CNR Options History — March 2021 In March 2021, CNR traded between $11.49 and $14.09. ATM implied volatility averaged 65.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 4.0% (HV 20d: 62.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.29.
Notable Days 2021-03-18 : Highest Volume — 7,745 contracts2021-03-04 : Largest IV drop — 32.3% change2021-03-03 : Highest IV Rank — 52.2%2021-03-03 : Largest Expected Move — 28.9%Monthly Statistics Metric Avg Min Max Open Close Price $12.98 $11.49 $14.09 $11.80 $14.07 Max Pain $12.07 $10.00 $12.50 $10.00 $12.50 ATM IV 65.9% 50.9% 100.7% 87.9% 50.9% Expected Move 18.7% 14.6% 28.9% 25.2% 14.6% HV 20d 62.0% 45.9% 73.4% 48.9% 70.9% HV 60d 59.5% 52.5% 64.2% 52.5% 64.2% IV Rank 21.9% 6.6% 52.2% 41.6% 6.6% IV Percentile 21.9% 2.4% 81.7% 60.7% 2.4% Term Structure 2.0% -21.6% 11.7% -11.9% 8.9% VWIV 65.9% 51.9% 107.4% 90.0% 51.9% Skew 25d 0.3% -11.9% 7.9% 3.4% 7.9% Skew 10d 4.9% -19.0% 30.1% 30.1% 18.3% Call IV 25d 65.9% 49.3% 106.7% 89.0% 49.3% Put IV 25d 66.2% 44.2% 104.2% 92.4% 57.3% Bid-Ask Spread % 35.98 9.22 74.15 40.03 17.59 Gamma HHI 0.47 0.31 0.73 0.32 0.57 Net GEX 280.1K 62.4K 528.4K 296.7K 297.1K Net DEX -14.4M -25.1M -4.6M -11.8M -11.4M Net VEX -34.9K -43.5K -27.7K -30.5K -43.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.29 0.01 1.24 0.03 0.12 Total Volume 2,057.739 142 7,745 646 614 Total OI 31,692.87 19,052 41,487 31,922 23,943
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-03-01 $11.80 $10.00 87.9% 25.2% 48.9% 41.6% 90.0% 3.4% -11.9% 296.7K -11.8M -30.5K 0.03 40.03 N/A N/A 626 20 27,688 4,234 2021-03-02 $11.49 $10.00 91.5% 26.2% 47.5% 44.6% 93.5% -1.0% -17.8% 287.2K -10.9M -29.1K 0.72 36.64 N/A N/A 292 209 27,629 4,234 2021-03-03 $11.59 $10.00 100.7% 28.9% 45.9% 52.2% 107.4% -2.5% -21.6% 289.6K -11.9M -29.9K 0.09 30.35 N/A N/A 5,642 489 27,523 4,438 2021-03-04 $11.96 $10.00 68.2% 18.7% 47.1% 25.2% 65.6% -0.0% 5.1% 343.7K -13.6M -34.4K 0.07 74.15 N/A N/A 4,837 358 32,333 5,022 2021-03-05 $12.72 $12.50 64.3% 18.5% 49.8% 22.1% 65.5% 0.2% 11.7% 323.9K -16.9M -31.5K 0.06 45.87 N/A N/A 528 32 29,619 5,311 2021-03-08 $14.09 $12.50 78.9% 19.5% 60.7% 34.1% 71.1% -1.4% 2.3% 513.0K -25.1M -37.1K 0.11 41.36 N/A N/A 3,081 338 29,509 5,299 2021-03-09 $13.07 $12.50 73.7% 19.4% 63.9% 29.8% 69.4% 3.7% 3.9% 410.4K -18.9M -34.7K 0.72 30.22 N/A N/A 2,546 1,839 30,622 5,292 2021-03-10 $13.18 $12.50 66.1% 18.9% 62.1% 23.5% 67.0% 0.7% 2.9% 397.1K -18.9M -36.4K 0.42 30.80 N/A N/A 584 245 31,176 6,903 2021-03-11 $13.66 $12.50 64.4% 18.5% 62.1% 22.1% 64.4% -1.3% 3.8% 493.9K -21.4M -35.8K 0.18 20.53 N/A N/A 511 92 30,910 6,806 2021-03-12 $13.79 $12.50 65.4% 18.7% 61.8% 22.9% 66.0% -0.9% 3.5% 528.4K -22.1M -36.3K 0.07 26.46 N/A N/A 1,975 148 30,932 6,857 2021-03-15 $13.80 $12.50 65.1% 18.7% 61.8% 22.7% 65.6% -1.1% 2.3% 513.8K -21.7M -32.7K 0.01 35.55 N/A N/A 497 3 31,395 6,871 2021-03-16 $13.27 $12.50 62.6% 17.9% 62.6% 20.6% 63.2% 1.5% 4.7% 62.4K -18.9M -27.7K 0.28 64.48 N/A N/A 537 148 30,972 6,874 2021-03-17 $13.44 $12.50 61.7% 17.7% 62.6% 19.8% 61.4% 3.0% 6.8% 111.5K -19.5M -29.6K 0.07 55.14 N/A N/A 159 11 31,312 6,775 2021-03-18 $13.11 $12.50 64.2% 18.4% 62.8% 21.9% 64.1% 2.5% 0.6% 140.4K -18.4M -28.7K 0.04 56.16 N/A N/A 7,482 263 31,319 6,787 2021-03-19 $12.94 $12.50 61.0% 17.5% 63.0% 14.8% 66.4% 3.7% 3.2% 139.5K -20.0M -32.7K 0.04 32.05 N/A N/A 4,751 200 34,696 6,791 2021-03-22 $13.36 $12.50 55.0% 15.8% 63.6% 10.4% 57.1% 0.7% 5.4% 173.2K -8.4M -36.7K 0.09 60.51 N/A N/A 3,867 335 15,268 3,784 2021-03-23 $12.14 $12.50 53.2% 15.3% 73.4% 8.7% 54.9% -0.1% 4.8% 151.1K -4.6M -32.0K 1.24 9.22 N/A N/A 865 1,074 17,699 4,093 2021-03-24 $12.49 $12.50 54.0% 15.5% 73.2% 9.6% 54.4% -11.9% 4.6% 157.3K -5.4M -38.0K 0.70 34.09 N/A N/A 467 327 17,969 5,098 2021-03-25 $12.90 $12.50 54.8% 15.7% 70.8% 10.4% 52.5% -2.3% 3.4% 179.0K -6.7M -40.5K 0.55 31.49 N/A N/A 495 271 18,176 5,312 2021-03-26 $13.04 $12.50 54.7% 15.7% 70.4% 10.4% 54.4% -5.0% 6.2% 192.6K -7.4M -41.7K 0.30 10.25 N/A N/A 171 51 18,466 5,343 2021-03-29 $13.05 $12.50 60.8% 17.4% 70.3% 16.3% 56.1% 1.4% 5.7% 202.8K -7.8M -41.2K 0.44 29.63 N/A N/A 143 63 18,468 5,294 2021-03-30 $13.54 $12.50 57.5% 16.5% 70.1% 13.0% 53.1% 5.4% 7.7% 238.1K -9.2M -41.6K 0.27 15.00 N/A N/A 112 30 18,539 5,355 2021-03-31 $14.07 $12.50 50.9% 14.6% 70.9% 6.6% 51.9% 7.9% 8.9% 297.1K -11.4M -43.5K 0.12 17.59 N/A N/A 549 65 18,578 5,365
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