CNR Options History — October 2019

In October 2019, CNR traded between $5.69 and $6.52. ATM implied volatility averaged 59.3%. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 19.6% (HV 20d: 39.8%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.15.

Notable Days

  • 2019-10-28: Highest Volume — 147 contracts
  • 2019-10-02: Largest IV spike — 52.3% change
  • 2019-10-02: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.18$5.69$6.52$5.97$6.26
Max Pain$5.43$5.00$7.50$5.00$7.50
ATM IV59.3%43.2%82.3%54.0%48.4%
Expected Move17.8%12.4%23.6%15.5%13.9%
HV 20d39.8%31.3%53.1%48.5%35.4%
HV 60d88.3%69.1%96.3%96.3%69.1%
Term Structure1.7%-10.4%22.1%22.1%14.5%
VWIV62.8%44.9%79.4%79.4%61.1%
Skew 25d6.9%-3.1%12.4%-3.1%8.5%
Skew 10d21.5%-35.7%40.1%-35.7%35.9%
Call IV 25d59.6%56.5%70.5%70.5%57.6%
Put IV 25d66.5%65.0%70.4%67.4%66.1%
Bid-Ask Spread %73.1841.02101.9770.0749.35
Gamma HHI0.700.640.760.660.74
Net GEX25.1K18.9K30.5K20.9K26.9K
Net DEX-856.0K-1.0M-690.5K-814.3K-794.0K
Net VEX-3.2K-3.5K-2.7K-3.5K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.002.630.000.00
Total Volume26.783014758
Total OI4,365.4784,3114,4074,3294,365

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$5.97$5.0054.0%15.5%48.5%0.0%0.0%0.0%22.1%20.9K-814.3K-3.5K0.0070.07N/AN/A504,159170
2019-10-02$5.71$5.0082.3%23.6%53.1%0.0%0.0%0.0%-4.7%18.9K-690.5K-3.2K0.0041.02N/AN/A4004,164170
2019-10-03$5.69$5.0070.5%22.2%52.7%0.0%0.0%0.0%-2.4%19.1K-706.3K-3.2K0.0388.54N/AN/A7824,204170
2019-10-04$5.79$5.0063.1%23.2%52.8%0.0%0.0%0.0%-8.3%20.2K-741.7K-3.3K0.0086.95N/AN/A1004,226172
2019-10-07$5.89$5.0062.7%22.8%47.5%0.0%79.4%0.0%-5.0%20.5K-782.2K-3.3K0.0078.80N/AN/A404,231172
2019-10-08$5.94$5.0062.6%23.2%47.5%0.0%0.0%0.0%-6.7%21.4K-826.3K-3.4K0.0051.20N/AN/A4004,235172
2019-10-09$6.14$5.0078.5%22.5%40.8%0.0%72.7%0.0%-2.6%23.7K-884.6K-3.5K0.0074.47N/AN/A2404,218172
2019-10-10$6.14$5.0055.9%16.0%35.7%0.0%0.0%0.0%3.1%24.4K-856.2K-3.3K0.0089.51N/AN/A064,217172
2019-10-11$6.26$5.0071.3%20.4%31.3%0.0%73.5%0.0%-10.4%25.3K-918.0K-3.5K0.0079.78N/AN/A3204,217171
2019-10-14$6.00$5.0069.6%20.0%34.5%0.0%0.0%0.0%-2.9%23.5K-724.8K-2.8K0.0079.18N/AN/A2604,206171
2019-10-15$6.13$5.0058.3%16.7%35.1%0.0%0.0%0.0%4.8%24.4K-843.3K-3.2K0.0079.25N/AN/A004,225171
2019-10-16$6.34$5.0050.8%14.6%37.0%0.0%0.0%0.0%-4.1%27.6K-916.0K-3.4K0.0085.70N/AN/A7204,225171
2019-10-17$6.40$5.0050.4%14.5%35.1%0.0%0.0%0.0%3.1%25.0K-1.0M-3.5K0.00101.97N/AN/A004,225171
2019-10-18$6.40$5.0058.5%16.8%35.1%0.0%52.8%0.0%0.1%27.7K-978.0K-3.3K0.1070.78N/AN/A1014,225171
2019-10-21$6.45$5.0056.3%16.2%35.1%0.0%0.0%-3.1%-2.7%28.7K-992.9K-3.4K0.0067.71N/AN/A404,149162
2019-10-22$6.48$5.0053.6%15.4%34.9%0.0%0.0%8.2%-3.7%29.3K-963.0K-3.2K0.0063.34N/AN/A2704,150162
2019-10-23$6.28$5.0061.1%17.5%36.8%0.0%0.0%12.4%9.9%25.7K-894.8K-3.1K0.0080.88N/AN/A004,156162
2019-10-24$6.23$5.0052.7%15.1%35.2%0.0%53.7%6.5%5.3%27.1K-817.6K-2.8K0.0075.46N/AN/A904,156162
2019-10-25$6.52$5.0065.4%18.8%38.3%0.0%64.4%9.1%-9.0%30.5K-960.0K-3.1K2.6365.12N/AN/A19504,160162
2019-10-28$6.39$7.5045.6%13.1%38.7%0.0%44.9%6.2%11.2%28.8K-837.4K-2.8K0.0248.76N/AN/A14434,169187
2019-10-29$6.46$7.5043.2%12.4%38.2%0.0%0.0%7.2%12.9%29.9K-891.3K-2.9K0.0080.79N/AN/A104,176190
2019-10-30$6.33$7.5049.5%14.2%35.0%0.0%0.0%6.9%14.9%27.9K-850.3K-2.8K0.0074.38N/AN/A104,175190
2019-10-31$6.26$7.5048.4%13.9%35.4%0.0%61.1%8.5%14.5%26.9K-794.0K-2.7K0.0049.35N/AN/A804,175190