CNR Options History — December 2021

In December 2021, CNR traded between $15.00 and $17.58. ATM implied volatility averaged 52.5%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 12.3% (HV 20d: 40.2%). 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 17 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2021-12-13: Highest Volume — 1,628 contracts
  • 2021-12-02: Largest IV drop — 13.1% change
  • 2021-12-01: Highest IV Rank — 47.1%
  • 2021-12-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.28$15.00$17.58$16.08$17.58
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV52.5%43.7%63.8%63.8%44.6%
Expected Move14.7%12.5%18.3%18.3%12.8%
HV 20d40.2%34.2%52.5%52.5%34.2%
HV 60d46.4%45.1%48.1%47.6%45.2%
IV Rank31.5%19.3%47.1%47.1%20.6%
IV Percentile32.5%2.0%66.7%66.7%3.2%
Term Structure3.3%-5.7%28.5%-5.7%1.8%
VWIV53.1%40.8%65.3%62.5%59.3%
Skew 25d5.6%2.2%9.8%2.2%6.3%
Skew 10d8.9%-17.0%61.7%-17.0%6.8%
Call IV 25d50.0%43.5%62.1%59.2%43.5%
Put IV 25d55.6%47.4%69.3%61.4%49.8%
Bid-Ask Spread %49.1616.7381.1062.9759.44
Gamma HHI0.430.360.550.400.36
Net GEX362.0K290.5K400.0K369.9K378.5K
Net DEX-17.3M-21.5M-10.5M-17.8M-21.3M
Net VEX-64.8K-74.5K-58.5K-73.1K-58.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.160.980.610.40
Total Volume1,162.3647831,6281,090888
Total OI27,277.22723,71030,23329,24824,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$16.08$15.0063.8%18.3%52.5%47.1%62.5%2.2%-5.7%369.9K-17.8M-73.1K0.6162.97N/AN/A67741324,6334,615
2021-12-02$16.64$15.0055.5%15.9%50.1%35.6%55.9%6.6%-1.2%383.3K-20.3M-74.5K0.9877.28N/AN/A42141324,5604,739
2021-12-03$16.41$15.0060.4%17.3%50.5%42.4%65.3%7.3%-2.0%369.2K-19.4M-74.0K0.7675.32N/AN/A58944724,5684,739
2021-12-06$16.68$15.0057.7%15.9%49.3%38.7%52.5%6.3%3.7%387.1K-20.5M-70.8K0.6364.15N/AN/A71544724,5704,699
2021-12-07$16.88$15.0056.2%15.5%48.3%36.6%55.4%3.8%2.7%391.5K-21.5M-70.6K0.8733.88N/AN/A41836524,4754,590
2021-12-08$16.86$15.0052.3%15.1%47.7%31.2%56.5%4.8%3.1%400.0K-21.5M-69.1K0.4455.49N/AN/A78735024,4594,591
2021-12-09$16.49$15.0056.7%14.8%40.9%37.2%58.5%3.1%5.8%390.8K-19.9M-68.5K0.2118.86N/AN/A1,05721924,6474,591
2021-12-10$15.96$15.0053.4%14.6%35.4%32.7%52.1%4.6%7.2%374.7K-17.4M-66.5K0.4755.71N/AN/A90542524,5524,595
2021-12-13$15.44$15.0060.2%14.7%36.9%42.1%50.1%4.7%5.6%373.1K-14.6M-64.0K0.6916.73N/AN/A96566324,5524,759
2021-12-14$15.25$15.0057.9%14.8%35.8%39.0%49.0%6.4%4.8%358.2K-13.3M-61.7K0.3633.60N/AN/A86931124,5675,088
2021-12-15$15.42$15.0052.8%15.1%35.8%31.9%52.6%7.9%3.7%350.4K-14.6M-63.9K0.8381.10N/AN/A84870824,5535,186
2021-12-16$15.20$15.0052.6%15.1%36.0%31.6%52.1%5.1%28.5%337.3K-13.0M-61.4K0.1656.99N/AN/A1,32320724,5545,667
2021-12-17$15.06$15.0050.5%14.5%35.5%28.6%51.0%5.7%2.9%344.6K-12.0M-61.5K0.2170.68N/AN/A1,03221224,5885,645
2021-12-20$15.00$15.0053.7%15.4%35.4%33.1%56.8%9.8%-0.9%290.5K-10.5M-60.0K0.5759.82N/AN/A84448320,0983,612
2021-12-21$15.57$15.0051.8%14.8%36.4%30.5%52.4%9.1%-0.4%311.5K-12.7M-61.4K0.2941.71N/AN/A1,11532520,1643,885
2021-12-22$16.13$15.0049.9%14.3%38.9%27.8%50.9%4.5%1.3%331.4K-14.9M-63.2K0.3831.11N/AN/A88733420,2553,895
2021-12-23$16.46$15.0045.9%13.2%39.8%22.3%51.6%3.0%2.6%333.8K-16.4M-63.6K0.4125.06N/AN/A82733620,2823,898
2021-12-27$17.06$15.0045.0%12.9%37.8%21.1%49.9%7.1%3.7%363.7K-18.8M-60.9K0.3433.28N/AN/A70123520,2903,900
2021-12-28$17.35$15.0045.5%13.0%37.2%21.7%40.8%8.0%1.8%367.0K-19.8M-59.9K0.3529.43N/AN/A74326320,3443,872
2021-12-29$17.39$15.0045.7%13.1%35.7%22.1%48.9%4.2%0.3%380.5K-20.4M-60.6K0.3863.51N/AN/A65724820,3893,880
2021-12-30$17.23$15.0043.7%12.5%35.5%19.3%44.2%2.7%2.6%377.9K-19.9M-58.5K0.3735.42N/AN/A65924120,3993,878
2021-12-31$17.58$15.0044.6%12.8%34.2%20.6%59.3%6.3%1.8%378.5K-21.3M-58.6K0.4059.44N/AN/A63525320,3983,878