CNR Options History — January 2022

In January 2022, CNR traded between $14.35 and $18.47. ATM implied volatility averaged 51.1%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 8.7% (HV 20d: 42.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2022-01-21: Highest Volume — 2,070 contracts
  • 2022-01-10: Largest IV spike — 10.8% change
  • 2022-01-25: Highest IV Rank — 43.6%
  • 2022-01-25: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.95$14.35$18.47$17.74$14.66
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV51.1%43.6%61.3%43.6%54.9%
Expected Move14.7%12.5%17.6%12.5%15.7%
HV 20d42.5%33.7%48.5%33.7%45.2%
HV 60d47.1%44.1%49.0%45.2%44.1%
IV Rank29.6%19.2%43.6%19.2%34.8%
IV Percentile32.1%2.0%68.3%2.0%51.6%
Term Structure4.2%1.1%7.6%3.4%4.4%
VWIV51.8%39.3%61.4%41.8%54.0%
Skew 25d5.0%-5.1%9.7%-5.1%8.9%
Skew 10d13.5%-9.4%37.8%-9.4%12.5%
Call IV 25d51.2%43.6%64.3%43.7%56.2%
Put IV 25d56.3%38.6%69.2%38.6%65.1%
Bid-Ask Spread %68.4018.9196.1086.1468.06
Gamma HHI0.440.330.560.370.48
Net GEX344.9K286.2K394.0K389.1K286.2K
Net DEX-14.3M-24.8M-6.9M-21.8M-8.4M
Net VEX-49.8K-55.8K-44.2K-52.2K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.303.090.340.78
Total Volume932.56432,0701,020699
Total OI23,612.3520,77225,06224,28122,651

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$17.74$15.0043.6%12.5%33.7%19.2%41.8%-5.1%3.4%389.1K-21.8M-52.2K0.3486.14N/AN/A76325720,3933,888
2022-01-04$18.47$15.0044.9%12.9%35.8%21.0%39.3%4.0%1.8%390.4K-24.8M-53.8K0.3465.74N/AN/A72924520,3663,894
2022-01-05$17.90$15.0044.3%12.7%38.0%20.1%45.8%1.0%3.4%388.1K-22.6M-54.1K0.3083.60N/AN/A72921920,3633,933
2022-01-06$17.66$15.0045.5%13.5%38.4%21.8%48.3%4.8%5.8%369.5K-21.5M-54.9K0.3273.65N/AN/A70322620,4603,943
2022-01-07$16.76$15.0045.5%13.6%42.2%21.8%48.5%3.4%5.4%382.8K-17.9M-55.8K0.3559.68N/AN/A67223620,4453,949
2022-01-10$16.42$15.0050.4%14.0%41.2%28.6%49.4%4.1%4.3%370.9K-16.1M-54.4K0.3866.64N/AN/A65624620,4343,962
2022-01-11$16.40$15.0045.8%13.4%39.1%22.1%49.8%5.0%5.7%355.7K-16.3M-54.3K0.9667.41N/AN/A38436720,4193,963
2022-01-12$16.86$15.0046.4%13.3%39.6%23.0%50.6%6.1%5.0%394.0K-18.1M-50.9K1.0476.42N/AN/A35136420,4284,093
2022-01-13$16.91$15.0045.7%13.1%39.6%22.1%50.1%3.6%6.4%392.3K-18.5M-51.3K0.7668.08N/AN/A42432320,4514,101
2022-01-14$16.36$15.0046.9%13.5%41.3%23.8%51.5%5.2%7.5%376.8K-15.9M-51.9K0.5575.80N/AN/A42223120,4664,103
2022-01-18$15.61$15.0051.3%14.7%44.8%29.8%51.1%5.4%7.6%342.6K-12.9M-50.4K0.6579.11N/AN/A56536920,4704,107
2022-01-19$14.95$15.0052.5%15.1%47.6%31.5%49.2%2.8%1.3%312.9K-9.6M-46.5K0.8182.68N/AN/A58347220,5444,306
2022-01-20$14.44$15.0052.1%14.9%46.9%30.9%51.8%4.5%2.4%320.8K-6.9M-44.2K0.5418.91N/AN/A52228220,6794,383
2022-01-21$14.35$15.0057.4%16.5%44.6%38.3%58.2%4.9%5.7%291.0K-7.0M-46.1K0.6096.10N/AN/A1,29078020,7824,246
2022-01-24$15.13$15.0061.1%17.5%48.5%43.4%61.3%9.7%3.0%320.4K-11.4M-47.5K0.8173.06N/AN/A38331018,2292,543
2022-01-25$14.79$15.0061.3%17.6%46.5%43.6%61.4%6.8%1.1%310.2K-10.2M-46.6K0.4534.48N/AN/A47721618,2642,676
2022-01-26$14.67$15.0059.2%17.0%45.6%40.8%59.5%8.6%3.6%311.4K-9.9M-45.4K0.7075.15N/AN/A37826518,3302,735
2022-01-27$14.43$15.0058.4%16.7%45.5%39.6%58.6%7.8%2.6%302.9K-8.6M-44.9K3.0973.41N/AN/A3701,14318,3582,836
2022-01-28$14.49$15.0055.5%15.9%45.8%35.6%55.8%9.1%4.8%289.5K-8.0M-44.4K1.9443.89N/AN/A34065918,3583,696
2022-01-31$14.66$15.0054.9%15.7%45.2%34.8%54.0%8.9%4.4%286.2K-8.4M-45.4K0.7868.06N/AN/A39230718,3764,275