CNR Options History — November 2019 In November 2019, CNR traded between $6.07 and $7.33. ATM implied volatility averaged 62.6%. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 1.1% (HV 20d: 61.4%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 6.97.
Notable Days 2019-11-04 : Highest Volume — 678 contracts2019-11-05 : Largest IV spike — 69.0% change2019-11-01 : Largest Expected Move — 23.7%Monthly Statistics Metric Avg Min Max Open Close Price $6.81 $6.07 $7.33 $6.67 $6.90 Max Pain $4.38 $2.50 $7.50 $7.50 $5.00 ATM IV 62.6% 40.9% 132.4% 82.5% 55.5% Expected Move 14.7% 10.4% 23.7% 23.7% 15.9% HV 20d 61.4% 40.9% 69.6% 40.9% 69.6% HV 60d 59.2% 53.3% 69.7% 69.7% 53.7% Term Structure 1.0% -24.4% 11.8% -24.4% -3.8% VWIV 51.4% 41.8% 83.6% 83.6% 50.8% Skew 25d 6.7% -4.1% 13.6% 6.6% 3.2% Skew 10d 24.4% -5.4% 79.2% 10.5% 9.8% Call IV 25d 52.0% 35.8% 60.5% 60.5% 43.9% Put IV 25d 58.7% 43.4% 67.2% 67.1% 47.0% Bid-Ask Spread % 48.76 25.32 87.66 56.67 54.56 Gamma HHI 0.89 0.76 0.95 0.77 0.93 Net GEX 46.4K 26.0K 67.0K 33.4K 53.5K Net DEX -1.1M -1.5M -605.9K -1.1M -1.1M Net VEX -2.7K -3.5K -2.0K -3.1K -2.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.97 0.00 36.36 0.00 13.33 Total Volume 201.3 0 678 119 400 Total OI 5,273.35 4,366 5,727 4,366 5,062
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 2019-11-01 $6.67 $7.50 82.5% 23.7% 40.9% 0.0% 83.6% 6.6% -24.4% 33.4K -1.1M -3.1K 0.00 56.67 N/A N/A 119 0 4,176 190 2019-11-04 $6.82 $2.50 78.3% 18.4% 41.1% 0.0% 64.0% 8.2% -4.4% 35.8K -1.2M -3.2K 0.00 48.52 N/A N/A 678 0 4,260 190 2019-11-05 $6.84 $2.50 132.4% 18.5% 41.1% 0.0% 45.8% 8.0% -1.0% 44.5K -1.4M -3.5K 0.01 57.61 N/A N/A 173 2 4,920 190 2019-11-06 $6.07 $2.50 67.5% 16.7% 59.7% 0.0% 56.3% 7.4% 2.7% 26.0K -605.9K -2.0K 0.02 42.55 N/A N/A 184 4 4,988 192 2019-11-07 $6.35 $2.50 70.0% 12.4% 61.9% 0.0% 54.6% 5.8% 5.1% 30.2K -697.3K -2.1K 0.07 80.05 N/A N/A 27 2 5,161 193 2019-11-08 $6.62 $2.50 60.7% 14.4% 63.2% 0.0% 0.0% 8.8% 4.3% 38.9K -970.3K -2.8K 20.00 55.17 N/A N/A 1 20 5,159 193 2019-11-11 $6.77 $2.50 71.7% 13.7% 61.2% 0.0% 47.1% 8.9% 2.5% 44.0K -1.0M -2.8K 36.36 50.35 N/A N/A 11 400 5,159 179 2019-11-12 $6.58 $5.00 111.0% 10.4% 62.1% 0.0% 43.2% 6.5% 11.8% 39.0K -834.0K -2.3K 0.00 61.14 N/A N/A 82 0 5,148 579 2019-11-13 $6.43 $5.00 40.9% 11.7% 61.7% 0.0% 41.8% 7.5% 3.9% 33.5K -779.7K -2.3K 0.00 58.31 N/A N/A 0 32 5,148 579 2019-11-14 $6.47 $5.00 48.0% 13.8% 61.7% 0.0% 0.0% 9.0% 7.8% 34.2K -782.6K -2.2K 0.00 29.01 N/A N/A 0 0 5,148 576 2019-11-15 $6.90 $5.00 44.1% 12.6% 65.7% 0.0% 44.3% 8.0% 8.5% 51.7K -1.1M -2.7K 0.05 28.46 N/A N/A 43 2 5,148 576 2019-11-18 $6.90 $5.00 49.4% 14.2% 65.7% 0.0% 49.4% 8.6% -0.7% 47.8K -1.1M -2.6K 16.04 27.95 N/A N/A 25 401 4,383 545 2019-11-19 $6.88 $5.00 48.2% 13.8% 65.7% 0.0% 48.2% 13.6% 1.8% 49.6K -1.1M -2.6K 5.00 25.32 N/A N/A 8 40 4,399 945 2019-11-20 $7.27 $5.00 47.0% 13.5% 66.9% 0.0% 47.0% -1.9% 2.5% 61.7K -1.4M -2.9K 0.00 28.22 N/A N/A 23 0 4,399 945 2019-11-21 $7.07 $5.00 47.7% 13.7% 67.9% 0.0% 0.0% 3.3% 4.9% 57.4K -1.2M -2.9K 0.00 52.16 N/A N/A 5 0 4,411 985 2019-11-22 $6.95 $5.00 47.0% 13.5% 66.7% 0.0% 47.2% -4.1% 0.5% 54.5K -1.1M -2.7K 17.38 29.00 N/A N/A 21 365 4,416 984 2019-11-25 $7.33 $5.00 47.8% 13.7% 68.4% 0.0% 47.8% 10.7% -1.5% 67.0K -1.5M -2.9K 3.23 47.96 N/A N/A 124 400 4,388 627 2019-11-26 $7.19 $5.00 51.2% 14.7% 69.0% 0.0% 0.0% 7.6% -2.3% 62.7K -1.4M -2.8K 0.00 87.66 N/A N/A 0 4 4,436 1,027 2019-11-27 $7.12 $5.00 50.8% 14.6% 68.6% 0.0% 50.8% 7.8% 1.7% 61.7K -1.3M -2.6K 13.33 54.46 N/A N/A 30 400 4,436 1,027 2019-11-29 $6.90 $5.00 55.5% 15.9% 69.6% 0.0% 0.0% 3.2% -3.8% 53.5K -1.1M -2.3K 0.00 54.56 N/A N/A 0 400 4,435 627
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