CNR Options History — October 2020

In October 2020, CNR traded between $7.60 and $9.79. ATM implied volatility averaged 80.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded above realized volatility by 10.0% (HV 20d: 70.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-10-07: Highest Volume — 6,502 contracts
  • 2020-10-14: Largest IV spike — 30.9% change
  • 2020-10-30: Highest IV Rank — 52.9%
  • 2020-10-30: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.68$7.60$9.79$7.99$7.60
Max Pain$9.09$7.50$10.00$7.50$7.50
ATM IV80.1%59.4%98.4%66.9%98.4%
Expected Move24.3%19.2%28.2%19.2%28.2%
HV 20d70.2%57.4%83.6%76.6%66.0%
HV 60d68.0%66.0%71.4%68.1%67.7%
IV Rank38.5%22.1%52.9%28.1%52.9%
IV Percentile57.1%30.6%79.8%40.9%79.8%
Term Structure-2.0%-10.2%13.2%7.7%-10.2%
VWIV85.2%67.0%98.7%67.0%98.7%
Skew 25d3.2%-19.2%35.0%35.0%-16.2%
Skew 10d8.6%-30.0%91.4%91.4%-15.0%
Call IV 25d82.2%43.5%101.7%47.9%101.7%
Put IV 25d85.4%68.5%108.5%82.9%85.5%
Bid-Ask Spread %38.419.1067.8814.6016.44
Gamma HHI0.480.400.700.520.48
Net GEX72.3K14.0K107.9K14.0K70.0K
Net DEX-4.3M-6.4M-1.6M-1.6M-3.1M
Net VEX-19.0K-25.0K-6.9K-7.5K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.004.190.001.07
Total Volume918.59146,502458
Total OI13,220.5915,77617,2895,77617,289

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$7.99$7.5066.9%19.2%76.6%28.1%67.0%35.0%7.7%14.0K-1.6M-7.5K0.0014.60N/AN/A404,0701,706
2020-10-02$8.28$7.5069.3%19.9%73.5%29.9%69.6%25.0%13.2%15.3K-1.9M-7.5K0.5153.10N/AN/A68354,0711,706
2020-10-05$8.36$7.5059.4%22.7%73.2%22.1%79.7%5.1%-2.2%17.5K-2.0M-7.0K0.0365.25N/AN/A3314,0421,735
2020-10-06$8.30$7.5065.3%21.8%73.0%26.8%0.0%4.0%0.9%17.2K-2.0M-6.9K0.1367.42N/AN/A2434,0531,735
2020-10-07$9.12$7.5068.6%21.7%79.1%29.4%75.9%26.4%3.1%19.5K-2.4M-7.2K0.0153.19N/AN/A6,449534,0521,738
2020-10-08$9.79$7.5066.1%22.5%81.7%27.4%75.8%4.3%1.0%70.0K-5.8M-19.3K0.0251.31N/AN/A6,2561379,2931,730
2020-10-09$9.54$7.5063.0%21.7%82.7%25.0%75.9%-0.6%3.6%92.5K-6.0M-22.9K0.0336.79N/AN/A7812611,9851,790
2020-10-12$9.74$10.0063.8%23.0%82.3%25.6%80.5%4.2%-0.4%102.8K-6.4M-23.4K0.1163.37N/AN/A6847612,4451,787
2020-10-13$9.39$10.0066.0%24.7%83.6%27.4%86.2%1.7%0.3%95.7K-6.0M-23.3K0.0847.12N/AN/A7745912,7941,855
2020-10-14$9.37$10.0086.4%24.8%70.6%43.4%87.4%3.5%-5.2%93.0K-6.0M-23.4K0.2930.79N/AN/A2457213,3431,885
2020-10-15$9.28$10.0087.0%24.9%69.6%43.9%86.7%2.4%-2.8%91.5K-5.9M-23.5K0.0048.64N/AN/A162013,5211,945
2020-10-16$8.96$10.0086.8%24.9%69.1%43.7%86.5%0.5%-3.9%88.8K-5.5M-22.6K0.0340.21N/AN/A87313,6511,945
2020-10-19$8.49$10.0089.3%25.6%60.2%45.7%91.0%-6.6%-2.7%80.4K-4.4M-21.1K0.0410.90N/AN/A1,9577612,9821,170
2020-10-20$8.75$10.0089.0%25.5%60.8%45.4%89.0%1.1%-1.8%99.2K-5.4M-24.9K0.2319.42N/AN/A1894314,6441,215
2020-10-21$8.86$10.0087.0%24.9%57.4%43.9%88.3%3.7%-8.1%103.5K-5.6M-24.9K0.0319.33N/AN/A186514,7151,218
2020-10-22$8.72$10.0089.8%25.8%58.0%46.1%88.3%2.2%-6.0%102.4K-5.3M-24.9K0.1837.83N/AN/A551014,8931,223
2020-10-23$8.95$10.0082.8%23.7%58.4%40.6%83.5%3.2%-1.2%107.9K-5.8M-25.0K0.0423.80N/AN/A56214,8871,219
2020-10-26$8.18$10.0092.1%26.4%65.5%47.9%93.4%-10.7%-4.0%89.3K-4.4M-22.2K0.439.10N/AN/A27011614,8891,220
2020-10-27$7.81$10.0093.1%26.7%67.6%48.7%94.0%-19.2%-8.1%76.9K-3.5M-19.9K4.1934.98N/AN/A7431015,1171,336
2020-10-28$7.74$10.0097.5%27.9%67.6%52.1%97.6%-10.0%-9.3%72.1K-3.3M-20.1K1.1133.56N/AN/A21323615,1531,674
2020-10-29$7.68$10.0095.3%27.3%67.4%50.4%95.3%12.0%-7.2%70.3K-3.3M-20.2K0.0367.88N/AN/A3111015,2701,862
2020-10-30$7.60$7.5098.4%28.2%66.0%52.9%98.7%-16.2%-10.2%70.0K-3.1M-20.1K1.0716.44N/AN/A283015,4171,872