CNR Options History — December 2020

In December 2020, CNR traded between $8.57 and $9.95. ATM implied volatility averaged 61.8%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 19.2% (HV 20d: 42.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2020-12-21: Highest Volume — 1,215 contracts
  • 2020-12-04: Largest IV spike — 40.0% change
  • 2020-12-01: Highest IV Rank — 32.5%
  • 2020-12-01: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.33$8.57$9.95$8.57$9.37
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV61.8%47.1%72.5%72.5%62.5%
Expected Move18.1%16.2%20.8%20.8%17.9%
HV 20d42.7%29.3%57.9%57.9%30.8%
HV 60d59.0%53.9%66.0%66.0%54.2%
IV Rank24.1%12.5%32.5%32.5%24.6%
IV Percentile24.2%7.5%47.2%47.2%23.0%
Term Structure5.9%-9.3%21.1%-9.3%4.7%
VWIV63.1%44.5%77.1%71.0%60.2%
Skew 25d6.2%-16.5%81.8%0.4%-7.1%
Skew 10d18.8%-25.8%127.2%15.5%-6.1%
Call IV 25d58.3%43.8%71.1%71.1%60.1%
Put IV 25d64.5%47.7%130.5%71.6%53.0%
Bid-Ask Spread %59.2115.8482.9515.8419.01
Gamma HHI0.660.530.770.530.66
Net GEX97.6K72.8K110.9K92.7K110.9K
Net DEX-5.5M-6.4M-4.5M-4.5M-5.4M
Net VEX-16.4K-17.4K-15.2K-17.1K-15.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.003.721.521.04
Total Volume185.45521,21520796
Total OI14,878.86410,24317,52516,48311,606

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$8.57$7.5072.5%20.8%57.9%32.5%71.0%0.4%-9.3%92.7K-4.5M-17.1K1.5215.84N/AN/A8212514,8061,677
2020-12-02$8.66$7.5056.5%16.2%55.3%19.8%44.5%5.0%21.1%91.5K-4.6M-17.1K3.7265.27N/AN/A3914514,8031,802
2020-12-03$8.72$7.5047.1%19.4%54.1%12.5%64.8%4.8%5.3%91.6K-4.7M-17.3K0.5780.42N/AN/A875014,7871,947
2020-12-04$9.03$7.5065.9%18.3%53.9%27.3%66.7%12.3%6.7%98.3K-5.2M-17.4K0.3469.08N/AN/A1214114,8161,947
2020-12-07$9.07$7.5051.5%18.1%50.5%16.0%63.0%14.8%5.6%98.4K-5.2M-16.8K0.1271.37N/AN/A33414,8241,988
2020-12-08$9.39$7.5064.6%18.7%51.5%26.3%65.4%4.5%4.1%103.1K-6.0M-17.2K0.0170.95N/AN/A219214,8351,988
2020-12-09$9.51$7.5063.8%18.3%48.7%25.6%63.8%4.9%4.3%109.5K-6.1M-17.0K0.0367.87N/AN/A155514,9091,989
2020-12-10$9.18$7.5062.5%17.9%48.0%24.6%77.1%2.2%9.5%90.1K-5.5M-16.5K0.1067.97N/AN/A1091114,8301,994
2020-12-11$9.11$7.5063.5%18.2%46.6%25.4%0.0%15.9%6.8%97.9K-5.3M-16.3K0.2969.13N/AN/A14414,9341,986
2020-12-14$9.16$7.5062.2%17.8%46.6%24.4%62.0%13.9%6.3%95.1K-5.4M-15.9K0.0670.76N/AN/A95614,9301,985
2020-12-15$9.40$7.5061.5%17.6%41.4%23.8%58.3%-5.0%8.0%105.5K-5.8M-16.3K0.4569.82N/AN/A1115014,9561,985
2020-12-16$9.31$7.5062.8%18.0%41.6%24.9%62.8%21.1%7.8%72.8K-5.5M-15.9K0.0072.50N/AN/A554214,9631,985
2020-12-17$9.47$7.5063.0%18.1%37.9%25.0%70.9%-3.0%3.3%84.7K-5.9M-16.4K0.0082.95N/AN/A209015,4371,987
2020-12-18$9.61$7.5065.7%18.8%38.0%27.1%65.7%2.6%5.1%88.6K-6.2M-16.6K0.0969.32N/AN/A1291215,5381,987
2020-12-21$9.61$7.5063.5%18.2%38.0%25.4%51.1%-16.5%6.9%90.5K-4.8M-16.1K0.0068.93N/AN/A1,21509,2381,005
2020-12-22$9.70$7.5060.9%17.4%34.3%23.3%60.7%-13.4%8.6%99.2K-6.0M-16.6K0.5938.56N/AN/A694110,3791,005
2020-12-23$9.95$7.5061.0%17.5%35.3%23.4%61.0%11.6%7.8%104.0K-6.4M-16.4K0.2269.05N/AN/A581310,4321,006
2020-12-24$9.87$7.5059.4%17.0%33.5%22.1%0.0%81.8%7.1%102.2K-6.3M-16.2K0.0017.05N/AN/A2010,4581,019
2020-12-28$9.61$7.5066.5%19.1%35.2%27.7%66.4%-2.9%0.7%104.6K-5.9M-15.8K0.3235.45N/AN/A441410,4601,019
2020-12-29$9.49$7.5063.1%18.1%30.6%25.0%63.1%-8.3%4.3%108.0K-5.6M-15.6K0.0354.70N/AN/A59210,5191,018
2020-12-30$9.57$7.5060.2%17.2%29.3%22.7%60.2%-3.1%4.6%108.4K-5.8M-15.4K0.0056.58N/AN/A53010,5391,017
2020-12-31$9.37$7.5062.5%17.9%30.8%24.6%0.0%-7.1%4.7%110.9K-5.4M-15.2K1.0419.01N/AN/A474910,5891,017