CNR Options History — August 2021

In August 2021, CNR traded between $14.53 and $17.15. ATM implied volatility averaged 53.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 11.5% (HV 20d: 64.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2021-08-20: Highest Volume — 11,638 contracts
  • 2021-08-04: Largest IV drop — 27.4% change
  • 2021-08-03: Highest IV Rank — 40.9%
  • 2021-08-03: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.06$14.53$17.15$16.44$16.61
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV53.1%45.3%71.3%69.2%46.7%
Expected Move15.1%13.0%20.4%19.9%13.4%
HV 20d64.6%45.5%70.3%46.3%70.1%
HV 60d56.3%52.2%60.8%54.5%52.2%
IV Rank15.4%4.5%40.9%38.1%6.4%
IV Percentile20.4%2.0%70.6%65.9%5.6%
Term Structure0.9%-12.8%6.6%-11.9%1.5%
VWIV53.6%46.3%75.9%71.0%51.9%
Skew 25d3.3%-3.3%7.2%3.5%1.1%
Skew 10d9.8%-8.9%30.4%16.3%-8.9%
Call IV 25d53.1%46.0%76.2%70.2%50.2%
Put IV 25d56.4%49.4%73.7%73.7%51.3%
Bid-Ask Spread %36.187.2573.5765.8743.99
Gamma HHI0.570.340.950.350.67
Net GEX939.5K142.4K5.8M639.5K587.5K
Net DEX-15.3M-28.8M-3.4M-18.1M-13.2M
Net VEX-51.1K-59.3K-42.0K-59.2K-50.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.0111.720.6711.72
Total Volume1,452.6368811,6381,407458
Total OI34,688.54519,54142,24432,50227,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$16.44$15.0069.2%19.9%46.3%38.1%71.0%3.5%-11.9%639.5K-18.1M-59.2K0.6765.87N/AN/A84256527,4995,003
2021-08-03$16.63$15.0071.3%20.4%45.5%40.9%75.9%-3.3%-12.8%648.3K-19.8M-59.3K0.0162.16N/AN/A2,3652727,4795,001
2021-08-04$14.53$15.0051.8%14.8%65.6%13.5%53.1%5.0%-0.4%518.6K-5.5M-44.0K0.5973.57N/AN/A99758828,1285,562
2021-08-05$14.57$15.0060.3%15.9%65.3%25.4%55.5%-0.2%1.1%512.2K-6.1M-45.2K0.0752.18N/AN/A2,45417429,8445,585
2021-08-06$15.02$15.0053.2%15.4%65.6%15.6%53.9%3.1%2.6%607.4K-8.3M-47.4K0.2226.89N/AN/A3,52676829,8356,010
2021-08-09$15.68$15.0057.6%15.5%66.5%21.8%54.4%2.2%3.0%779.1K-14.4M-48.7K0.6332.24N/AN/A23814931,0946,118
2021-08-10$15.99$15.0055.1%15.3%66.3%18.3%53.0%3.5%4.2%889.8K-18.4M-58.1K0.5634.26N/AN/A20911834,0576,885
2021-08-11$16.78$15.0050.5%14.5%68.1%11.8%53.3%3.9%3.8%941.5K-25.0M-58.3K3.0256.63N/AN/A26981234,0706,972
2021-08-12$16.94$15.0050.0%14.3%68.2%11.1%50.3%3.6%4.9%932.7K-26.7M-56.3K0.7023.06N/AN/A18412834,1117,060
2021-08-13$16.94$15.0048.3%13.9%65.9%8.7%46.3%4.1%6.6%927.5K-26.8M-55.0K0.7332.24N/AN/A513734,1827,521
2021-08-16$17.15$15.0049.7%14.2%64.6%10.6%51.2%5.2%4.2%951.7K-28.8M-51.8K2.2126.03N/AN/A25857034,1977,616
2021-08-17$16.31$15.0051.2%14.7%63.8%12.8%54.8%3.9%4.3%872.7K-20.9M-51.0K1.8529.66N/AN/A17732834,1707,611
2021-08-18$15.72$15.0055.1%15.8%63.5%18.2%56.6%5.6%2.8%843.4K-16.3M-47.9K0.2656.13N/AN/A1153034,1258,119
2021-08-19$15.06$15.0053.9%15.5%64.5%16.6%54.2%4.8%-0.6%1.5M-9.2M-45.6K2.0751.28N/AN/A20342134,0998,009
2021-08-20$15.08$15.0054.0%15.5%64.4%16.7%54.5%2.7%-1.7%5.8M-14.4M-42.0K0.0441.93N/AN/A11,14449434,1208,023
2021-08-23$15.64$15.0051.6%14.8%66.0%13.2%47.9%6.6%1.0%142.4K-3.4M-42.2K0.088.27N/AN/A1,91015513,0066,535
2021-08-24$16.18$15.0051.2%14.7%67.1%12.7%50.1%7.2%-0.5%406.9K-9.7M-51.6K0.9812.24N/AN/A646318,5066,925
2021-08-25$16.36$15.0046.4%13.3%66.4%6.0%47.2%3.1%2.2%508.5K-11.9M-54.1K0.507.25N/AN/A1517520,0946,935
2021-08-26$15.95$15.0049.8%14.3%66.6%10.7%49.5%4.3%2.5%458.4K-9.4M-51.3K0.348.99N/AN/A1615420,1336,982
2021-08-27$16.97$15.0045.3%13.0%70.3%4.5%46.4%4.2%2.5%601.6K-15.5M-53.6K0.2523.09N/AN/A40710020,1897,037
2021-08-30$16.76$15.0046.3%13.3%70.1%5.9%48.7%-1.0%1.4%600.7K-14.2M-51.2K0.1127.95N/AN/A1071220,2057,062
2021-08-31$16.61$15.0046.7%13.4%70.1%6.4%51.9%1.1%1.5%587.5K-13.2M-50.4K11.7243.99N/AN/A3642220,3857,049