CNR Options History — April 2020

In April 2020, CNR traded between $3.64 and $5.35. ATM implied volatility averaged 103.1%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 30.2%. IV traded below realized volatility by 56.2% (HV 20d: 159.3%). 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 0 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2020-04-30: Highest Volume — 269 contracts
  • 2020-04-30: Largest IV drop — 26.9% change
  • 2020-04-29: Highest IV Rank — 77.7%
  • 2020-04-29: Largest Expected Move — 40.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.34$3.64$5.35$4.19$5.35
Max Pain$5.12$5.00$7.50$7.50$5.00
ATM IV103.1%82.6%139.7%115.5%102.1%
Expected Move30.2%23.7%40.1%33.1%29.3%
HV 20d159.3%98.9%206.5%205.7%111.4%
HV 60d130.6%125.7%141.0%125.7%141.0%
IV Rank51.4%36.8%77.7%60.3%50.7%
IV Percentile85.8%76.5%97.9%91.9%82.4%
Term Structure-13.4%-38.1%-3.6%-6.8%-9.1%
VWIV102.9%75.9%175.9%175.9%75.9%
Skew 25d19.0%1.5%36.4%1.5%16.6%
Skew 10d33.7%-28.4%60.7%-28.4%49.7%
Call IV 25d82.8%57.5%124.0%124.0%86.2%
Put IV 25d101.8%76.0%125.4%125.4%102.9%
Bid-Ask Spread %71.9836.16128.4952.3536.16
Gamma HHI0.320.270.380.380.33
Net GEX1.5K3494.8K5734.8K
Net DEX855-283.6K87.5K81.3K-283.6K
Net VEX-1.0K-1.7K-837-931-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.000.790.000.04
Total Volume65.8152695269
Total OI2,857.4292,6493,2422,6493,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$4.19$7.50115.5%33.1%205.7%60.3%175.9%1.5%-6.8%57381.3K-9310.0052.35N/AN/A501,770879
2020-04-02$3.97$5.0098.6%31.9%205.5%48.2%0.0%19.5%-8.4%34987.5K-8540.1795.30N/AN/A611,772879
2020-04-03$4.15$5.00105.6%33.7%206.5%53.3%116.5%27.0%-19.9%50680.6K-8900.00115.11N/AN/A16401,778879
2020-04-06$4.34$5.00104.8%32.0%197.9%52.7%0.0%36.4%-19.7%1.4K39.0K-1.1K0.7989.43N/AN/A14111,931873
2020-04-07$4.34$5.0091.9%31.3%196.7%43.4%100.7%10.5%-7.7%1.8K30.7K-1.1K0.00107.77N/AN/A12201,931873
2020-04-08$4.57$5.0095.5%27.4%192.0%46.0%104.0%21.4%-38.1%2.3K-8.8K-1.3K0.38123.36N/AN/A1351,950873
2020-04-09$4.72$5.0082.6%23.7%189.7%36.8%85.9%20.0%-3.6%2.2K3.0K-1.0K0.00128.49N/AN/A3401,954868
2020-04-13$4.57$5.0095.0%27.2%190.0%45.7%80.8%5.3%-7.6%1.5K36.5K-1.0K0.0090.06N/AN/A2101,966868
2020-04-14$4.72$5.0095.8%27.5%189.4%46.2%95.9%21.2%-9.1%2.4K8.8K-1.1K0.0074.97N/AN/A5001,975868
2020-04-15$4.26$5.0098.7%28.3%189.1%48.3%98.0%35.7%-3.8%90350.5K-9280.5088.98N/AN/A132661,992868
2020-04-16$3.97$5.0093.0%26.7%171.7%44.2%80.9%20.8%-16.2%69960.3K-9010.0945.90N/AN/A1112,103880
2020-04-17$4.24$5.00102.5%29.4%165.4%51.0%0.0%31.0%-14.2%1.1K42.4K-9640.0037.27N/AN/A602,113881
2020-04-20$4.11$5.00105.2%30.2%138.2%53.0%105.2%24.3%-9.1%9447.0K-9370.0938.91N/AN/A1112,065752
2020-04-21$3.81$5.00113.4%32.5%140.5%58.8%0.0%18.3%-13.2%61233.5K-8390.0644.98N/AN/A1612,069751
2020-04-22$3.64$5.00105.4%30.2%126.1%53.1%0.0%11.9%-21.4%48426.8K-8370.0040.18N/AN/A1602,084752
2020-04-23$4.12$5.00103.8%29.8%110.8%52.0%0.0%28.5%-11.9%9831.5K-9440.0037.26N/AN/A4002,099752
2020-04-24$4.02$5.00105.6%30.3%98.9%53.2%105.6%25.2%-11.5%1.0K4.9K-8920.0240.72N/AN/A6512,139752
2020-04-27$4.39$5.0098.7%28.3%105.4%48.3%99.2%9.4%-10.5%1.4K-33.0K-9430.0039.99N/AN/A3702,175749
2020-04-28$4.40$5.00111.4%31.9%98.9%57.4%116.0%9.3%-29.3%1.5K-44.8K-9600.0787.52N/AN/A3022,195749
2020-04-29$5.25$5.00139.7%40.1%116.3%77.7%0.0%5.3%-10.8%3.3K-206.1K-1.5K0.0096.91N/AN/A23012,208749
2020-04-30$5.35$5.00102.1%29.3%111.4%50.7%75.9%16.6%-9.1%4.8K-283.6K-1.7K0.0436.16N/AN/A258112,492750