CNR Options History — September 2020

In September 2020, CNR traded between $7.35 and $9.19. ATM implied volatility averaged 67.4%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 5.4% (HV 20d: 62.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.48.

Notable Days

  • 2020-09-16: Highest Volume — 1,235 contracts
  • 2020-09-03: Largest IV drop — 18.0% change
  • 2020-09-08: Highest IV Rank — 35.0%
  • 2020-09-08: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.89$7.35$9.19$8.09$7.90
Max Pain$7.74$7.50$10.00$10.00$7.50
ATM IV67.4%57.3%75.7%64.5%65.2%
Expected Move19.6%16.4%22.0%18.5%18.7%
HV 20d62.0%33.2%76.8%61.2%76.8%
HV 60d68.5%64.1%73.5%69.0%68.1%
IV Rank28.4%20.5%35.0%26.2%26.7%
IV Percentile43.5%31.7%56.3%39.7%38.9%
Term Structure7.5%-1.7%16.3%16.3%12.2%
VWIV66.7%48.2%79.5%64.7%65.2%
Skew 25d6.7%-15.9%38.0%22.2%21.8%
Skew 10d14.5%-16.2%79.9%40.0%36.7%
Call IV 25d62.2%43.4%80.1%43.4%47.8%
Put IV 25d69.0%44.4%94.3%65.6%69.6%
Bid-Ask Spread %44.839.4788.8040.7512.80
Gamma HHI0.670.550.820.700.56
Net GEX13.5K7.1K18.6K9.6K14.9K
Net DEX-1.4M-2.7M-730.2K-1.2M-1.6M
Net VEX-6.8K-7.5K-6.2K-6.3K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.480.0049.002.940.31
Total Volume289.905181,23563102
Total OI6,070.6674,9326,9965,8525,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$8.09$10.0064.5%18.5%61.2%26.2%64.7%22.2%16.3%9.6K-1.2M-6.3K2.9440.75N/AN/A16473,5242,328
2020-09-02$8.23$10.0075.5%21.6%59.8%34.8%79.5%7.2%-1.7%8.1K-1.2M-6.5K0.0244.53N/AN/A4413,5282,330
2020-09-03$7.69$7.5061.9%21.4%65.7%24.1%67.7%-11.1%6.2%11.4K-930.9K-6.2K12.1288.80N/AN/A172063,5702,331
2020-09-04$7.59$7.5068.9%21.0%66.0%29.6%73.6%17.7%10.3%10.5K-919.2K-6.2K49.0079.12N/AN/A73433,5702,537
2020-09-08$7.47$7.5075.7%22.0%64.9%35.0%76.0%6.2%4.2%7.1K-730.2K-6.3K0.0464.08N/AN/A329143,5712,840
2020-09-09$7.38$7.5075.5%21.7%64.7%34.8%74.6%-9.7%4.3%10.7K-1.0M-6.5K0.5066.21N/AN/A1263,8782,561
2020-09-10$7.61$7.5075.2%21.6%34.5%34.6%74.0%-5.3%1.8%11.2K-1.1M-6.5K0.6738.14N/AN/A2281533,8752,563
2020-09-11$7.58$7.5071.1%20.4%33.2%31.4%71.1%12.5%8.1%13.8K-1.2M-6.8K0.0265.50N/AN/A12324,0992,634
2020-09-14$7.85$7.5069.4%19.9%36.3%30.0%68.9%-5.3%8.7%17.0K-1.6M-6.9K0.0061.19N/AN/A52904,2532,491
2020-09-15$8.09$7.5062.3%17.9%37.6%24.5%62.1%2.1%9.0%18.4K-1.9M-6.8K0.0657.73N/AN/A720434,3052,491
2020-09-16$9.19$7.5057.3%16.4%59.3%20.5%53.6%3.7%8.5%18.6K-2.7M-6.8K0.1735.08N/AN/A1,0601754,4732,523
2020-09-17$8.90$7.5061.4%17.6%60.3%23.7%59.8%-15.9%9.6%15.9K-2.1M-6.4K0.0965.79N/AN/A5554,2232,695
2020-09-18$8.54$7.5065.0%18.6%61.8%26.6%63.4%10.1%2.3%16.2K-1.9M-6.4K0.6658.60N/AN/A4322864,2452,695
2020-09-21$7.68$7.5066.9%19.2%72.5%28.0%67.1%-5.6%11.6%15.9K-1.4M-6.8K1.9550.91N/AN/A1312553,6301,302
2020-09-22$7.71$7.5068.1%19.5%72.4%29.0%68.1%17.3%2.8%14.5K-1.4M-7.2K0.2314.25N/AN/A70163,7131,475
2020-09-23$7.35$7.5066.8%19.1%74.0%28.0%66.8%7.5%3.7%14.0K-1.2M-7.0K1.1014.02N/AN/A42463,7791,490
2020-09-24$7.39$7.5066.7%19.1%73.6%27.9%66.7%6.2%6.7%13.7K-1.2M-7.1K2.529.47N/AN/A401013,8201,536
2020-09-25$7.49$7.5068.0%19.5%73.9%28.9%68.0%8.6%11.4%12.5K-1.2M-7.2K0.1611.09N/AN/A174283,8411,643
2020-09-28$7.91$7.5067.8%19.4%76.7%28.7%48.2%38.0%4.9%14.4K-1.6M-7.5K0.3349.91N/AN/A113373,9831,653
2020-09-29$7.98$7.5061.4%17.6%76.8%23.7%61.5%13.3%15.4%14.6K-1.6M-7.5K0.1113.53N/AN/A7284,0341,687
2020-09-30$7.90$7.5065.2%18.7%76.8%26.7%65.2%21.8%12.2%14.9K-1.6M-7.5K0.3112.80N/AN/A78244,0731,692