CNR Options History — February 2021

In February 2021, CNR traded between $11.15 and $12.60. ATM implied volatility averaged 79.2%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 15.4% (HV 20d: 63.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.21.

Notable Days

  • 2021-02-22: Highest Volume — 4,159 contracts
  • 2021-02-18: Largest IV spike — 31.1% change
  • 2021-02-18: Highest IV Rank — 53.3%
  • 2021-02-18: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.74$11.15$12.60$11.91$11.62
Max Pain$9.47$7.50$10.00$10.00$10.00
ATM IV79.2%63.1%102.1%80.6%92.7%
Expected Move23.4%20.1%29.3%23.1%26.6%
HV 20d63.8%50.0%73.3%72.4%50.0%
HV 60d53.7%52.2%55.0%55.0%52.7%
IV Rank34.4%21.0%53.3%35.5%45.6%
IV Percentile49.8%17.5%82.9%52.8%66.7%
Term Structure-5.5%-19.1%11.9%11.9%-17.4%
VWIV81.6%69.7%94.5%72.9%94.5%
Skew 25d-1.4%-5.7%4.0%1.5%-0.3%
Skew 10d18.8%-0.5%39.6%3.5%39.5%
Call IV 25d83.3%73.9%94.8%82.9%94.8%
Put IV 25d81.9%75.8%94.5%84.4%94.5%
Bid-Ask Spread %41.3724.0167.7967.3739.11
Gamma HHI0.320.290.360.300.33
Net GEX298.3K222.3K363.9K299.6K290.5K
Net DEX-13.0M-17.8M-9.8M-15.2M-11.6M
Net VEX-38.0K-48.0K-31.8K-47.7K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.760.010.21
Total Volume978.2111324,159979221
Total OI31,612.31629,27232,50931,58631,908

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$11.91$10.0080.6%23.1%72.4%35.5%72.9%1.5%11.9%299.6K-15.2M-47.7K0.0167.37N/AN/A971828,0883,498
2021-02-02$12.31$10.0075.8%21.7%72.8%31.6%75.8%4.0%8.1%331.1K-16.8M-48.0K0.0167.79N/AN/A186128,5153,493
2021-02-03$12.09$10.0070.3%20.1%73.3%27.0%73.2%2.9%11.7%331.8K-16.1M-45.5K0.0034.05N/AN/A532028,4703,361
2021-02-04$11.64$7.5069.7%22.3%70.4%26.5%80.0%-0.5%-5.2%326.8K-13.5M-41.2K0.0024.01N/AN/A753328,5853,361
2021-02-05$11.82$7.5066.3%22.2%64.8%23.6%79.4%-2.8%-5.4%326.0K-14.2M-42.4K0.1326.29N/AN/A4055128,1333,363
2021-02-08$12.60$7.5063.1%22.8%67.5%21.0%79.7%-2.8%-6.9%363.9K-17.8M-42.3K0.6636.74N/AN/A34022527,9113,390
2021-02-09$12.12$7.5065.2%21.6%69.0%22.8%69.7%-1.1%-3.4%351.2K-15.5M-39.6K0.4140.73N/AN/A1,44258827,8803,543
2021-02-10$11.82$10.0076.8%22.0%69.4%32.3%79.7%-4.1%-4.3%330.0K-13.4M-39.1K0.0139.87N/AN/A710427,7534,030
2021-02-11$11.72$10.0077.4%22.2%68.3%32.9%79.8%-1.9%-5.0%317.8K-12.7M-38.1K0.2542.71N/AN/A47311827,6134,034
2021-02-12$11.74$10.0076.1%21.8%68.3%31.8%77.8%-4.2%-4.7%314.7K-12.5M-38.5K0.6454.33N/AN/A1529727,2814,140
2021-02-16$11.39$10.0081.7%23.4%69.2%36.4%79.6%1.9%-8.7%257.6K-10.6M-33.0K0.2141.16N/AN/A4569627,2604,207
2021-02-17$11.39$10.0077.8%22.3%63.3%33.3%79.1%-1.3%-4.5%225.7K-10.4M-32.3K0.7636.83N/AN/A755727,2324,308
2021-02-18$11.15$10.00102.1%29.3%56.0%53.3%87.6%-3.4%-19.1%222.3K-10.1M-32.1K0.1145.74N/AN/A7157827,1834,332
2021-02-19$11.41$10.0079.8%22.9%57.1%34.9%84.9%-5.7%-5.6%238.1K-11.0M-32.1K0.0140.71N/AN/A2,8223027,5954,406
2021-02-22$11.53$10.0085.3%24.5%56.2%39.5%86.8%-2.9%-10.0%244.7K-9.8M-33.0K0.0138.66N/AN/A4,1342525,1764,096
2021-02-23$11.53$10.0087.2%25.0%55.9%41.0%92.4%-5.2%-9.9%285.0K-11.2M-35.1K0.0148.08N/AN/A1,1881127,4724,117
2021-02-24$11.92$10.0088.3%25.3%56.0%41.9%87.4%-1.4%-13.6%323.4K-13.6M-36.2K0.4424.25N/AN/A25011028,2754,116
2021-02-25$11.30$10.0089.6%25.7%52.5%43.0%89.7%0.7%-12.5%286.5K-10.4M-31.8K0.0637.52N/AN/A1,1867328,3614,148
2021-02-26$11.62$10.0092.7%26.6%50.0%45.6%94.5%-0.3%-17.4%290.5K-11.6M-33.3K0.2139.11N/AN/A1833827,6894,219