CNR Options History — October 2021

In October 2021, CNR traded between $13.74 and $14.98. ATM implied volatility averaged 54.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 16.1% (HV 20d: 38.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2021-10-13: Highest Volume — 10,906 contracts
  • 2021-10-08: Largest IV drop — 45.5% change
  • 2021-10-29: Highest IV Rank — 44.0%
  • 2021-10-29: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.24$13.74$14.98$14.98$14.33
Max Pain$13.10$12.50$15.00$15.00$12.50
ATM IV54.8%29.8%66.5%49.0%66.5%
Expected Move17.0%14.1%19.1%14.1%19.1%
HV 20d38.7%35.8%41.6%39.3%38.5%
HV 60d50.5%43.4%53.5%53.2%43.6%
IV Rank26.9%0.0%44.0%9.7%44.0%
IV Percentile38.8%0.0%75.8%17.5%75.8%
Term Structure-4.5%-9.5%7.0%7.0%-8.1%
VWIV60.2%48.5%66.5%48.5%66.5%
Skew 25d3.6%0.3%7.7%3.0%0.3%
Skew 10d15.1%-9.9%33.9%4.5%33.8%
Call IV 25d58.3%39.4%69.6%39.4%69.6%
Put IV 25d61.9%42.3%69.9%42.3%69.9%
Bid-Ask Spread %51.3920.7667.8121.7961.08
Gamma HHI0.460.350.500.410.50
Net GEX255.9K130.9K323.4K323.4K285.9K
Net DEX-6.9M-12.7M-1.7M-6.2M-10.6M
Net VEX-60.8K-77.6K-42.1K-52.9K-72.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.010.580.100.15
Total Volume1,797.66715310,9061913,258
Total OI25,296.90522,88133,55422,88126,335

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$14.98$15.0049.0%14.1%39.3%9.7%48.5%3.0%7.0%323.4K-6.2M-52.9K0.1021.79N/AN/A1741718,4134,468
2021-10-04$14.36$15.0051.9%16.7%41.2%13.8%58.0%2.9%-2.4%264.5K-3.9M-49.1K0.1561.51N/AN/A3505418,5684,597
2021-10-05$14.45$15.0050.6%16.6%41.3%11.9%57.7%3.7%-2.4%278.6K-4.0M-46.9K0.0164.58N/AN/A665918,4994,586
2021-10-06$14.26$15.0051.7%16.9%41.2%13.5%62.6%7.7%-3.8%256.7K-3.5M-46.9K0.0548.48N/AN/A6423418,6544,636
2021-10-07$14.22$15.0054.5%17.2%41.2%17.4%59.9%2.9%-5.7%263.3K-3.5M-46.9K0.0160.31N/AN/A159118,7954,639
2021-10-08$13.79$12.5029.8%16.8%41.1%0.0%59.6%3.8%-3.8%189.3K-2.2M-43.8K0.2760.85N/AN/A2075519,1744,673
2021-10-11$13.97$12.5037.1%16.8%41.6%8.8%58.8%5.0%-3.9%188.7K-2.2M-42.1K0.1350.37N/AN/A1351819,1944,665
2021-10-12$13.82$12.5042.9%16.7%38.2%15.7%58.2%6.3%-5.2%130.9K-1.7M-42.4K0.0640.03N/AN/A2701619,1284,720
2021-10-13$14.28$12.5061.5%17.6%38.5%38.0%61.7%3.1%-5.5%237.2K-2.7M-43.7K0.0167.81N/AN/A10,8198719,1894,727
2021-10-14$14.40$12.5059.1%16.9%38.2%35.1%60.4%5.5%-3.9%253.5K-2.7M-43.7K0.0154.79N/AN/A664619,1734,732
2021-10-15$14.32$12.5054.8%15.7%38.1%29.9%57.7%3.4%-3.6%259.3K-9.4M-77.6K0.2538.31N/AN/A3067628,7794,775
2021-10-18$13.96$12.5057.0%16.3%36.1%32.6%56.9%2.7%-2.7%245.2K-9.1M-74.1K0.1047.61N/AN/A4795021,7394,056
2021-10-19$13.86$12.5057.2%16.4%35.8%32.8%58.1%2.6%-4.8%241.7K-8.7M-73.1K0.0256.75N/AN/A333821,8094,206
2021-10-20$14.40$12.5056.9%16.3%38.2%32.4%60.4%1.7%-3.7%276.3K-10.7M-77.0K0.5361.66N/AN/A1,70691222,2094,260
2021-10-21$14.55$12.5058.3%16.7%37.9%34.2%61.9%4.1%-4.6%289.8K-11.5M-77.2K0.4763.52N/AN/A1,97192522,3474,043
2021-10-22$14.39$12.5059.8%17.1%37.8%35.9%59.9%1.3%-5.1%273.2K-11.0M-75.8K0.4359.01N/AN/A2,06189022,1814,046
2021-10-25$14.80$12.5061.6%17.7%35.9%38.1%63.9%6.0%-6.6%301.1K-12.7M-77.4K0.5255.33N/AN/A1,76992622,2944,045
2021-10-26$14.22$12.5060.9%17.4%36.2%37.2%62.2%4.1%-6.7%280.4K-10.3M-73.1K0.5825.54N/AN/A1,7471,01822,1394,058
2021-10-27$13.74$12.5066.3%19.0%37.7%43.8%65.4%2.7%-9.5%260.6K-8.7M-69.9K0.5720.76N/AN/A1,7911,01822,1974,109
2021-10-28$14.02$12.5063.0%18.1%38.3%39.8%65.8%2.4%-8.7%273.3K-9.6M-71.2K0.2659.02N/AN/A1,69043522,2694,109
2021-10-29$14.33$12.5066.5%19.1%38.5%44.0%66.5%0.3%-8.1%285.9K-10.6M-72.9K0.1561.08N/AN/A2,82143722,2334,102