CNR Options History — September 2021

In September 2021, CNR traded between $14.66 and $17.47. ATM implied volatility averaged 49.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 3.6% (HV 20d: 45.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 9.92.

Notable Days

  • 2021-09-17: Highest Volume — 5,415 contracts
  • 2021-09-20: Largest IV spike — 9.6% change
  • 2021-09-20: Highest IV Rank — 19.1%
  • 2021-09-20: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.88$14.66$17.47$16.79$14.68
Max Pain$15.83$15.00$17.50$15.00$15.00
ATM IV49.4%43.9%55.8%45.3%48.9%
Expected Move14.3%13.0%16.0%13.0%14.0%
HV 20d45.9%40.2%50.0%48.7%41.7%
HV 60d52.3%51.1%53.4%52.3%53.2%
IV Rank10.2%2.4%19.1%4.4%9.5%
IV Percentile16.8%0.8%34.9%2.0%15.9%
Term Structure5.7%1.9%9.2%1.9%7.9%
VWIV49.5%42.0%55.8%52.2%48.9%
Skew 25d1.4%-13.3%7.5%-1.1%-13.3%
Skew 10d4.6%-21.6%25.5%-7.7%-21.6%
Call IV 25d49.2%43.4%55.6%50.3%54.9%
Put IV 25d50.7%41.5%62.9%49.2%41.6%
Bid-Ask Spread %44.849.8882.0417.0654.96
Gamma HHI0.560.400.830.700.43
Net GEX441.4K149.3K820.0K639.8K312.7K
Net DEX-9.8M-18.9M-3.1M-14.3M-5.5M
Net VEX-44.7K-54.5K-33.5K-50.3K-51.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.920.02202.670.280.80
Total Volume869.857725,415724334
Total OI24,501.42914,14630,83127,53322,483

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$16.79$15.0045.3%13.0%48.7%4.4%52.2%-1.1%1.9%639.8K-14.3M-50.3K0.2817.06N/AN/A56715720,4807,053
2021-09-02$17.47$15.0045.0%13.8%50.0%4.1%49.5%3.1%4.2%715.0K-18.9M-49.4K0.2620.45N/AN/A1082820,4787,017
2021-09-03$17.38$15.0043.9%13.7%49.5%2.4%47.4%3.5%5.1%736.4K-17.8M-48.5K0.4726.45N/AN/A23711220,0326,940
2021-09-07$17.44$17.5046.4%13.7%47.7%6.0%50.8%4.5%5.1%812.8K-18.0M-44.7K0.0330.30N/AN/A4331420,0236,940
2021-09-08$17.12$17.5049.0%14.0%48.1%9.6%49.4%3.7%4.8%820.0K-15.7M-44.3K0.0336.81N/AN/A146520,1787,051
2021-09-09$17.07$17.5047.9%13.7%45.1%8.1%47.7%6.2%5.6%817.5K-15.3M-44.3K0.119.88N/AN/A1201320,4297,062
2021-09-10$16.53$17.5047.9%13.7%46.5%8.0%47.7%2.2%5.1%679.4K-11.7M-41.4K0.1754.01N/AN/A941620,4037,062
2021-09-13$16.19$17.5052.0%14.9%47.0%13.9%48.7%4.8%3.9%456.6K-8.8M-36.4K1.3449.12N/AN/A12316520,3107,069
2021-09-14$15.38$17.5050.8%14.6%49.7%12.2%50.5%3.8%4.6%222.9K-4.9M-33.5K0.1169.46N/AN/A2,52928620,2807,072
2021-09-15$15.86$17.5050.8%14.6%48.3%12.2%49.8%5.8%4.0%230.4K-7.0M-33.6K0.0282.04N/AN/A3,0917420,3077,115
2021-09-16$15.51$15.0051.1%14.7%47.2%12.6%49.6%3.9%4.6%230.3K-8.4M-35.5K0.4257.07N/AN/A1205122,4657,280
2021-09-17$15.30$15.0050.9%14.6%44.8%12.3%49.3%7.5%7.7%180.3K-8.1M-37.1K0.0374.21N/AN/A5,25615923,5397,292
2021-09-20$14.66$15.0055.8%16.0%47.4%19.1%55.8%7.2%4.2%149.3K-3.1M-35.2K0.3968.44N/AN/A44017310,5053,641
2021-09-21$14.83$15.0051.4%14.7%45.5%13.0%51.3%-8.6%7.1%246.9K-4.5M-38.7K0.1879.61N/AN/A5159113,6153,658
2021-09-22$15.05$15.0048.9%14.0%44.0%9.6%49.2%3.8%9.2%318.3K-7.1M-52.9K0.1148.76N/AN/A2332616,8703,957
2021-09-23$15.29$15.0049.9%14.3%44.2%10.9%49.9%7.3%7.0%330.5K-7.7M-53.6K0.2215.26N/AN/A591316,9894,009
2021-09-24$15.07$15.0048.5%13.9%43.6%9.0%48.1%-5.1%8.3%325.8K-7.0M-52.6K0.3954.38N/AN/A763017,0814,046
2021-09-27$15.72$15.0051.7%14.8%40.2%13.4%42.0%5.3%6.7%379.9K-9.4M-54.5K0.1648.98N/AN/A5258617,1074,043
2021-09-28$15.14$15.0051.8%14.8%41.9%13.6%51.8%-4.9%7.4%333.5K-7.2M-51.6K0.0421.62N/AN/A1,1084317,1094,062
2021-09-29$14.94$15.0049.9%14.3%41.9%10.9%49.9%-9.2%6.2%330.2K-6.3M-49.8K202.6722.83N/AN/A360817,4414,037
2021-09-30$14.68$15.0048.9%14.0%41.7%9.5%48.9%-13.3%7.9%312.7K-5.5M-51.1K0.8054.96N/AN/A18614818,4144,069