CNR Options History — November 2021

In November 2021, CNR traded between $13.93 and $17.36. ATM implied volatility averaged 60.7%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 4.4% (HV 20d: 56.3%). 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 3 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2021-11-18: Highest Volume — 4,901 contracts
  • 2021-11-10: Largest IV drop — 40.4% change
  • 2021-11-09: Highest IV Rank — 70.4%
  • 2021-11-03: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.10$13.93$17.36$14.99$15.73
Max Pain$14.64$12.50$15.00$12.50$15.00
ATM IV60.7%49.6%88.5%67.7%62.6%
Expected Move16.4%14.2%20.6%19.4%18.0%
HV 20d56.3%38.9%61.5%38.9%59.4%
HV 60d47.4%44.2%49.6%44.2%47.4%
IV Rank39.8%27.4%70.4%45.4%45.5%
IV Percentile51.2%19.8%96.8%77.4%63.5%
Term Structure-3.5%-12.6%1.3%-9.3%-5.2%
VWIV57.9%49.6%72.9%67.7%62.6%
Skew 25d4.6%1.7%9.0%6.9%8.4%
Skew 10d12.0%-10.9%28.1%27.2%8.0%
Call IV 25d55.8%48.8%71.9%66.1%58.9%
Put IV 25d60.4%51.6%75.5%73.0%67.3%
Bid-Ask Spread %55.1513.2273.2663.4070.36
Gamma HHI0.440.330.540.510.43
Net GEX400.8K305.4K551.9K345.4K362.4K
Net DEX-18.9M-23.9M-9.9M-14.1M-16.1M
Net VEX-76.6K-79.4K-70.6K-78.1K-73.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.071.220.250.78
Total Volume1,833.8576314,9011,889858
Total OI29,283.52427,38534,00227,39329,193

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$14.99$12.5067.7%19.4%38.9%45.4%67.7%6.9%-9.3%345.4K-14.1M-78.1K0.2563.40N/AN/A1,50738223,2904,103
2021-11-02$13.93$12.5070.3%20.2%47.2%48.5%72.9%3.4%-12.6%305.4K-9.9M-70.6K0.3660.88N/AN/A1,59057023,2844,101
2021-11-03$14.76$12.5071.9%20.6%51.4%50.4%72.7%4.4%-12.6%342.2K-13.0M-75.6K0.3253.62N/AN/A1,44346123,3844,296
2021-11-04$14.89$15.0075.3%17.5%51.5%54.5%58.8%3.7%-5.5%335.4K-13.7M-76.1K0.2645.96N/AN/A1,68644023,3764,319
2021-11-05$15.46$15.0076.1%17.6%51.4%55.5%62.3%4.6%-5.3%361.9K-16.1M-77.8K0.2655.94N/AN/A1,70243923,4724,317
2021-11-08$15.11$15.0084.9%18.1%52.3%66.0%64.1%1.7%-5.6%352.8K-14.8M-75.2K0.5030.26N/AN/A87443923,4874,317
2021-11-09$14.88$15.0088.5%18.3%52.5%70.4%62.6%2.2%-7.3%346.9K-13.7M-74.3K0.6254.94N/AN/A79949223,6274,319
2021-11-10$16.06$15.0052.7%15.1%57.7%27.5%52.8%4.2%-1.7%415.4K-19.0M-77.6K0.5868.21N/AN/A1,35478123,8274,529
2021-11-11$17.11$15.0051.9%14.9%61.2%30.6%53.1%4.8%-0.8%383.5K-23.1M-77.3K0.3253.88N/AN/A3,1521,01423,5054,784
2021-11-12$17.08$15.0049.8%14.3%61.1%27.7%52.3%3.7%-0.8%463.6K-23.9M-79.4K0.5844.71N/AN/A1,69298725,3165,287
2021-11-15$16.57$15.0050.2%14.4%61.5%28.3%52.6%2.9%-0.1%490.0K-21.2M-76.5K0.5571.70N/AN/A81544625,8305,311
2021-11-16$16.75$15.0049.8%14.3%61.2%27.8%53.5%1.7%0.3%501.6K-22.0M-76.0K0.5771.84N/AN/A80646025,9815,395
2021-11-17$16.73$15.0050.0%14.3%60.3%28.1%51.4%5.3%-0.1%503.2K-22.0M-75.2K1.2273.26N/AN/A37846026,0695,401
2021-11-18$16.93$15.0049.6%14.2%60.3%27.4%52.3%3.9%1.0%551.9K-22.9M-75.0K0.0745.54N/AN/A4,58132026,0455,404
2021-11-19$16.72$15.0049.6%14.2%60.4%27.4%53.2%4.2%-0.4%351.8K-23.3M-78.8K0.0968.43N/AN/A3,59033828,5995,403
2021-11-22$17.24$15.0051.4%14.7%60.5%29.9%49.6%5.2%-0.7%416.0K-23.3M-78.7K0.5857.36N/AN/A49929024,5334,442
2021-11-23$17.36$15.0050.9%14.6%57.9%29.3%51.7%9.0%1.3%418.3K-23.5M-78.9K0.7013.22N/AN/A41429024,6784,422
2021-11-24$17.29$15.0052.1%14.9%55.7%30.9%51.6%6.1%-0.1%413.1K-23.6M-79.0K0.7968.61N/AN/A35227924,6464,425
2021-11-26$16.44$15.0057.9%16.6%59.8%38.9%57.7%5.1%-1.0%378.5K-19.5M-78.9K0.5660.36N/AN/A49827724,6814,429
2021-11-29$16.12$15.0062.2%17.8%60.3%44.9%59.6%5.2%-7.3%377.8K-18.2M-74.9K0.7025.71N/AN/A44531124,6864,441
2021-11-30$15.73$15.0062.6%18.0%59.4%45.5%62.6%8.4%-5.2%362.4K-16.1M-73.9K0.7870.36N/AN/A48337524,6824,511