CNR Options History — February 2020

In February 2020, CNR traded between $7.21 and $9.28. ATM implied volatility averaged 61.8%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 31.1% (HV 20d: 30.8%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.81.

Notable Days

2020-02-11: Highest Volume — 501 contracts
2020-02-06: Largest IV spike — 35.3% change
2020-02-28: Highest IV Rank — 45.4%
2020-02-28: Largest Expected Move — 27.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.69	$7.21	$9.28	$8.66	$7.21
Max Pain	$3.16	$2.50	$7.50	$5.00	$2.50
ATM IV	61.8%	44.6%	94.7%	44.6%	94.7%
Expected Move	17.8%	12.8%	27.1%	12.8%	27.1%
HV 20d	30.8%	23.8%	49.2%	24.7%	49.2%
HV 60d	38.8%	35.4%	47.8%	47.8%	41.6%
IV Rank	21.9%	9.6%	45.4%	9.6%	45.4%
IV Percentile	55.2%	12.9%	93.3%	12.9%	93.3%
Term Structure	-5.6%	-21.0%	16.1%	16.1%	-21.0%
VWIV	61.7%	43.1%	80.4%	43.1%	78.9%
Skew 25d	7.7%	-23.4%	49.7%	-23.4%	9.0%
Skew 10d	6.7%	-23.0%	69.6%	-3.1%	3.4%
Call IV 25d	52.0%	32.5%	71.2%	69.0%	53.7%
Put IV 25d	59.7%	45.6%	97.2%	45.6%	62.7%
Bid-Ask Spread %	76.86	46.54	105.91	97.74	70.08
Gamma HHI	0.64	0.55	0.71	0.62	0.55
Net GEX	21.8K	14.5K	27.1K	19.7K	14.5K
Net DEX	-954.5K	-1.3M	-584.0K	-860.8K	-584.0K
Net VEX	-2.5K	-3.2K	-2.2K	-2.2K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	0.00	18.18	0.00	2.03
Total Volume	139.737	1	501	1	303
Total OI	3,516.632	2,713	4,437	3,246	3,130

Daily Data (19 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
2020-02-03	$8.66	$5.00	44.6%	12.8%	24.7%	9.6%	43.1%	-23.4%	16.1%	19.7K	-860.8K	-2.2K	0.00	97.74	N/A	N/A	0	1	1,979	1,267
2020-02-04	$8.72	$7.50	58.4%	16.7%	24.6%	19.4%	71.4%	-22.8%	-8.1%	20.1K	-874.3K	-2.2K	0.00	99.28	N/A	N/A	122	0	1,979	1,268
2020-02-05	$8.87	$7.50	49.1%	14.1%	25.1%	12.8%	51.7%	11.1%	12.5%	22.9K	-951.6K	-2.4K	0.00	105.91	N/A	N/A	5	0	2,097	1,268
2020-02-06	$8.78	$2.50	66.4%	14.8%	23.8%	25.2%	53.5%	-11.7%	-2.1%	22.4K	-913.3K	-2.3K	0.00	55.72	N/A	N/A	6	0	2,097	1,268
2020-02-07	$8.69	$2.50	56.5%	17.1%	24.1%	18.1%	0.0%	3.0%	-5.1%	21.2K	-874.6K	-2.2K	0.00	66.96	N/A	N/A	4	0	2,100	1,268
2020-02-10	$8.90	$2.50	47.0%	16.1%	25.0%	11.3%	0.0%	23.3%	-5.8%	23.1K	-947.9K	-2.3K	0.00	67.14	N/A	N/A	25	0	2,102	1,268
2020-02-11	$9.18	$2.50	48.8%	15.5%	26.7%	12.5%	55.8%	-4.0%	-2.8%	26.9K	-1.1M	-2.4K	4.83	76.50	N/A	N/A	86	415	2,149	1,270
2020-02-12	$8.99	$2.50	55.4%	15.9%	27.1%	17.2%	0.0%	5.1%	-7.1%	25.5K	-1.0M	-2.5K	0.57	83.69	N/A	N/A	28	16	2,225	1,685
2020-02-13	$8.99	$2.50	55.3%	15.9%	26.8%	17.2%	55.4%	21.4%	-3.6%	23.2K	-1.0M	-2.4K	0.15	83.22	N/A	N/A	130	20	2,242	1,674
2020-02-14	$9.12	$2.50	54.7%	15.7%	27.0%	16.8%	54.8%	49.7%	-6.4%	25.7K	-1.1M	-2.6K	0.00	83.47	N/A	N/A	21	0	2,331	1,694
2020-02-18	$9.12	$2.50	56.4%	16.2%	26.4%	18.0%	56.4%	4.7%	-6.5%	20.7K	-1.1M	-2.5K	0.00	72.88	N/A	N/A	37	0	2,331	1,694
2020-02-19	$9.28	$2.50	60.2%	17.3%	24.7%	20.7%	60.3%	6.5%	-4.2%	20.6K	-1.2M	-2.6K	0.00	81.88	N/A	N/A	289	0	2,341	1,694
2020-02-20	$8.99	$2.50	61.5%	17.6%	27.5%	21.6%	61.5%	6.7%	-10.4%	23.7K	-1.1M	-3.0K	0.00	75.45	N/A	N/A	139	0	2,609	1,694
2020-02-21	$9.28	$2.50	61.1%	17.5%	29.5%	21.3%	63.2%	26.5%	-7.0%	27.1K	-1.3M	-3.2K	0.17	82.60	N/A	N/A	6	1	2,746	1,691
2020-02-24	$8.77	$2.50	61.1%	17.5%	35.1%	21.4%	70.2%	12.6%	-9.6%	24.6K	-1.1M	-2.9K	18.18	92.49	N/A	N/A	11	200	2,424	289
2020-02-25	$8.12	$2.50	78.7%	22.6%	44.6%	34.0%	79.1%	3.4%	-10.2%	19.4K	-817.8K	-2.5K	6.18	69.66	N/A	N/A	34	210	2,422	489
2020-02-26	$7.78	$2.50	80.3%	23.0%	46.2%	35.1%	50.9%	2.3%	-12.9%	16.8K	-714.6K	-2.3K	0.49	46.54	N/A	N/A	224	110	2,407	499
2020-02-27	$7.61	$2.50	84.5%	24.2%	46.5%	38.1%	80.4%	22.1%	-12.8%	16.0K	-645.2K	-2.4K	0.05	49.08	N/A	N/A	202	10	2,531	594
2020-02-28	$7.21	$2.50	94.7%	27.1%	49.2%	45.4%	78.9%	9.0%	-21.0%	14.5K	-584.0K	-2.5K	2.03	70.08	N/A	N/A	100	203	2,731	399