CNR Options History — November 2020

In November 2020, CNR traded between $7.96 and $9.47. ATM implied volatility averaged 79.4%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 16.8% (HV 20d: 62.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2020-11-18: Highest Volume — 2,639 contracts
  • 2020-11-11: Largest IV drop — 39.4% change
  • 2020-11-10: Highest IV Rank — 64.6%
  • 2020-11-02: Largest Expected Move — 29.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.61$7.96$9.47$8.02$8.74
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV79.4%59.4%113.3%104.3%59.4%
Expected Move21.5%17.0%29.9%29.9%17.0%
HV 20d62.6%55.7%71.4%69.0%59.8%
HV 60d65.5%62.0%68.9%68.5%66.0%
IV Rank37.9%22.1%64.6%57.5%22.1%
IV Percentile51.3%21.4%91.3%86.5%21.4%
Term Structure-2.8%-15.6%6.1%-15.6%-6.4%
VWIV73.4%46.2%104.2%104.2%70.7%
Skew 25d4.7%-20.3%25.3%1.2%-20.3%
Skew 10d24.2%-21.5%70.1%16.5%0.3%
Call IV 25d73.0%53.5%104.5%104.5%69.0%
Put IV 25d77.7%48.6%106.0%105.8%48.6%
Bid-Ask Spread %38.3212.2972.4766.7672.47
Gamma HHI0.470.410.510.480.51
Net GEX99.6K82.1K120.0K82.1K97.9K
Net DEX-4.9M-6.3M-3.6M-3.9M-4.8M
Net VEX-19.8K-22.8K-17.6K-21.2K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.006.730.402.21
Total Volume508.95102,63912245
Total OI17,700.4516,37419,13117,31016,439

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$8.02$7.50104.3%29.9%69.0%57.5%104.2%1.2%-15.6%82.1K-3.9M-21.2K0.4066.76N/AN/A873515,4081,902
2020-11-03$8.43$7.50101.8%29.2%71.4%55.5%101.0%3.9%-13.8%94.8K-4.6M-22.8K0.0825.79N/AN/A53415,4081,902
2020-11-04$8.18$7.5095.4%27.3%62.9%50.5%94.0%11.7%-11.5%86.5K-3.9M-21.1K0.3556.88N/AN/A17615,4721,934
2020-11-05$8.49$7.50104.2%24.3%58.5%57.4%81.3%0.6%-6.5%97.8K-4.5M-22.3K0.0051.50N/AN/A51015,4621,938
2020-11-06$8.10$7.5097.6%24.3%59.9%52.2%83.0%-5.3%-7.9%85.1K-3.7M-20.4K1.4638.55N/AN/A28842115,4641,938
2020-11-09$8.09$7.50113.2%24.9%59.0%64.5%84.7%4.7%-8.2%89.8K-3.8M-19.9K0.0468.38N/AN/A1,1825115,5801,592
2020-11-10$8.53$7.50113.3%23.1%62.0%64.6%81.6%-3.3%-3.5%118.5K-5.3M-21.4K0.6422.45N/AN/A65942016,4521,544
2020-11-11$8.19$7.5068.7%19.7%63.2%29.5%47.4%13.9%3.9%100.6K-4.0M-19.1K0.0466.65N/AN/A1,0674816,6561,942
2020-11-12$7.96$7.5068.2%19.6%63.7%29.1%68.0%-4.6%6.1%91.4K-3.6M-17.9K0.1512.29N/AN/A1392116,5731,934
2020-11-13$7.97$7.5067.5%19.4%62.9%28.6%67.7%-2.0%6.0%92.5K-3.7M-17.9K1.5615.29N/AN/A253916,6861,936
2020-11-16$8.53$7.5072.7%20.8%65.4%32.6%70.4%6.5%2.4%92.6K-4.7M-19.2K0.4217.03N/AN/A1295416,7051,961
2020-11-17$8.64$7.5072.5%20.8%64.6%32.5%67.5%7.7%0.9%88.7K-5.0M-19.0K6.7316.35N/AN/A117416,7241,956
2020-11-18$9.10$7.5065.9%18.9%67.2%27.3%71.7%9.2%2.7%103.8K-5.8M-20.0K0.0126.50N/AN/A2,6132616,7321,948
2020-11-19$9.05$7.5065.3%18.7%66.9%26.8%77.7%-0.0%-1.6%107.3K-6.3M-20.0K0.0161.58N/AN/A1,9831317,1841,947
2020-11-20$9.03$7.5066.6%19.1%66.3%27.8%46.2%9.6%-6.9%105.8K-6.2M-19.9K0.0024.57N/AN/A236017,0301,954
2020-11-23$9.47$7.5064.3%18.4%59.0%26.0%63.8%25.3%-0.7%120.0K-6.3M-20.0K0.3342.97N/AN/A1204014,7161,658
2020-11-24$9.43$7.5062.4%17.9%55.7%24.5%63.6%17.0%2.8%119.9K-6.2M-19.8K1.1426.04N/AN/A768714,7781,668
2020-11-25$9.16$7.5063.2%18.1%57.0%25.2%63.0%9.2%-1.1%109.5K-5.6M-19.0K1.5826.82N/AN/A193014,7901,656
2020-11-27$9.16$7.5061.1%17.5%56.8%23.5%61.2%9.4%2.1%107.0K-5.5M-18.3K4.0027.51N/AN/A2814,7741,666
2020-11-30$8.74$7.5059.4%17.0%59.8%22.1%70.7%-20.3%-6.4%97.9K-4.8M-17.6K2.2172.47N/AN/A143114,7731,666