CNR Options History — April 2021

In April 2021, CNR traded between $13.60 and $14.77. ATM implied volatility averaged 59.5%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 10.2% (HV 20d: 49.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2021-04-16: Highest Volume — 5,252 contracts
  • 2021-04-12: Largest IV spike — 21.1% change
  • 2021-04-20: Highest IV Rank — 23.7%
  • 2021-04-20: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.20$13.60$14.77$14.42$13.99
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV59.5%42.1%66.8%47.4%66.5%
Expected Move18.0%13.6%19.1%13.6%19.1%
HV 20d49.3%34.2%70.7%70.7%34.9%
HV 60d58.1%52.4%64.2%64.2%52.7%
IV Rank16.3%0.0%23.7%3.2%23.4%
IV Percentile18.6%0.0%36.9%2.0%36.9%
Term Structure-2.9%-11.7%11.4%11.4%-11.7%
VWIV64.3%47.9%69.4%47.9%66.8%
Skew 25d2.7%-3.0%10.3%10.3%2.5%
Skew 10d0.5%-18.4%26.0%18.0%-4.9%
Call IV 25d63.0%44.4%67.9%44.4%67.7%
Put IV 25d65.7%54.7%70.2%54.7%70.2%
Bid-Ask Spread %51.5818.0978.3556.5952.40
Gamma HHI0.410.310.590.590.33
Net GEX482.9K343.1K657.9K346.4K551.1K
Net DEX-16.5M-19.5M-12.8M-12.8M-16.0M
Net VEX-53.1K-62.0K-42.5K-42.5K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.010.880.500.44
Total Volume1,645.6671085,252299251
Total OI32,318.28624,03436,94424,03436,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$14.42$12.5047.4%13.6%70.7%3.2%47.9%10.3%11.4%346.4K-12.8M-42.5K0.5056.59N/AN/A19910018,6315,403
2021-04-05$14.66$12.5056.7%17.7%68.0%12.3%64.2%5.1%0.9%363.5K-13.8M-43.1K0.0260.70N/AN/A4,2187318,7115,450
2021-04-06$14.77$12.5054.9%18.2%58.0%10.6%64.3%2.1%-0.4%467.6K-16.7M-47.4K0.1056.35N/AN/A1,85617921,4155,466
2021-04-07$14.16$12.5054.5%18.0%53.2%10.2%63.6%1.9%0.2%443.3K-15.1M-48.3K0.0466.22N/AN/A2,1057622,8215,629
2021-04-08$14.14$12.5048.1%17.5%53.2%3.9%61.1%3.6%0.3%485.6K-16.2M-50.2K0.3052.19N/AN/A41512524,6145,706
2021-04-09$14.62$12.5042.1%17.1%53.0%0.0%64.5%4.6%0.7%642.7K-19.3M-51.5K0.1359.91N/AN/A4245524,9395,819
2021-04-12$14.58$12.5051.0%17.5%53.0%8.5%64.2%1.3%-1.0%657.9K-19.1M-50.0K0.0418.09N/AN/A1,7938025,1675,871
2021-04-13$13.88$12.5055.5%17.3%56.1%12.8%62.6%5.2%-0.3%343.1K-15.5M-48.8K0.1919.94N/AN/A1,95136225,9775,942
2021-04-14$14.18$12.5061.1%17.5%54.5%18.2%62.5%5.0%-0.0%428.2K-16.8M-49.2K0.0125.06N/AN/A4,6342326,1216,146
2021-04-15$13.91$12.5059.7%17.1%55.0%16.8%60.7%2.1%-1.7%346.8K-16.6M-51.9K0.3173.19N/AN/A43213628,5366,166
2021-04-16$13.90$12.5061.9%17.7%54.1%19.0%62.8%3.7%-3.0%345.3K-17.0M-53.2K0.0771.97N/AN/A4,89036228,9446,184
2021-04-19$13.91$12.5064.3%18.4%53.8%21.3%66.2%3.9%-2.9%413.2K-14.9M-56.6K0.2872.34N/AN/A35710026,2933,549
2021-04-20$13.60$12.5066.8%19.1%53.5%23.7%67.9%-3.0%-3.2%411.6K-13.4M-53.7K0.0778.35N/AN/A2,47916626,5643,631
2021-04-21$13.93$12.5065.2%18.7%39.9%22.2%69.4%0.1%-4.6%464.6K-15.5M-58.0K0.0238.54N/AN/A4,6209928,7503,787
2021-04-22$14.07$12.5065.8%18.9%39.1%22.8%68.2%1.3%-5.6%535.7K-17.1M-62.0K0.1638.55N/AN/A68311232,4633,856
2021-04-23$13.99$12.5065.7%18.8%38.1%22.6%66.1%-0.0%-5.2%537.5K-16.7M-60.6K0.1473.97N/AN/A2153032,5233,914
2021-04-26$14.14$12.5065.8%18.9%38.1%22.8%67.1%2.1%-5.9%541.6K-16.9M-58.9K0.3451.67N/AN/A893032,6333,944
2021-04-27$14.36$12.5065.3%18.7%38.2%22.3%65.4%3.0%-8.6%594.8K-18.5M-58.8K0.4628.81N/AN/A33815432,6773,968
2021-04-28$14.54$12.5065.5%18.8%36.5%22.5%68.1%0.4%-10.4%617.7K-19.5M-59.2K0.0756.79N/AN/A101732,6614,114
2021-04-29$14.43$12.5065.6%18.8%34.2%22.5%65.6%1.8%-10.2%602.3K-18.5M-57.2K0.8831.64N/AN/A12811232,6484,107
2021-04-30$13.99$12.5066.5%19.1%34.9%23.4%66.8%2.5%-11.7%551.1K-16.0M-53.3K0.4452.40N/AN/A1747732,7224,222