CNR Options History — June 2020

In June 2020, CNR traded between $5.52 and $6.59. ATM implied volatility averaged 83.7%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 11.9% (HV 20d: 95.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.90.

Notable Days

  • 2020-06-11: Highest Volume — 1,440 contracts
  • 2020-06-10: Largest IV spike — 90.7% change
  • 2020-06-29: Highest IV Rank — 51.2%
  • 2020-06-29: Largest Expected Move — 29.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.02$5.52$6.59$5.89$6.04
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV83.7%47.1%102.7%84.1%84.5%
Expected Move24.6%16.8%29.4%24.1%24.2%
HV 20d95.7%65.7%118.2%118.2%66.0%
HV 60d126.1%101.3%153.4%153.4%101.3%
IV Rank37.6%11.3%51.2%37.9%38.1%
IV Percentile64.8%12.7%84.2%70.1%67.2%
Term Structure-1.8%-18.7%17.7%-8.4%-0.6%
VWIV75.9%50.3%98.2%80.7%54.1%
Skew 25d13.8%1.3%34.4%9.6%26.4%
Skew 10d24.7%-3.6%50.9%8.2%44.8%
Call IV 25d71.9%44.9%93.7%70.3%75.5%
Put IV 25d85.7%55.4%119.0%79.9%101.9%
Bid-Ask Spread %59.7322.4488.6552.0558.53
Gamma HHI0.430.260.690.320.37
Net GEX5.5K1.9K10.9K1.9K5.9K
Net DEX-338.3K-457.3K-233.4K-287.9K-328.1K
Net VEX-1.3K-1.7K-965-965-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.900.0095.000.008.76
Total Volume200.31831,44091449
Total OI3,568.1822,2504,5263,7662,361

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$5.89$5.0084.1%24.1%118.2%37.9%0.0%9.6%-8.4%1.9K-287.9K-9650.0052.05N/AN/A9102,7371,029
2020-06-02$5.93$5.0069.3%19.9%116.6%27.2%80.7%1.3%-1.5%5.9K-308.5K-1.3K0.0039.86N/AN/A802,8091,029
2020-06-03$6.15$5.0058.4%16.8%116.9%19.5%58.4%7.0%17.7%5.2K-338.8K-1.1K0.6341.42N/AN/A16102,8061,029
2020-06-04$6.23$5.0060.3%21.8%113.7%20.8%74.6%11.2%4.6%5.5K-341.8K-1.1K1.8941.39N/AN/A841592,7971,035
2020-06-05$6.57$5.0056.3%19.0%113.7%17.9%66.5%20.5%-0.7%9.3K-436.6K-1.3K0.0268.31N/AN/A24452,7991,036
2020-06-08$6.59$5.0067.6%19.0%112.9%26.0%66.3%8.5%0.4%10.9K-457.3K-1.3K0.0772.22N/AN/A142102,9101,039
2020-06-09$6.52$5.0047.1%19.6%111.8%11.3%69.4%9.9%-1.3%9.3K-447.9K-1.5K0.0657.77N/AN/A6943,0351,049
2020-06-10$6.12$5.0089.8%25.8%113.7%41.9%52.2%13.3%-4.2%6.7K-387.0K-1.5K0.0184.59N/AN/A36723,0931,053
2020-06-11$5.52$5.0085.8%24.6%99.9%39.1%86.1%4.8%4.6%6.1K-296.3K-1.6K95.0088.17N/AN/A151,4253,3671,055
2020-06-12$5.79$5.0096.5%27.7%100.5%46.7%96.8%12.4%-5.6%6.7K-354.6K-1.7K0.0054.72N/AN/A17203,3611,165
2020-06-15$5.72$5.0099.3%28.5%94.7%48.7%97.4%19.5%-10.6%4.2K-313.7K-1.4K0.0061.71N/AN/A303,2131,165
2020-06-16$6.10$5.0098.5%28.2%91.2%48.2%91.6%9.8%-18.7%4.6K-388.1K-1.4K0.1972.97N/AN/A53103,2161,165
2020-06-17$6.13$5.00101.3%29.0%90.8%50.2%50.3%13.0%-14.3%4.9K-407.3K-1.5K0.2481.15N/AN/A1743,2631,163
2020-06-18$6.03$5.0085.4%24.5%90.1%38.8%82.6%34.4%4.3%5.0K-379.9K-1.3K0.0066.04N/AN/A4703,2501,167
2020-06-19$6.06$5.0094.7%27.2%90.1%45.5%93.3%19.4%-7.0%5.3K-395.2K-1.3K0.0069.79N/AN/A11603,2891,167
2020-06-22$6.02$5.0096.5%27.7%89.0%46.7%51.2%24.9%0.9%5.1K-285.7K-1.3K0.0722.44N/AN/A134101,410881
2020-06-23$5.99$5.0090.9%26.1%86.3%42.7%76.4%8.6%1.4%2.3K-250.7K-1.1K0.6469.98N/AN/A2421561,360891
2020-06-24$5.80$5.0098.2%28.2%77.2%48.0%98.2%13.7%-0.9%4.6K-243.7K-1.3K0.0124.54N/AN/A18011,359891
2020-06-25$5.70$5.0080.8%23.2%77.2%35.5%83.0%14.3%-2.5%5.2K-264.4K-1.2K0.1388.65N/AN/A3241,452892
2020-06-26$5.55$5.0093.8%26.9%68.2%44.8%88.6%2.2%5.5%4.5K-233.4K-1.2K0.0066.20N/AN/A10501,469892
2020-06-29$5.93$5.00102.7%29.4%65.7%51.2%0.0%19.9%-3.7%2.3K-296.7K-1.2K0.0031.50N/AN/A2101,463888
2020-06-30$6.04$5.0084.5%24.2%66.0%38.1%54.1%26.4%-0.6%5.9K-328.1K-1.2K8.7658.53N/AN/A464031,473888