CNR Options History — August 2019

In August 2019, CNR traded between $3.91 and $6.03. ATM implied volatility averaged 84.9%. The 30-day expected move averaged 23.1%. IV traded below realized volatility by 46.5% (HV 20d: 131.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2019-08-01: Highest Volume — 1,771 contracts
  • 2019-08-09: Largest IV spike — 98.7% change
  • 2019-08-09: Largest Expected Move — 37.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.91$3.91$6.03$5.78$4.70
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV84.9%49.3%170.9%92.7%68.0%
Expected Move23.1%17.9%37.0%26.6%19.5%
HV 20d131.4%125.7%141.6%138.1%127.9%
Term Structure-1.7%-58.7%26.2%-6.1%2.3%
VWIV79.7%64.5%109.4%78.1%74.8%
Skew 25d15.9%-17.1%71.8%-0.6%5.3%
Skew 10d31.1%-27.8%84.4%67.1%5.9%
Call IV 25d72.5%53.7%109.6%74.6%78.0%
Put IV 25d88.4%72.4%129.8%74.0%83.3%
Bid-Ask Spread %79.8456.58115.4293.6670.54
Gamma HHI0.490.420.570.570.48
Net GEX22.1K-4.5K66.3K48.9K-4.5K
Net DEX-655.3K-3.3M313.2K-2.0M26.4K
Net VEX-5.9K-11.7K-2.8K-9.4K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.009.180.025.00
Total Volume172.18201,7711,7710
Total OI18,289.59116,85819,96617,30917,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$5.78$5.0092.7%26.6%0.0%0.0%78.1%-0.6%-6.1%48.9K-2.0M-9.4K0.0293.66N/AN/A1,7373415,3981,911
2019-08-02$6.03$5.00105.6%30.3%0.0%0.0%0.0%-2.5%-18.0%48.9K-3.3M-11.2K0.0089.44N/AN/A5017,0321,912
2019-08-05$5.91$5.00111.9%33.6%0.0%0.0%109.4%0.0%16.0%57.2K-3.0M-11.7K0.00110.85N/AN/A85017,0351,912
2019-08-06$5.88$5.00127.2%24.4%0.0%0.0%88.8%0.0%-11.4%66.3K-2.8M-11.0K0.0067.01N/AN/A16017,1111,912
2019-08-07$4.64$5.0061.8%21.1%0.0%0.0%73.6%9.1%-2.5%43.3K-325.2K-5.2K0.1492.33N/AN/A94212817,1271,912
2019-08-08$4.49$5.0049.3%18.5%0.0%0.0%64.5%20.2%1.3%28.2K33.0K-4.2K0.0556.58N/AN/A147717,7591,980
2019-08-09$4.07$5.0097.9%37.0%0.0%0.0%0.0%20.3%-58.7%14.2K-158.7K-5.3K0.37115.42N/AN/A351317,8781,981
2019-08-12$3.91$5.00170.9%21.7%0.0%0.0%0.0%8.4%13.3%2.0K313.2K-2.8K0.18107.81N/AN/A11217,8932,001
2019-08-13$4.66$5.00100.1%22.9%0.0%0.0%79.8%4.6%-3.8%54.7K-534.8K-5.5K0.0369.64N/AN/A92317,8961,979
2019-08-14$4.58$5.0068.9%19.8%0.0%0.0%79.4%71.8%26.2%11.9K-152.9K-5.2K0.2498.15N/AN/A17417,9711,980
2019-08-15$4.49$5.0079.8%22.9%138.1%0.0%88.7%55.8%-1.6%7.0K-48.8K-4.7K1.3280.69N/AN/A314117,9871,979
2019-08-16$4.96$5.0077.4%22.2%141.6%0.0%77.4%12.6%-1.9%44.9K-358.9K-5.7K0.0375.42N/AN/A63217,9591,992
2019-08-19$5.18$5.0070.1%20.1%138.7%0.0%70.1%15.9%4.3%12.5K-507.6K-5.9K0.0860.89N/AN/A49414,9581,900
2019-08-20$5.31$5.0076.8%22.0%135.2%0.0%76.8%21.4%-2.2%20.1K-701.0K-6.5K0.7164.44N/AN/A423014,9821,899
2019-08-21$5.26$5.0067.8%19.4%131.4%0.0%0.0%37.3%1.4%13.5K-523.4K-5.8K0.0080.66N/AN/A30014,9781,929
2019-08-22$5.15$5.0078.3%22.5%128.0%0.0%78.3%18.2%-6.8%15.0K-503.2K-5.9K8.0063.69N/AN/A54014,9781,929
2019-08-23$4.86$5.0082.1%23.5%128.3%0.0%82.2%-17.1%-2.5%8.4K-250.0K-5.1K9.1863.83N/AN/A1110114,9781,969
2019-08-26$4.66$5.0074.2%21.3%125.7%0.0%74.2%6.4%-4.4%-31919.3K-4.3K0.0071.65N/AN/A1014,9882,069
2019-08-27$4.41$5.0062.3%17.9%126.7%0.0%0.0%0.0%24.3%-1.9K205.4K-3.5K0.0084.08N/AN/A36014,9892,069
2019-08-28$4.40$5.0070.8%20.3%125.8%0.0%0.0%-0.9%-1.2%-2.6K169.2K-3.5K0.0070.44N/AN/A0015,0192,069
2019-08-29$4.72$5.0074.7%21.4%129.3%0.0%74.8%5.3%-4.3%-1.4K-23.0K-4.2K5.0069.24N/AN/A42015,0192,069
2019-08-30$4.70$5.0068.0%19.5%127.9%0.0%0.0%0.0%2.3%-4.5K26.4K-3.9K0.0070.54N/AN/A0015,0232,060