CNR Options History — May 2021

In May 2021, CNR traded between $13.57 and $17.45. ATM implied volatility averaged 61.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 8.6% (HV 20d: 52.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2021-05-11: Highest Volume — 9,897 contracts
  • 2021-05-12: Largest IV drop — 35.4% change
  • 2021-05-11: Highest IV Rank — 49.3%
  • 2021-05-04: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.70$13.57$17.45$14.89$16.89
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV61.5%46.5%93.5%69.8%47.2%
Expected Move16.3%13.3%20.4%20.0%13.5%
HV 20d52.9%37.1%63.4%41.2%62.0%
HV 60d55.7%51.6%58.3%53.4%57.5%
IV Rank20.8%5.8%49.3%26.5%6.8%
IV Percentile25.8%1.2%84.1%49.2%2.8%
Term Structure-0.3%-16.3%4.3%-13.2%3.6%
VWIV58.0%46.9%71.6%68.8%47.0%
Skew 25d3.2%-5.7%13.1%3.2%13.1%
Skew 10d9.1%-25.2%39.9%11.9%39.9%
Call IV 25d56.4%37.6%74.1%70.0%37.6%
Put IV 25d59.6%49.1%75.8%73.2%50.6%
Bid-Ask Spread %52.6415.9180.1655.7822.36
Gamma HHI0.420.340.520.380.47
Net GEX667.4K496.6K908.4K643.0K641.4K
Net DEX-26.0M-39.3M-14.4M-21.0M-26.7M
Net VEX-52.7K-61.0K-46.6K-57.7K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.011.670.460.70
Total Volume2,593.71559,897506155
Total OI41,74726,01554,50837,13428,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$14.89$12.5069.8%20.0%41.2%26.5%68.8%3.2%-13.2%643.0K-21.0M-57.7K0.4655.78N/AN/A34616032,7584,376
2021-05-04$14.57$12.5071.3%20.4%41.9%28.0%71.6%3.6%-16.3%619.6K-19.1M-54.3K0.0115.91N/AN/A210232,7524,530
2021-05-05$14.86$12.5071.0%20.4%39.5%27.7%71.3%-0.4%-14.2%654.8K-21.4M-53.9K1.0480.16N/AN/A36237532,6744,529
2021-05-06$14.71$12.5075.2%16.5%39.7%31.7%60.5%1.5%1.9%621.6K-19.5M-53.9K0.1148.61N/AN/A3343632,6804,846
2021-05-07$15.30$12.5077.5%16.0%40.4%34.0%56.8%1.8%2.7%693.1K-23.5M-54.5K0.0555.42N/AN/A4,77822832,6034,881
2021-05-10$15.23$12.5086.7%17.0%40.4%42.9%60.3%1.0%1.2%743.7K-24.8M-55.3K0.2160.65N/AN/A2,89260235,3905,088
2021-05-11$14.85$12.5093.5%19.6%37.1%49.3%70.7%3.4%-6.3%709.1K-22.4M-58.9K0.0559.61N/AN/A9,41048737,4785,641
2021-05-12$13.57$12.5060.4%17.3%49.1%17.5%63.1%-5.7%2.1%586.4K-14.4M-50.1K0.1058.86N/AN/A4,21342445,7385,894
2021-05-13$14.94$12.5056.7%16.2%59.8%19.5%58.5%2.1%4.3%845.7K-26.0M-61.0K0.0760.16N/AN/A1,95714547,2785,925
2021-05-14$15.12$12.5055.0%15.8%59.8%17.3%55.1%2.3%3.8%821.6K-27.5M-59.5K0.0350.43N/AN/A1,2783448,6045,904
2021-05-17$15.42$12.5056.3%16.1%60.0%19.0%58.1%2.2%4.0%896.9K-29.4M-56.2K0.0748.41N/AN/A3662547,9055,907
2021-05-18$15.66$12.5055.1%15.8%59.2%17.3%56.1%5.0%3.2%908.4K-31.1M-52.8K0.0251.21N/AN/A1,5193247,8625,909
2021-05-19$16.14$12.5057.4%16.5%59.5%20.5%59.0%5.8%1.7%651.4K-33.8M-49.6K0.0661.55N/AN/A1,2047547,0145,893
2021-05-20$16.57$12.5052.9%15.2%59.9%14.4%54.7%2.9%1.0%496.6K-36.8M-48.3K0.0348.20N/AN/A3,16710747,2575,897
2021-05-21$17.11$12.5051.6%14.8%60.2%12.7%52.2%2.4%1.7%496.8K-39.3M-46.6K0.1267.57N/AN/A5,53764046,8995,955
2021-05-24$17.45$12.5049.3%14.1%60.3%9.6%50.0%6.8%2.6%519.7K-26.3M-49.6K0.2664.55N/AN/A2,65469822,3633,962
2021-05-25$17.28$12.5048.2%13.8%60.7%8.2%50.9%4.5%3.5%522.4K-24.4M-47.2K0.0257.89N/AN/A6,3969721,5164,499
2021-05-26$16.56$12.5047.5%13.6%63.4%7.2%48.8%7.4%3.6%638.6K-24.7M-48.8K1.6756.20N/AN/A28748024,2364,559
2021-05-27$16.96$12.5046.5%13.3%63.4%5.8%46.9%2.1%4.1%637.6K-27.0M-48.4K0.4929.26N/AN/A1095324,3164,544
2021-05-28$16.89$12.5047.2%13.5%62.0%6.8%47.0%13.1%3.6%641.4K-26.7M-47.9K0.7022.36N/AN/A916424,3044,574