CNR Options History — May 2020

In May 2020, CNR traded between $3.87 and $6.12. ATM implied volatility averaged 90.9%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 33.3% (HV 20d: 124.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-05-28: Highest Volume — 329 contracts
  • 2020-05-13: Largest IV drop — 41.8% change
  • 2020-05-12: Highest IV Rank — 82.3%
  • 2020-05-01: Largest Expected Move — 32.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.93$3.87$6.12$4.82$5.42
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV90.9%61.9%146.2%112.7%74.4%
Expected Move23.4%17.8%32.3%32.3%21.3%
HV 20d124.2%115.2%136.4%116.7%121.5%
HV 60d147.7%142.2%153.1%142.2%152.8%
IV Rank42.7%22.0%82.3%58.3%30.9%
IV Percentile69.8%43.9%98.0%90.2%59.6%
Term Structure2.4%-16.9%29.3%-16.9%0.2%
VWIV75.4%42.7%92.3%88.1%75.9%
Skew 25d18.2%-6.6%47.5%47.5%9.4%
Skew 10d30.1%-11.0%86.6%69.3%28.4%
Call IV 25d68.3%33.0%95.2%65.2%67.9%
Put IV 25d86.5%71.9%112.7%112.7%77.3%
Bid-Ask Spread %37.8116.1988.1269.6669.85
Gamma HHI0.390.310.530.310.35
Net GEX3.7K1.7K6.2K3.8K3.7K
Net DEX-185.9K-378.0K-27.3K-195.5K-201.3K
Net VEX-1.4K-1.6K-1.2K-1.5K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.005.005.000.59
Total Volume122.2573293635
Total OI3,691.153,4524,0493,4523,744

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$4.82$5.00112.7%32.3%116.7%58.3%0.0%47.5%-16.9%3.8K-195.5K-1.5K5.0069.66N/AN/A6302,698754
2020-05-04$4.62$5.0087.7%27.3%117.3%40.4%88.1%15.2%2.1%2.8K-144.8K-1.4K0.0021.96N/AN/A6902,703784
2020-05-05$4.72$5.00115.3%26.6%116.6%60.2%57.6%18.4%-3.4%3.3K-165.1K-1.4K0.0022.14N/AN/A2102,755784
2020-05-06$4.45$5.00102.2%26.5%118.7%50.8%89.0%11.8%-5.3%2.5K-113.1K-1.3K0.0019.45N/AN/A902,770784
2020-05-07$4.69$5.00113.9%26.0%118.8%59.2%90.6%-6.6%-3.6%3.0K-153.6K-1.4K0.0019.29N/AN/A1302,776784
2020-05-08$4.96$5.00122.1%25.0%119.9%65.0%84.7%21.4%2.0%3.4K-189.5K-1.4K0.0016.88N/AN/A10402,773784
2020-05-11$4.79$5.00140.4%25.2%120.0%78.2%87.7%-3.0%0.0%3.4K-172.3K-1.4K0.0216.19N/AN/A20452,845784
2020-05-12$4.61$5.00146.2%26.9%120.2%82.3%92.3%13.3%-7.6%3.4K-148.3K-1.4K0.2525.61N/AN/A111282,943889
2020-05-13$3.87$5.0085.2%24.4%130.6%38.6%85.1%-5.9%1.4%1.7K-27.3K-1.2K0.5788.12N/AN/A87503,027917
2020-05-14$3.94$5.0083.7%24.0%128.5%37.5%83.6%15.5%-1.5%1.9K-53.4K-1.2K2.0852.70N/AN/A601253,045877
2020-05-15$4.41$5.0083.2%23.9%132.7%37.2%83.1%11.5%0.4%2.8K-112.1K-1.5K0.0049.13N/AN/A15803,088961
2020-05-18$4.87$5.0071.7%20.5%136.4%28.9%71.8%22.6%3.3%4.8K-201.5K-1.5K0.0022.52N/AN/A26802,837935
2020-05-19$5.05$5.0072.7%20.9%133.0%29.7%72.7%14.5%3.5%4.7K-232.7K-1.5K0.3228.74N/AN/A234752,773935
2020-05-20$5.29$5.0069.2%19.9%131.5%27.2%69.3%39.8%5.9%4.3K-230.0K-1.6K0.0072.11N/AN/A2802,7501,003
2020-05-21$5.30$5.0072.0%20.7%125.6%29.2%72.0%22.2%3.8%4.6K-263.4K-1.6K0.0024.08N/AN/A12802,7581,003
2020-05-22$5.12$5.0070.8%20.3%126.0%28.3%70.8%21.3%5.0%3.6K-166.9K-1.4K0.4018.01N/AN/A522,6521,003
2020-05-26$5.47$5.0069.3%19.9%124.5%27.2%69.2%21.3%2.5%4.2K-247.1K-1.3K0.3627.15N/AN/A66242,6291,003
2020-05-27$6.12$5.0063.4%18.2%129.5%23.0%45.5%42.5%29.3%6.2K-378.0K-1.3K0.0168.51N/AN/A17012,6571,023
2020-05-28$6.01$5.0061.9%17.8%115.2%22.0%42.7%31.7%27.1%5.0K-321.3K-1.3K0.0224.02N/AN/A32452,5691,024
2020-05-29$5.42$5.0074.4%21.3%121.5%30.9%75.9%9.4%0.2%3.7K-201.3K-1.2K0.5969.85N/AN/A22132,7151,029