CNR Options History — July 2020

In July 2020, CNR traded between $4.80 and $5.97. ATM implied volatility averaged 93.5%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded above realized volatility by 22.3% (HV 20d: 71.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2020-07-06: Highest Volume — 633 contracts
  • 2020-07-31: Largest IV spike — 28.6% change
  • 2020-07-13: Highest IV Rank — 61.3%
  • 2020-07-13: Largest Expected Move — 30.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.48$4.80$5.97$5.48$5.63
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV93.5%73.6%116.8%85.4%97.8%
Expected Move26.8%21.1%30.4%24.5%28.0%
HV 20d71.2%60.4%76.5%73.1%60.4%
HV 60d97.4%85.7%104.7%103.2%85.7%
IV Rank44.6%30.3%61.3%38.8%47.6%
IV Percentile73.2%52.8%93.0%68.2%77.4%
Term Structure-2.1%-20.1%25.4%13.6%-19.9%
VWIV92.5%82.2%98.3%82.2%93.4%
Skew 25d15.2%-35.5%41.9%34.8%26.4%
Skew 10d37.4%-1.9%102.8%101.4%40.3%
Call IV 25d82.8%56.3%95.5%89.5%62.9%
Put IV 25d98.0%58.0%126.9%124.3%89.4%
Bid-Ask Spread %49.3711.8388.7549.9720.28
Gamma HHI0.350.280.430.320.42
Net GEX1.6K-1634.0K3.2K1.2K
Net DEX-120.1K-200.4K-4.6K-138.9K-121.3K
Net VEX-1.7K-1.8K-1.6K-1.6K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0010.670.000.00
Total Volume105063310811
Total OI2,980.0912,7093,2252,7622,940

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$5.48$5.0085.4%24.5%73.1%38.8%0.0%34.8%13.6%3.2K-138.9K-1.6K0.0049.97N/AN/A10801,4861,276
2020-07-02$5.28$5.0089.1%25.5%73.6%41.4%82.2%35.5%25.4%3.1K-113.4K-1.6K0.0226.89N/AN/A21851,5691,276
2020-07-06$5.50$5.0093.3%28.1%72.3%44.4%97.9%15.4%-5.2%4.0K-195.7K-1.8K1.6683.03N/AN/A2383951,7201,277
2020-07-07$5.17$5.0093.6%27.1%74.5%44.6%94.4%34.4%-2.8%3.2K-126.7K-1.7K10.6788.75N/AN/A151601,6761,277
2020-07-08$5.19$5.0098.5%30.0%74.8%48.2%0.0%37.3%-8.7%2.3K-97.6K-1.8K0.0086.93N/AN/A001,6841,437
2020-07-09$4.82$5.0099.1%27.1%75.8%48.6%94.7%18.6%1.2%1.6K-21.5K-1.6K1.0480.37N/AN/A67701,6841,437
2020-07-10$4.90$5.0099.4%28.0%68.3%48.8%97.5%22.1%-1.6%1.5K-21.2K-1.8K5.0068.02N/AN/A151,7111,507
2020-07-13$4.80$5.00116.8%30.4%65.4%61.3%0.0%19.8%-8.2%1.6K-4.6K-1.8K0.1065.27N/AN/A2121,7121,512
2020-07-14$4.88$5.0094.0%28.3%66.0%44.9%0.0%22.7%-2.4%2.5K-8.1K-1.7K0.0062.32N/AN/A201,7131,512
2020-07-15$5.29$5.0096.5%27.7%68.6%46.7%92.7%5.5%-2.3%-163-137.2K-1.7K2.8478.09N/AN/A1414011,7131,512
2020-07-16$5.56$5.0098.3%28.2%71.4%48.0%0.0%41.9%-1.4%134-179.6K-1.7K0.0040.84N/AN/A2601,6841,512
2020-07-17$5.72$5.0094.2%27.0%72.2%45.1%0.0%1.9%2.7%394-200.4K-1.8K0.0011.83N/AN/A1901,6821,512
2020-07-20$5.53$5.0073.6%21.1%73.0%30.3%93.7%-29.4%-0.9%203-67.9K-1.7K0.0041.70N/AN/A1001,2261,486
2020-07-21$5.58$5.0093.9%26.9%73.1%44.9%0.0%13.9%-5.9%320-77.6K-1.7K0.0040.74N/AN/A901,2361,486
2020-07-22$5.92$5.0099.7%28.6%76.5%49.0%98.3%13.4%-4.3%959-131.1K-1.7K0.0023.64N/AN/A2601,2361,486
2020-07-23$5.94$5.0091.3%26.2%75.5%43.0%0.0%8.0%-4.5%745-128.3K-1.7K0.0121.00N/AN/A33721,2231,486
2020-07-24$5.90$5.0086.0%24.7%75.3%39.2%83.6%1.4%1.4%1.8K-180.3K-1.8K0.2518.03N/AN/A821,4411,486
2020-07-27$5.97$5.0090.6%26.0%74.6%42.5%89.3%0.7%1.9%2.0K-190.0K-1.8K0.0027.78N/AN/A301,4401,488
2020-07-28$5.89$5.0095.5%27.4%71.0%46.0%0.0%8.6%-0.4%1.8K-186.2K-1.8K0.0027.07N/AN/A001,4521,488
2020-07-29$5.86$5.0094.5%27.1%70.7%45.3%0.0%36.7%-20.1%1.7K-159.3K-1.7K0.0073.23N/AN/A011,4521,488
2020-07-30$5.77$5.0076.1%21.8%61.3%32.1%93.4%-35.5%-3.9%1.5K-155.6K-1.7K0.0050.41N/AN/A701,4521,489
2020-07-31$5.63$5.0097.8%28.0%60.4%47.6%0.0%26.4%-19.9%1.2K-121.3K-1.6K0.0020.28N/AN/A1101,4511,489