CNR Options History — January 2021

In January 2021, CNR traded between $9.47 and $12.99. ATM implied volatility averaged 66.9%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 14.0% (HV 20d: 53.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-01-20: Highest Volume — 10,886 contracts
  • 2021-01-13: Largest IV spike — 40.1% change
  • 2021-01-27: Highest IV Rank — 39.4%
  • 2021-01-27: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.48$9.47$12.99$9.47$11.43
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV66.9%44.1%85.3%66.1%80.6%
Expected Move20.4%18.7%24.5%19.2%23.1%
HV 20d53.0%30.0%72.4%30.8%72.4%
HV 60d53.2%48.9%55.7%50.7%55.3%
IV Rank27.2%10.1%39.4%27.4%35.6%
IV Percentile35.1%2.4%57.9%31.3%53.2%
Term Structure3.5%-2.0%10.3%0.5%10.3%
VWIV72.6%65.0%85.7%66.9%85.7%
Skew 25d2.5%-9.7%14.3%1.3%-3.5%
Skew 10d9.1%-23.3%37.3%37.3%-11.3%
Call IV 25d70.4%55.8%90.5%67.1%84.5%
Put IV 25d72.8%58.9%84.6%68.4%81.0%
Bid-Ask Spread %73.1460.1182.8272.2166.80
Gamma HHI0.520.280.730.680.29
Net GEX163.5K95.1K292.9K113.9K282.1K
Net DEX-11.0M-15.9M-5.6M-5.6M-13.1M
Net VEX-25.3K-47.4K-14.2K-15.3K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.007.140.050.00
Total Volume1,695.3164110,88664672
Total OI17,847.94711,69231,56311,78531,563

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$9.47$10.0066.1%19.2%30.8%27.4%66.9%1.3%0.5%113.9K-5.6M-15.3K0.0572.21N/AN/A61310,6691,116
2021-01-05$9.74$10.0064.9%19.6%30.0%26.5%71.4%4.5%0.9%115.0K-6.2M-15.3K0.0066.46N/AN/A41010,6741,119
2021-01-06$10.56$10.0069.1%19.5%40.6%29.8%67.0%-5.8%-0.2%116.7K-7.7M-15.0K0.0675.54N/AN/A2001210,6581,119
2021-01-07$11.43$10.0046.2%18.9%47.1%11.8%68.5%4.1%0.1%95.1K-9.2M-14.2K0.0082.34N/AN/A2,287110,6321,125
2021-01-08$11.13$10.0047.1%19.1%48.8%12.5%68.9%3.3%1.0%117.7K-9.6M-15.5K0.0073.41N/AN/A452011,5761,126
2021-01-11$11.39$10.0044.1%18.9%46.3%10.1%66.4%12.7%1.3%114.4K-10.1M-15.0K0.8082.82N/AN/A352811,7571,126
2021-01-12$11.61$10.0049.0%19.4%45.9%13.9%71.0%8.6%-1.3%109.1K-10.6M-14.8K0.1276.57N/AN/A89210411,7611,153
2021-01-13$11.22$10.0068.6%19.7%48.7%29.4%69.6%1.5%0.4%117.5K-10.2M-15.8K0.6077.22N/AN/A845012,3211,257
2021-01-14$11.18$10.0070.6%20.2%48.6%30.9%69.3%14.3%0.4%110.3K-9.0M-16.3K7.1464.05N/AN/A2115011,5501,307
2021-01-15$11.14$10.0071.6%20.5%48.3%31.7%65.0%6.6%-2.0%111.2K-8.8M-16.6K0.0775.14N/AN/A1351011,5321,457
2021-01-19$12.02$10.0065.2%18.7%53.8%26.7%67.5%7.7%3.3%106.8K-9.6M-15.3K0.0279.22N/AN/A1,8013710,5011,191
2021-01-20$12.99$10.0073.2%21.0%58.7%33.0%74.1%-0.2%7.1%103.1K-11.9M-19.5K0.1175.49N/AN/A9,7761,11012,2121,177
2021-01-21$12.87$10.0072.8%20.9%59.1%32.7%76.1%1.2%7.5%228.2K-15.9M-40.2K0.0574.69N/AN/A5703021,2712,175
2021-01-22$12.41$10.0068.1%19.5%61.8%29.0%68.7%4.4%10.2%221.3K-14.5M-38.5K0.0760.11N/AN/A6334621,1912,173
2021-01-25$12.54$10.0075.6%21.7%61.6%31.4%77.2%-4.6%7.4%224.7K-14.5M-37.8K0.0473.15N/AN/A7,14428521,0522,213
2021-01-26$12.08$10.0076.1%21.8%63.7%31.8%82.4%-3.9%8.8%279.2K-15.3M-42.1K0.1866.45N/AN/A1,29723625,1032,489
2021-01-27$11.20$10.0085.3%24.5%69.5%39.4%83.5%-9.7%2.6%247.3K-12.4M-41.6K0.2777.70N/AN/A2,80777125,5982,755
2021-01-28$11.80$10.0077.8%22.3%70.8%33.2%80.9%4.2%8.2%292.9K-14.8M-47.4K0.0670.33N/AN/A4052527,8893,523
2021-01-29$11.43$10.0080.6%23.1%72.4%35.6%85.7%-3.5%10.3%282.1K-13.1M-45.6K0.0066.80N/AN/A671128,0653,498