CNR Options History — July 2019

In July 2019, CNR traded between $5.67 and $6.21. ATM implied volatility averaged 93.0%. The 30-day expected move averaged 26.7%. Max pain ranged from $5.00 to $5.00. Net GEX was positive for 5 of 5 trading days. Term structure was in contango for 1 of 5 days. Put/call ratio averaged 0.09.

Notable Days

  • 2019-07-26: Highest Volume — 931 contracts
  • 2019-07-29: Largest IV spike — 16.9% change
  • 2019-07-30: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.89$5.67$6.21$6.02$5.84
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV93.0%79.5%102.6%92.3%97.8%
Expected Move26.7%22.8%29.4%26.5%28.0%
Term Structure-17.5%-29.1%14.6%-25.4%-19.6%
VWIV82.0%64.5%99.6%64.5%99.6%
Skew 25d-2.5%-12.3%5.7%5.7%-12.3%
Skew 10d41.7%38.5%45.5%41.0%45.5%
Call IV 25d74.5%65.2%80.3%65.2%80.3%
Put IV 25d72.0%68.0%77.2%70.9%68.0%
Bid-Ask Spread %88.2179.91101.5388.38101.53
Gamma HHI0.560.510.620.620.57
Net GEX43.8K29.8K56.4K29.8K50.8K
Net DEX-2.2M-2.6M-1.9M-1.9M-2.1M
Net VEX-9.2K-10.8K-7.7K-7.7K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.020.310.040.31
Total Volume397.4136931564201
Total OI16,899.416,25517,26916,25517,269

Daily Data (5 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-25$6.02$5.0092.3%26.5%0.0%0.0%0.0%0.0%-25.4%29.8K-1.9M-7.7K0.0488.38N/AN/A5442014,3851,870
2019-07-26$6.21$5.0079.5%22.8%0.0%0.0%64.5%5.7%14.6%56.4K-2.6M-10.8K0.0284.47N/AN/A9112014,8631,870
2019-07-29$5.69$5.0093.0%26.7%0.0%0.0%0.0%0.0%-27.8%51.3K-2.0M-9.3K0.0286.77N/AN/A133315,1961,870
2019-07-30$5.67$5.00102.6%29.4%0.0%0.0%0.0%-0.9%-29.1%30.8K-2.2M-8.7K0.0579.91N/AN/A147815,3011,873
2019-07-31$5.84$5.0097.8%28.0%0.0%0.0%99.6%-12.3%-19.6%50.8K-2.1M-9.6K0.31101.53N/AN/A1534815,3911,878