CNR Options History — August 2020

In August 2020, CNR traded between $6.31 and $8.92. ATM implied volatility averaged 79.4%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 11.0% (HV 20d: 68.4%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2020-08-04: Highest Volume — 1,784 contracts
  • 2020-08-04: Largest IV spike — 32.8% change
  • 2020-08-11: Highest IV Rank — 54.0%
  • 2020-08-04: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.93$6.31$8.92$6.31$8.03
Max Pain$7.98$5.00$10.00$5.00$10.00
ATM IV79.4%67.6%106.6%69.8%69.1%
Expected Move21.9%19.4%26.6%20.0%19.8%
HV 20d68.4%59.0%72.9%71.1%62.1%
HV 60d77.4%69.0%88.1%88.1%69.0%
IV Rank36.4%27.6%54.0%27.6%29.8%
IV Percentile57.2%42.9%88.5%46.8%44.0%
Term Structure4.4%-8.6%16.7%0.3%12.8%
VWIV75.6%45.7%114.1%114.1%69.1%
Skew 25d15.2%-1.5%31.6%22.1%28.6%
Skew 10d28.4%-5.3%71.6%31.8%52.6%
Call IV 25d64.2%39.7%88.1%84.0%44.7%
Put IV 25d79.4%63.5%106.1%106.1%73.3%
Bid-Ask Spread %48.9111.4784.0370.6448.87
Gamma HHI0.610.450.770.450.68
Net GEX9.1K2.8K15.2K2.8K9.2K
Net DEX-1.3M-2.1M-263.7K-263.7K-1.1M
Net VEX-6.2K-7.5K-1.8K-1.8K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.007.430.020.06
Total Volume282.952171,78431618
Total OI5,512.7622,9396,4982,9395,845

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$6.31$5.0069.8%20.0%71.1%27.6%114.1%22.1%0.3%2.8K-263.7K-1.8K0.0270.64N/AN/A31151,4501,489
2020-08-04$6.57$5.0092.8%26.6%67.1%44.1%91.2%25.1%-8.6%4.0K-368.8K-2.0K0.0021.56N/AN/A1,78401,5851,494
2020-08-05$6.88$5.0086.1%24.7%68.1%39.2%86.5%31.6%-6.0%10.7K-1.1M-5.3K0.1563.35N/AN/A138213,1871,494
2020-08-06$6.92$5.0090.6%23.0%59.8%42.5%0.0%-1.5%5.3%11.7K-1.1M-5.5K3.5284.03N/AN/A27953,2481,514
2020-08-07$6.92$5.0093.7%23.6%60.2%44.7%82.2%2.4%6.3%10.6K-1.1M-5.5K0.2973.58N/AN/A3561043,2431,613
2020-08-10$7.21$5.00103.8%23.7%59.0%51.9%94.1%10.1%7.2%13.2K-1.4M-6.4K0.0266.53N/AN/A4313,5951,659
2020-08-11$7.37$5.00106.6%25.1%59.0%54.0%87.9%17.4%-2.5%14.3K-1.4M-6.6K0.3266.52N/AN/A3651183,6011,660
2020-08-12$8.57$5.0081.5%23.4%72.2%39.5%72.8%14.0%8.6%15.2K-2.1M-6.7K1.2549.79N/AN/A5987453,6221,721
2020-08-13$8.74$7.5082.1%23.5%71.6%40.0%75.0%5.4%0.7%13.3K-1.8M-7.3K3.5853.87N/AN/A1073833,8692,325
2020-08-14$8.76$10.0072.3%20.7%71.9%32.3%80.8%17.3%6.2%10.7K-1.7M-7.5K3.0231.66N/AN/A471423,8622,557
2020-08-17$8.92$10.0075.6%21.7%68.9%34.9%77.3%16.1%6.1%5.3K-1.7M-7.3K0.6449.36N/AN/A70453,8482,587
2020-08-18$8.68$10.0079.7%22.8%71.1%38.1%71.0%11.5%5.4%6.2K-1.6M-7.3K0.0211.47N/AN/A8823,8752,594
2020-08-19$8.57$10.0072.5%20.8%70.8%32.5%70.0%2.1%14.0%6.4K-1.5M-7.2K0.4216.86N/AN/A1253,8982,594
2020-08-20$8.40$10.0072.2%20.7%71.9%32.2%68.3%7.6%16.7%7.0K-1.5M-7.1K0.2848.67N/AN/A39113,9032,595
2020-08-21$8.39$10.0067.8%19.4%71.7%28.7%69.8%27.0%8.2%7.4K-1.4M-7.0K0.2963.05N/AN/A34103,8942,600
2020-08-24$8.47$10.0071.9%20.6%71.7%32.0%45.7%30.7%1.8%7.5K-1.4M-6.8K0.5749.28N/AN/A1483,4662,260
2020-08-25$8.45$10.0071.5%20.5%71.2%31.7%70.8%4.8%-0.2%7.6K-1.4M-6.8K0.6440.25N/AN/A1173,4712,257
2020-08-26$8.19$10.0070.0%20.1%72.9%30.5%62.4%-0.5%3.6%8.7K-1.2M-6.7K0.1933.85N/AN/A54103,4792,259
2020-08-27$8.15$10.0067.6%19.4%72.4%28.6%54.1%25.4%3.1%9.5K-1.2M-6.6K7.4332.66N/AN/A7523,5112,254
2020-08-28$8.09$10.0069.7%20.0%71.3%30.3%69.7%22.9%3.6%9.3K-1.2M-6.5K0.0051.22N/AN/A0553,5172,273
2020-08-31$8.03$10.0069.1%19.8%62.1%29.8%69.1%28.6%12.8%9.2K-1.1M-6.4K0.0648.87N/AN/A1713,5172,328