CNR Options History — March 2020

In March 2020, CNR traded between $2.99 and $8.18. ATM implied volatility averaged 112.7%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 32.0%. IV traded below realized volatility by 17.3% (HV 20d: 130.0%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 4.22.

Notable Days

  • 2020-03-06: Highest Volume — 855 contracts
  • 2020-03-19: Largest IV spike — 319.3% change
  • 2020-03-19: Highest IV Rank — 91.0%
  • 2020-03-19: Largest Expected Move — 45.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.23$2.99$8.18$7.44$4.55
Max Pain$6.82$2.50$7.50$2.50$7.50
ATM IV112.7%37.8%158.3%88.9%108.6%
Expected Move32.0%10.8%45.4%25.5%31.1%
HV 20d130.0%50.4%210.4%50.8%210.4%
HV 60d82.6%40.9%124.9%41.0%124.9%
IV Rank58.3%4.7%91.0%41.3%55.4%
IV Percentile89.3%3.7%99.4%90.7%89.5%
Term Structure-12.6%-68.9%71.7%-15.4%-8.4%
VWIV112.0%71.7%166.6%88.9%75.0%
Skew 25d29.5%-13.4%120.8%14.1%35.1%
Skew 10d31.7%-42.8%84.4%13.0%50.1%
Call IV 25d72.0%23.4%116.4%50.0%68.1%
Put IV 25d101.5%64.1%211.1%64.1%103.2%
Bid-Ask Spread %92.9416.45131.7016.45102.24
Gamma HHI0.500.330.690.560.43
Net GEX4.9K-34122.8K16.7K1.1K
Net DEX-139.9K-856.4K97.3K-643.7K60.4K
Net VEX-1.6K-3.2K-586-2.7K-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.220.0033.670.090.00
Total Volume132.1360855350
Total OI3,292.7272,4734,1333,0302,649

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$7.44$2.5088.9%25.5%50.8%41.3%88.9%14.1%-15.4%16.7K-643.7K-2.7K0.0916.45N/AN/A3232,831199
2020-03-03$7.37$2.5095.3%27.3%50.4%45.9%93.9%12.0%-18.5%16.3K-634.0K-2.7K2.4558.74N/AN/A832032,861200
2020-03-04$8.18$2.5071.9%20.6%64.2%29.1%71.7%5.0%-7.4%22.8K-856.4K-3.2K0.0631.94N/AN/A350202,792402
2020-03-05$7.66$7.5086.6%21.0%67.4%39.6%72.0%18.4%-3.5%15.9K-620.9K-2.5K15.4290.04N/AN/A264012,510412
2020-03-06$7.09$7.5075.9%27.5%71.8%31.9%95.9%30.6%-18.4%9.5K-385.3K-2.4K1.5386.14N/AN/A3385172,509813
2020-03-09$5.83$7.50155.1%34.1%97.3%88.6%0.0%28.4%-31.5%2.4K-150.6K-1.9K16.83100.85N/AN/A122022,8151,318
2020-03-10$6.10$7.50133.7%40.1%98.9%73.4%166.6%65.7%-13.0%2.6K-175.7K-2.1K33.6783.80N/AN/A62022,8031,178
2020-03-11$5.27$7.50114.3%32.8%106.7%59.5%0.0%25.8%-20.9%1.7K-87.8K-1.7K0.0090.96N/AN/A002,8091,178
2020-03-12$4.80$7.50113.9%32.7%109.2%59.2%0.0%8.9%-17.7%2.8K7.0K-1.6K0.2198.86N/AN/A1432,8091,178
2020-03-13$4.83$7.50106.9%30.6%109.4%54.1%126.4%18.4%-13.1%2.8K20.9K-1.4K0.26101.10N/AN/A100262,8221,164
2020-03-16$4.58$7.50132.3%37.9%108.4%72.3%148.1%15.9%-31.2%1.1K48.5K-1.3K3.71108.27N/AN/A7262,822956
2020-03-17$4.12$7.50121.4%34.8%110.4%64.6%0.0%-9.3%-8.8%93459.2K-1.2K0.00103.83N/AN/A002,815966
2020-03-18$3.29$7.5037.8%10.8%126.1%4.7%0.0%67.2%-13.9%1.3K33.1K-5860.20131.70N/AN/A1022,815966
2020-03-19$3.81$7.50158.3%45.4%144.5%91.0%157.3%120.8%-12.3%83421.7K-1.2K0.00113.17N/AN/A3502,820963
2020-03-20$2.99$7.50116.5%33.4%157.8%61.0%110.5%18.2%-5.9%-5497.3K-6280.7386.21N/AN/A37272,827959
2020-03-23$3.20$7.50148.7%42.6%163.9%84.1%0.0%17.1%-68.9%-34194.2K-6153.5795.99N/AN/A7251,673800
2020-03-24$3.83$7.50102.6%29.4%182.7%51.1%122.4%-13.4%71.7%-8491.8K-6220.0884.39N/AN/A4841,680824
2020-03-25$4.70$7.50122.8%35.2%201.8%65.5%127.7%33.3%-12.1%1.8K10.1K-1.2K0.00125.50N/AN/A1601,727827
2020-03-26$5.34$7.50127.1%36.4%209.0%68.7%0.0%35.4%-10.3%3.0K-30.3K-1.4K0.12116.60N/AN/A2531,723827
2020-03-27$5.31$7.50124.7%35.7%208.6%66.9%75.0%34.6%0.6%3.0K-45.8K-1.6K1.19104.29N/AN/A42501,725829
2020-03-30$4.77$7.50135.9%38.9%210.3%74.9%0.0%65.7%-18.3%1.9K8.6K-1.4K0.00113.66N/AN/A501,765879
2020-03-31$4.55$7.50108.6%31.1%210.4%55.4%0.0%35.1%-8.4%1.1K60.4K-1.0K0.00102.24N/AN/A001,770879