CNR Options History — June 2021

In June 2021, CNR traded between $17.29 and $19.43. ATM implied volatility averaged 49.6%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 11.3% (HV 20d: 60.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.40.

Notable Days

  • 2021-06-16: Highest Volume — 4,097 contracts
  • 2021-06-07: Largest IV spike — 15.5% change
  • 2021-06-08: Highest IV Rank — 16.1%
  • 2021-06-09: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.31$17.29$19.43$17.95$18.30
Max Pain$14.77$12.50$15.00$12.50$15.00
ATM IV49.6%46.2%54.2%48.6%47.6%
Expected Move14.2%13.2%15.4%13.9%13.7%
HV 20d60.9%54.4%72.1%61.8%54.4%
HV 60d54.3%51.8%57.5%57.5%53.0%
IV Rank10.0%5.4%16.1%8.7%7.4%
IV Percentile6.1%0.8%10.3%4.8%6.0%
Term Structure8.1%2.0%12.3%2.1%11.8%
VWIV50.0%37.6%56.7%51.0%37.6%
Skew 25d2.5%-2.1%8.9%8.9%-2.1%
Skew 10d7.4%-10.7%22.5%20.7%-1.8%
Call IV 25d49.3%44.2%52.5%48.2%47.5%
Put IV 25d51.8%45.3%57.1%57.1%45.3%
Bid-Ask Spread %41.8515.9571.6938.5151.90
Gamma HHI0.450.280.940.510.31
Net GEX632.4K137.0K4.0M584.0K218.0K
Net DEX-27.9M-41.7M-13.3M-32.3M-14.0M
Net VEX-40.4K-44.4K-36.1K-44.4K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.022.030.170.25
Total Volume1,201.455794,0977322,056
Total OI26,220.81815,67435,99628,91616,527

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$17.95$12.5048.6%13.9%61.8%8.7%51.0%8.9%2.1%584.0K-32.3M-44.4K0.1738.51N/AN/A62610624,3204,596
2021-06-02$17.45$12.5049.6%14.2%62.3%10.0%51.1%3.4%2.0%601.6K-29.9M-42.9K0.0221.90N/AN/A2,0714624,0814,605
2021-06-03$17.29$15.0047.6%14.6%62.5%7.3%52.0%2.5%7.3%678.4K-29.2M-43.6K0.1120.01N/AN/A6707725,7914,642
2021-06-04$17.40$15.0046.6%14.4%62.1%6.0%50.7%4.6%7.5%679.7K-30.0M-42.0K0.8838.64N/AN/A423725,7804,691
2021-06-07$19.43$15.0053.9%14.9%71.2%15.7%52.6%2.7%7.2%493.7K-41.4M-36.7K0.0759.74N/AN/A2,80819625,7794,657
2021-06-08$19.29$15.0054.2%14.9%71.3%16.1%52.3%2.5%7.0%600.5K-41.7M-39.7K0.3033.68N/AN/A1,49245227,1274,698
2021-06-09$18.62$15.0053.6%15.4%72.1%15.4%53.4%2.5%6.8%679.6K-37.7M-40.2K0.4056.54N/AN/A1907627,4324,747
2021-06-10$18.29$15.0052.1%14.9%62.6%13.3%53.2%3.1%5.7%696.1K-36.0M-38.8K0.7471.69N/AN/A14810927,4874,773
2021-06-11$18.95$15.0050.0%14.3%55.4%10.5%49.9%2.3%6.7%675.2K-39.7M-37.8K0.0832.34N/AN/A1801527,4484,897
2021-06-14$18.12$15.0052.8%15.1%58.9%14.2%54.5%3.9%5.4%724.4K-34.7M-36.1K0.7662.66N/AN/A1,23794427,4984,891
2021-06-15$18.38$15.0051.9%14.9%58.8%13.0%50.9%2.8%6.3%137.0K-38.6M-36.5K0.1223.09N/AN/A6127128,3535,495
2021-06-16$18.44$15.0049.5%14.2%58.8%9.9%56.7%2.8%7.3%640.5K-37.5M-38.4K0.0262.13N/AN/A4,0277028,3815,526
2021-06-17$17.90$15.0050.1%14.4%59.7%10.7%50.9%1.1%10.1%1.0M-36.4M-39.5K0.0751.28N/AN/A2,28415529,6595,582
2021-06-18$17.53$15.0051.7%14.8%59.8%12.8%51.5%0.9%6.9%4.0M-34.2M-41.9K0.0563.49N/AN/A1,5237730,4435,553
2021-06-21$18.05$15.0048.3%13.9%59.6%8.3%48.8%1.1%10.4%221.0K-13.3M-41.9K0.8225.98N/AN/A16013212,7412,933
2021-06-22$18.08$15.0048.2%13.8%59.3%8.2%47.8%3.1%11.1%223.9K-13.3M-41.6K0.2415.95N/AN/A1293112,7652,962
2021-06-23$18.18$15.0046.3%13.3%59.2%5.5%46.4%2.9%12.3%214.7K-13.6M-41.3K0.2528.13N/AN/A98724912,7552,959
2021-06-24$18.93$15.0046.4%13.3%58.1%5.7%47.5%1.9%11.1%214.5K-15.5M-40.9K0.1060.32N/AN/A3443512,8162,963
2021-06-25$19.15$15.0046.2%13.2%57.8%5.4%46.6%0.7%11.7%205.5K-16.2M-41.2K0.4915.96N/AN/A45122312,9372,971
2021-06-28$18.78$15.0047.2%13.5%58.4%6.8%48.3%4.5%9.4%211.5K-15.3M-40.8K2.0350.65N/AN/A10220713,0513,105
2021-06-29$18.29$15.0048.5%13.9%55.5%8.5%45.7%-1.5%11.4%220.4K-14.0M-41.3K0.7836.09N/AN/A55343213,1323,309
2021-06-30$18.30$15.0047.6%13.7%54.4%7.4%37.6%-2.1%11.8%218.0K-14.0M-41.6K0.2551.90N/AN/A1,63941713,1813,346