CNR Options History — July 2021

In July 2021, CNR traded between $15.42 and $18.18. ATM implied volatility averaged 56.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 13.8% (HV 20d: 43.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2021-07-16: Highest Volume — 6,714 contracts
  • 2021-07-06: Largest IV spike — 11.4% change
  • 2021-07-27: Highest IV Rank — 37.7%
  • 2021-07-27: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.86$15.42$18.18$18.18$16.76
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV56.8%43.3%68.9%44.9%65.5%
Expected Move17.1%12.4%19.8%12.9%18.8%
HV 20d43.0%36.8%55.0%54.4%46.4%
HV 60d53.8%51.8%56.0%52.2%54.4%
IV Rank20.4%1.6%37.7%3.6%32.9%
IV Percentile26.9%0.4%63.5%0.8%50.0%
Term Structure-3.2%-10.5%15.1%15.1%-9.4%
VWIV59.8%42.9%67.9%45.2%65.8%
Skew 25d3.2%-6.8%6.7%-2.5%3.8%
Skew 10d12.1%-15.1%26.9%-3.4%25.4%
Call IV 25d59.3%45.5%67.6%45.5%66.0%
Put IV 25d62.6%39.7%72.5%43.1%69.8%
Bid-Ask Spread %49.6812.6372.1953.9736.38
Gamma HHI0.390.300.470.300.34
Net GEX321.3K153.8K642.2K217.3K634.8K
Net DEX-12.4M-21.6M-6.6M-13.7M-20.2M
Net VEX-47.2K-64.7K-36.7K-42.5K-62.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.011.181.180.09
Total Volume1,225.095586,71461162
Total OI22,514.28618,58332,48418,58332,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$18.18$15.0044.9%12.9%54.4%3.6%45.2%-2.5%15.1%217.3K-13.7M-42.5K1.1853.97N/AN/A283314,8103,773
2021-07-02$17.81$15.0043.3%12.4%55.0%1.6%42.9%-6.8%14.7%210.6K-12.6M-41.9K0.2946.93N/AN/A1193514,8333,790
2021-07-06$17.27$15.0048.3%17.1%38.0%8.3%60.0%2.1%-2.4%217.3K-11.0M-40.6K0.3363.73N/AN/A72123514,8993,827
2021-07-07$17.24$15.0047.3%16.8%38.0%6.9%58.8%4.1%-2.0%218.1K-11.2M-41.7K0.5757.25N/AN/A30417215,2843,920
2021-07-08$16.77$15.0046.9%17.1%37.3%6.4%59.6%0.7%-2.2%227.5K-10.0M-41.5K0.4850.63N/AN/A1919215,5324,082
2021-07-09$17.22$15.0045.1%16.7%38.6%4.0%58.2%2.9%-2.6%205.0K-11.3M-41.7K0.4568.75N/AN/A1808115,5894,178
2021-07-12$17.79$15.0050.2%16.8%38.2%10.8%57.8%4.2%-2.8%184.1K-12.9M-41.4K0.0963.19N/AN/A3012815,6404,239
2021-07-13$17.20$15.0052.1%16.8%36.8%13.4%58.2%3.4%-2.9%181.4K-11.2M-41.1K0.2349.32N/AN/A872015,7684,216
2021-07-14$16.73$15.0057.7%16.5%37.3%21.9%59.5%1.3%-4.0%174.5K-9.8M-39.1K0.6268.66N/AN/A1388615,8344,239
2021-07-15$16.68$15.0057.6%16.5%37.2%21.7%57.5%5.1%-3.3%166.7K-9.5M-39.2K1.0633.71N/AN/A12513315,8934,281
2021-07-16$15.93$15.0062.1%17.8%39.0%28.1%59.8%6.7%-6.5%153.8K-7.8M-36.7K0.0138.24N/AN/A6,6377715,9034,352
2021-07-19$15.42$15.0062.6%17.9%39.8%28.7%61.7%6.5%-3.7%260.6K-6.6M-42.4K0.3933.90N/AN/A2,18685515,1043,747
2021-07-20$16.40$15.0059.9%17.2%45.0%24.9%59.7%5.8%-3.4%352.1K-11.0M-51.0K0.0212.63N/AN/A133317,2404,520
2021-07-21$17.01$15.0058.8%16.9%47.3%23.4%59.3%6.6%-4.4%378.2K-13.5M-51.5K0.5572.19N/AN/A1669117,3284,517
2021-07-22$16.53$15.0064.3%18.4%48.0%31.1%64.2%2.7%-8.3%361.2K-11.8M-50.5K0.0166.93N/AN/A5,6746817,4544,511
2021-07-23$16.63$15.0059.7%17.1%45.2%24.7%60.1%3.1%-4.1%507.8K-14.1M-57.8K0.0933.30N/AN/A53522,5664,543
2021-07-26$16.51$15.0066.2%19.0%44.7%33.8%66.0%3.7%-8.6%482.5K-13.6M-55.5K0.5070.62N/AN/A462322,5664,543
2021-07-27$16.24$15.0068.9%19.8%44.6%37.7%67.9%5.0%-8.0%468.1K-12.1M-53.7K0.0942.70N/AN/A5,20144422,5634,607
2021-07-28$16.68$15.0066.0%18.9%45.5%33.5%66.5%4.2%-10.5%503.9K-14.2M-54.9K0.1749.08N/AN/A3435722,5564,623
2021-07-29$16.99$15.0064.8%18.6%46.2%31.8%67.3%5.3%-8.1%642.2K-21.6M-64.7K0.0631.07N/AN/A3732127,4425,004
2021-07-30$16.76$15.0065.5%18.8%46.4%32.9%65.8%3.8%-9.4%634.8K-20.2M-62.7K0.0936.38N/AN/A1491327,4825,002