.50	37.4%	10.7%	16.9%	5.7%	0.0%	18.1%	0.1%	3.2K	-34.1K	-256	0.00	110.37	0	0	127	58
2023-09-15	$19.61	$17.50	37.7%	10.8%	16.6%	5.8%	0.0%	-2.7%	16.6%	1.7K	28.5K	-249	0.00	107.81	0	0	127	58
2023-09-18	$19.61	$17.50	40.5%	11.6%	16.6%	7.2%	59.9%	4.2%	13.3%	1.6K	-27.1K	-237	0.07	112.40	15	1	83	23
2023-09-19	$19.75	$17.50	36.4%	10.4%	16.7%	5.2%	35.5%	18.5%	5.5%	1.5K	-25.8K	-231	0.00	111.41	10	0	98	24
2023-09-20	$19.12	$17.50	28.4%	8.1%	19.1%	1.4%	0.0%	21.6%	5.4%	2.2K	-25.0K	-203	0.00	116.58	2	0	108	24
2023-09-21	$18.70	$17.50	54.0%	15.5%	19.5%	13.7%	0.0%	32.6%	15.6%	1.8K	-22.7K	-243	0.00	115.30	0	0	109	24
2023-09-22	$18.84	$17.50	28.7%	8.2%	19.2%	1.5%	0.0%	27.8%	1.7%	1.7K	-18.4K	-197	0.00	125.42	0	0	109	24
2023-09-25	$18.80	$17.50	42.6%	12.2%	19.2%	8.2%	0.0%	-4.3%	-2.0%	1.8K	-20.0K	-213	0.00	116.87	0	0	109	24
2023-09-26	$18.57	$17.50	52.5%	15.0%	19.1%	12.9%	34.2%	38.1%	14.2%	1.6K	-17.3K	-177	0.00	119.94	23	0	109	24
2023-09-27	$19.01	$17.50	52.3%	15.0%	20.3%	12.9%	34.9%	24.5%	-10.3%	2.7K	-43.5K	-255	0.00	130.02	5	0	132	24
2023-09-28	$19.31	$17.50	45.6%	13.1%	21.1%	9.6%	0.0%	2.2%	-1.3%	3.3K	-40.3K	-240	1.00	114.43	1	1	137	24
2023-09-29	$18.66	$17.50	58.7%	16.8%	23.6%	15.9%	0.0%	36.4%	1.3%	3.1K	-43.5K	-289	0.00	112.36	0	0	138	25