CNR Options History — September 2019 In September 2019, CNR traded between $4.29 and $6.12. ATM implied volatility averaged 62.8%. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 20.5% (HV 20d: 83.2%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.04.
Notable Days 2019-09-09 : Highest Volume — 492 contracts2019-09-17 : Largest IV spike — 41.7% change2019-09-04 : Largest Expected Move — 22.8%Monthly Statistics Metric Avg Min Max Open Close Price $5.53 $4.29 $6.12 $4.29 $6.06 Max Pain $5.25 $5.00 $7.50 $5.00 $5.00 ATM IV 62.8% 45.3% 83.8% 73.2% 55.5% Expected Move 17.9% 13.0% 22.8% 21.0% 15.9% HV 20d 83.2% 61.0% 131.4% 130.9% 61.0% HV 60d 97.8% 97.3% 98.3% 98.3% 97.3% Term Structure 8.3% -13.9% 29.5% -13.9% 21.0% VWIV 66.7% 48.4% 77.3% 56.5% 58.0% Skew 25d 24.9% 8.9% 41.4% 41.4% 8.9% Skew 10d 23.4% 6.7% 54.8% 54.8% 6.7% Call IV 25d 87.4% 80.3% 91.4% 90.5% 91.4% Put IV 25d 112.3% 100.3% 131.9% 131.9% 100.3% Bid-Ask Spread % 56.63 13.09 90.39 80.24 15.15 Gamma HHI 0.57 0.47 0.68 0.47 0.66 Net GEX 13.9K -9.5K 47.7K -1.5K 22.4K Net DEX -683.3K -1.4M 272.4K 211.8K -897.5K Net VEX -4.0K -6.0K -2.9K -3.0K -3.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.00 4.59 0.00 0.00 Total Volume 97.35 4 492 5 37 Total OI 13,455.05 4,355 17,590 17,068 4,366
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-09-03 $4.29 $5.00 73.2% 21.0% 130.9% 0.0% 0.0% 41.4% -13.9% -1.5K 211.8K -3.0K 0.00 80.24 N/A N/A 5 0 15,023 2,045 2019-09-04 $4.37 $5.00 79.5% 22.8% 131.4% 0.0% 0.0% 0.0% -7.8% -3.3K 272.4K -2.9K 0.00 73.24 N/A N/A 4 0 15,028 2,045 2019-09-05 $4.53 $7.50 75.6% 20.9% 102.9% 0.0% 56.5% 24.4% 1.0% -5.3K 175.2K -3.2K 0.94 61.84 N/A N/A 17 16 15,030 2,045 2019-09-06 $4.58 $7.50 83.8% 22.1% 102.3% 0.0% 77.3% 8.9% 3.5% -4.5K 50.3K -3.5K 0.04 62.33 N/A N/A 155 6 15,025 2,048 2019-09-09 $4.93 $5.00 79.0% 22.7% 98.3% 0.0% 0.0% 0.0% 3.2% -8.1K -171.0K -4.2K 4.59 54.71 N/A N/A 88 404 15,177 2,054 2019-09-10 $4.97 $5.00 75.6% 22.4% 96.5% 0.0% 0.0% 0.0% -0.8% -9.5K -191.4K -3.9K 3.57 87.69 N/A N/A 14 50 15,205 2,385 2019-09-11 $5.38 $5.00 72.4% 20.7% 79.4% 0.0% 69.3% 0.0% 0.3% 16.1K -845.8K -3.4K 0.04 61.23 N/A N/A 74 3 15,191 2,390 2019-09-12 $5.71 $5.00 74.4% 21.3% 81.0% 0.0% 0.0% 0.0% -4.0% 8.6K -924.9K -4.3K 0.01 60.68 N/A N/A 287 2 15,138 2,389 2019-09-13 $6.02 $5.00 59.9% 17.2% 81.4% 0.0% 72.8% 0.0% -0.1% 47.7K -1.4M -6.0K 1.43 77.54 N/A N/A 49 70 15,069 2,387 2019-09-16 $6.12 $5.00 47.3% 13.6% 75.0% 0.0% 74.4% 0.0% 26.6% 21.9K -1.2M -4.5K 0.88 86.23 N/A N/A 104 92 15,050 2,362 2019-09-17 $6.05 $5.00 67.1% 19.2% 74.3% 0.0% 71.7% 0.0% 10.0% 22.0K -1.1M -4.3K 4.00 71.75 N/A N/A 8 32 15,096 2,287 2019-09-18 $6.07 $5.00 45.3% 13.0% 74.1% 0.0% 61.9% 0.0% 29.5% 21.8K -1.2M -4.5K 3.70 85.31 N/A N/A 23 85 15,088 2,299 2019-09-19 $5.89 $5.00 50.7% 14.5% 75.0% 0.0% 0.0% 0.0% 18.2% 20.7K -1.0M -4.2K 1.50 90.39 N/A N/A 4 6 15,091 2,304 2019-09-20 $5.92 $5.00 57.1% 16.4% 74.4% 0.0% 0.0% 0.0% 5.9% 20.8K -1.0M -4.2K 0.00 88.63 N/A N/A 83 0 15,087 2,298 2019-09-23 $5.98 $5.00 47.0% 13.5% 70.3% 0.0% 0.0% 0.0% 16.7% 21.8K -921.3K -4.0K 0.02 15.73 N/A N/A 51 1 4,285 169 2019-09-24 $5.95 $5.00 46.2% 13.2% 67.8% 0.0% 48.4% 0.0% 28.9% 21.4K -894.1K -4.0K 0.09 15.45 N/A N/A 11 1 4,292 169 2019-09-25 $6.05 $5.00 49.5% 14.2% 63.0% 0.0% 0.0% 0.0% 27.0% 22.2K -920.9K -4.0K 0.00 16.89 N/A N/A 106 0 4,283 170 2019-09-26 $5.88 $5.00 55.3% 15.8% 64.6% 0.0% 0.0% 0.0% 3.6% 20.9K -790.9K -3.6K 0.00 13.09 N/A N/A 37 0 4,185 170 2019-09-27 $5.93 $5.00 61.4% 17.6% 61.2% 0.0% 76.8% 0.0% -3.4% 21.5K -838.3K -3.6K 0.00 14.54 N/A N/A 22 0 4,206 170 2019-09-30 $6.06 $5.00 55.5% 15.9% 61.0% 0.0% 58.0% 0.0% 21.0% 22.4K -897.5K -3.8K 0.00 15.15 N/A N/A 37 0 4,196 170
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