CNR Options History — December 2019

In December 2019, CNR traded between $6.73 and $9.12. ATM implied volatility averaged 46.4%. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 3.6% (HV 20d: 50.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.46.

Notable Days

  • 2019-12-30: Highest Volume — 1,010 contracts
  • 2019-12-30: Largest IV spike — 31.6% change
  • 2019-12-11: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.16$6.73$9.12$6.73$8.48
Max Pain$6.90$5.00$7.50$5.00$7.50
ATM IV46.4%31.5%65.1%64.7%45.7%
Expected Move13.3%9.0%18.7%18.5%13.1%
HV 20d50.0%39.6%68.6%66.7%39.6%
HV 60d50.9%49.2%54.1%54.1%50.3%
Term Structure5.1%-22.8%22.4%-14.3%1.7%
VWIV43.4%25.0%64.4%52.0%61.3%
Skew 25d7.1%-13.0%25.4%19.0%5.9%
Skew 10d9.3%-23.8%40.5%32.4%-1.4%
Call IV 25d38.9%29.0%55.1%47.6%53.6%
Put IV 25d46.0%30.2%66.6%66.6%59.5%
Bid-Ask Spread %73.2850.44113.5950.4463.89
Gamma HHI0.710.470.970.930.54
Net GEX37.2K7.0K109.1K45.0K13.7K
Net DEX-1.9M-3.5M-700.5K-971.5K-777.1K
Net VEX-1.8K-2.5K-973-2.1K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.460.00100.000.000.60
Total Volume201.28631,0102516
Total OI4,485.4291,8955,7305,4622,978

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$6.73$5.0064.7%18.5%66.7%0.0%0.0%19.0%-14.3%45.0K-971.5K-2.1K0.0050.44N/AN/A2504,4351,027
2019-12-03$7.05$5.0051.5%14.8%68.3%0.0%52.0%18.6%-22.8%64.4K-1.1M-2.3K0.0053.64N/AN/A3104,4601,027
2019-12-04$7.19$5.0055.8%16.0%68.6%0.0%55.9%10.5%-3.9%68.8K-1.4M-2.4K1.5756.00N/AN/A2554004,4851,027
2019-12-05$7.14$5.0053.6%14.2%51.6%0.0%49.4%8.2%6.7%74.5K-1.3M-2.4K0.0092.51N/AN/A704,685627
2019-12-06$7.45$5.0043.7%13.5%51.4%0.0%47.0%13.1%8.2%109.1K-1.6M-2.5K0.4260.69N/AN/A151634,687627
2019-12-09$7.56$7.5052.4%14.2%49.9%0.0%0.0%20.5%5.7%100.2K-1.9M-2.5K0.0080.33N/AN/A704,793578
2019-12-10$7.84$7.5051.1%15.4%50.7%0.0%0.0%25.4%4.6%96.0K-2.4M-2.3K0.0379.07N/AN/A6224,797578
2019-12-11$8.11$7.5065.1%18.7%49.7%0.0%64.4%4.2%-8.2%63.8K-2.9M-1.5K0.28113.59N/AN/A305854,742578
2019-12-12$8.57$7.5054.4%15.6%50.5%0.0%45.5%7.1%3.6%8.0K-3.1M-9739.7184.23N/AN/A212044,543589
2019-12-13$8.62$7.5048.3%13.8%50.5%0.0%25.0%16.4%11.2%16.4K-3.1M-1.1K0.2384.97N/AN/A154354,557789
2019-12-16$8.62$7.5048.2%13.8%47.1%0.0%27.7%14.9%4.4%20.9K-3.1M-1.0K0.0169.77N/AN/A19424,558787
2019-12-17$8.91$7.5035.8%10.3%47.5%0.0%29.1%-8.8%7.6%7.0K-3.3M-1.0K0.0185.43N/AN/A54454,670789
2019-12-18$9.12$7.5042.5%12.2%47.3%0.0%38.6%-6.2%7.7%11.0K-3.5M-1.5K0.0084.29N/AN/A12704,941789
2019-12-19$8.93$7.5039.2%11.2%46.2%0.0%47.0%-13.0%2.9%10.8K-3.3M-1.5K0.0065.63N/AN/A4904,860799
2019-12-20$8.66$7.5031.9%9.2%46.5%0.0%0.0%0.8%18.5%9.5K-3.2M-1.4K0.0065.34N/AN/A29314,866799
2019-12-23$8.51$7.5031.5%9.0%46.6%0.0%32.8%0.6%22.4%11.6K-756.6K-2.0K0.0064.65N/AN/A11101,581314
2019-12-24$8.60$7.5033.9%9.7%43.7%0.0%32.1%0.3%19.7%12.4K-810.4K-2.0K1.6767.40N/AN/A12201,626314
2019-12-26$8.52$7.5033.3%9.6%43.0%0.0%34.3%1.2%21.0%12.2K-795.8K-2.0K0.1065.16N/AN/A3031,638314
2019-12-27$8.34$7.5039.8%11.4%43.9%0.0%0.0%-1.5%7.3%13.3K-741.5K-2.0K0.0082.72N/AN/A301,652317
2019-12-30$8.32$7.5052.3%15.0%41.6%0.0%51.6%11.9%3.8%13.2K-700.5K-1.9K100.0069.17N/AN/A101,0001,654317
2019-12-31$8.48$7.5045.7%13.1%39.6%0.0%61.3%5.9%1.7%13.7K-777.1K-2.1K0.6063.89N/AN/A1061,6611,317