CNR Options History — January 2020

In January 2020, CNR traded between $8.03 and $9.01. ATM implied volatility averaged 51.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 17.8% (HV 20d: 33.1%). 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 16 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2020-01-23: Highest Volume — 206 contracts
  • 2020-01-15: Largest IV drop — 45.5% change
  • 2020-01-30: Highest IV Rank — 18.6%
  • 2020-01-09: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.58$8.03$9.01$8.14$8.57
Max Pain$5.24$5.00$7.50$7.50$5.00
ATM IV51.0%31.3%86.2%55.8%55.0%
Expected Move14.6%9.0%17.6%16.0%15.8%
HV 20d33.1%25.3%41.9%41.5%25.3%
HV 60d49.8%47.4%51.3%51.2%47.7%
IV Rank12.0%7.5%18.6%7.7%17.0%
IV Percentile24.9%7.0%52.3%7.1%45.8%
Term Structure5.6%-3.6%21.1%-3.6%-3.3%
VWIV48.7%27.7%61.4%52.0%39.0%
Skew 25d8.1%-11.7%28.2%22.8%3.2%
Skew 10d8.6%-22.2%32.0%29.3%21.2%
Call IV 25d40.7%29.6%59.4%32.4%42.6%
Put IV 25d48.8%38.5%64.0%55.1%45.8%
Bid-Ask Spread %100.1873.05123.2273.05112.70
Gamma HHI0.560.480.630.490.60
Net GEX15.2K11.6K20.0K13.1K18.2K
Net DEX-830.5K-1.0M-634.2K-690.1K-802.2K
Net VEX-2.1K-2.3K-1.9K-2.0K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.001.100.000.01
Total Volume47.381020656106
Total OI3,069.8572,9363,2012,9763,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$8.14$7.5055.8%16.0%41.5%0.0%52.0%22.8%-3.6%13.1K-690.1K-2.0K0.0073.05N/AN/A5601,6561,320
2020-01-03$8.03$7.5057.5%16.5%41.9%0.0%60.3%-1.7%0.1%12.9K-634.2K-1.9K0.0080.00N/AN/A5701,6321,320
2020-01-06$8.11$5.0050.2%16.6%41.6%0.0%0.0%28.1%0.2%12.8K-661.8K-1.9K0.0097.52N/AN/A1001,6261,317
2020-01-07$8.14$5.0051.3%17.2%39.4%0.0%0.0%23.2%-1.2%12.7K-663.5K-1.9K0.0085.99N/AN/A101,6211,317
2020-01-08$8.38$5.0047.8%16.5%40.2%0.0%0.0%26.4%4.5%11.6K-731.0K-1.9K0.0098.20N/AN/A1001,6211,317
2020-01-09$8.43$5.0048.4%17.6%38.5%0.0%61.4%28.2%-2.4%11.6K-758.5K-1.9K0.0096.12N/AN/A16301,6491,317
2020-01-10$8.35$5.0047.8%16.4%37.0%0.0%0.0%21.7%0.0%13.1K-833.9K-2.0K0.0096.16N/AN/A1001,7901,317
2020-01-13$8.45$5.0067.2%16.8%31.5%0.0%0.0%22.4%0.0%13.5K-855.3K-2.0K0.0096.92N/AN/A2401,8041,317
2020-01-14$8.65$5.0086.2%13.4%32.5%0.0%0.0%4.2%2.4%13.1K-905.8K-2.0K1.10107.67N/AN/A10111,7911,317
2020-01-15$8.76$5.0047.0%13.5%32.8%0.0%0.0%-10.4%5.3%13.2K-930.9K-2.1K0.00100.31N/AN/A4801,8011,328
2020-01-16$8.86$5.0043.3%12.4%30.8%0.0%0.0%4.6%14.2%14.6K-965.4K-2.1K0.00107.34N/AN/A3501,8381,328
2020-01-17$9.01$5.0051.5%14.8%30.3%0.0%51.6%-11.7%-0.2%14.8K-1.0M-2.1K0.0099.55N/AN/A9501,8731,328
2020-01-21$8.76$5.0047.8%13.7%31.0%0.0%0.0%-7.8%2.4%15.5K-834.4K-2.1K0.0099.38N/AN/A1601,6751,261
2020-01-22$8.84$5.0049.4%14.2%29.1%0.0%0.0%-10.3%1.9%16.0K-866.6K-2.2K0.2097.63N/AN/A3061,6901,261
2020-01-23$8.91$5.0031.3%9.0%28.3%0.0%27.7%10.0%21.1%16.5K-887.8K-2.2K0.00108.09N/AN/A20511,7201,264
2020-01-24$8.70$5.0042.1%12.1%29.6%7.7%0.0%-7.1%16.7%18.9K-861.7K-2.3K0.00101.36N/AN/A001,9201,265
2020-01-27$8.69$5.0049.2%14.1%29.4%12.8%0.0%4.6%11.6%18.7K-857.5K-2.2K0.00107.30N/AN/A001,9201,265
2020-01-28$8.80$5.0041.7%12.0%28.4%7.5%0.0%7.8%19.1%19.6K-884.5K-2.2K0.00106.63N/AN/A001,9201,265
2020-01-29$8.80$5.0042.6%12.2%28.4%8.1%0.0%6.8%16.2%20.0K-894.0K-2.2K0.00108.53N/AN/A10001,9201,265
2020-01-30$8.81$5.0057.2%16.4%27.7%18.6%0.0%5.3%11.8%19.5K-887.5K-2.2K0.00123.22N/AN/A011,8901,265
2020-01-31$8.57$5.0055.0%15.8%25.3%17.0%39.0%3.2%-3.3%18.2K-802.2K-2.1K0.01112.70N/AN/A10511,8901,266