CNR Options History — February 2022

In February 2022, CNR traded between $14.12 and $22.39. ATM implied volatility averaged 52.4%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 25.8% (HV 20d: 78.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2022-02-15: Highest Volume — 16,854 contracts
  • 2022-02-07: Largest IV spike — 60.1% change
  • 2022-02-07: Highest IV Rank — 72.7%
  • 2022-02-11: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.31$14.12$22.39$15.39$21.94
Max Pain$15.92$15.00$17.50$15.00$17.50
ATM IV52.4%32.0%82.3%53.2%52.7%
Expected Move15.1%9.2%22.0%15.3%15.1%
HV 20d78.2%46.1%99.6%49.3%92.6%
HV 60d57.4%44.5%66.0%45.2%64.9%
IV Rank31.5%3.1%72.7%32.4%32.4%
IV Percentile39.5%0.4%94.8%45.6%48.4%
Term Structure1.6%-25.6%35.1%5.7%27.4%
VWIV60.1%43.3%80.0%53.3%64.5%
Skew 25d11.8%3.1%31.4%11.0%11.1%
Skew 10d4.2%-25.2%39.8%21.2%11.4%
Call IV 25d51.3%37.2%70.8%50.2%51.9%
Put IV 25d63.1%44.3%79.6%61.2%63.0%
Bid-Ask Spread %64.3032.0481.5134.3970.82
Gamma HHI0.410.280.510.450.40
Net GEX309.1K60.5K504.9K303.6K243.0K
Net DEX-32.4M-52.9M-6.3M-11.1M-42.8M
Net VEX-52.1K-74.5K-19.0K-47.3K-65.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.091.810.281.42
Total Volume4,088.15851616,85475410,414
Total OI39,701.31622,93262,71422,93259,643

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$15.39$15.0053.2%15.3%49.3%32.4%53.3%11.0%5.7%303.6K-11.1M-47.3K0.2834.39N/AN/A58816618,4714,461
2022-02-02$15.42$15.0051.5%14.8%46.1%30.1%51.4%11.3%8.1%329.5K-11.5M-47.1K0.1876.61N/AN/A80314518,7554,477
2022-02-03$14.63$15.0057.2%17.4%48.1%38.0%63.7%4.4%-2.5%281.5K-8.9M-46.1K0.4772.46N/AN/A35216418,8744,492
2022-02-04$14.12$15.0051.4%17.1%48.9%29.9%62.9%3.9%-3.1%278.4K-6.3M-42.7K0.6058.29N/AN/A60336018,8774,530
2022-02-07$16.05$15.0082.3%20.5%67.3%72.7%70.1%3.1%-9.6%307.7K-15.2M-47.9K0.0970.86N/AN/A4,74743318,7584,746
2022-02-08$16.51$15.0066.8%19.7%67.7%51.2%68.7%6.2%-10.9%414.7K-18.3M-51.2K0.1663.74N/AN/A1,30820521,3824,905
2022-02-09$17.11$15.0070.9%20.3%68.9%56.9%68.8%11.3%-17.0%452.1K-21.3M-52.4K0.2464.96N/AN/A99323422,0334,924
2022-02-10$18.56$15.0073.5%21.1%74.0%60.5%74.2%9.3%-11.7%409.9K-27.7M-52.3K0.1758.17N/AN/A4,02969422,2004,942
2022-02-11$18.32$15.0076.9%22.0%74.2%65.2%80.0%10.9%-25.6%467.8K-29.2M-57.0K0.3269.22N/AN/A2,60583724,4595,370
2022-02-14$22.31$15.0032.0%9.2%99.6%3.1%43.3%7.0%4.9%236.2K-52.9M-19.0K1.0732.04N/AN/A4,2304,53826,0595,692
2022-02-15$21.91$15.0035.3%10.1%97.7%7.7%55.9%19.1%2.1%111.0K-46.9M-28.0K1.0040.20N/AN/A8,4138,44126,2459,736
2022-02-16$22.15$15.0034.4%9.9%95.2%6.4%46.0%7.8%-13.4%60.5K-48.6M-42.6K0.7769.73N/AN/A4,2503,26032,52816,164
2022-02-17$22.39$17.5037.6%10.8%93.0%11.0%58.1%8.1%26.2%270.1K-50.2M-61.6K0.5076.85N/AN/A3,0441,51039,21620,797
2022-02-18$22.35$17.5037.3%10.7%92.9%10.6%45.0%13.5%35.1%231.3K-46.7M-60.4K0.6369.44N/AN/A1,04565440,89121,823
2022-02-22$22.11$17.5042.4%12.1%92.8%17.8%47.5%11.9%-2.4%390.3K-47.0M-58.7K0.4364.66N/AN/A97841838,39418,031
2022-02-23$21.47$17.5040.4%11.6%93.3%15.0%59.4%24.6%29.5%276.2K-40.5M-74.5K0.8872.28N/AN/A85575338,63618,070
2022-02-24$21.75$17.5050.4%14.4%92.8%29.1%66.4%17.8%-12.7%304.3K-41.3M-66.1K1.8181.51N/AN/A1,1492,08438,78018,232
2022-02-25$22.31$17.5049.6%14.2%91.8%28.0%63.4%31.4%1.1%504.9K-49.0M-69.5K0.2475.38N/AN/A1,91845538,96919,763
2022-02-28$21.94$17.5052.7%15.1%92.6%32.4%64.5%11.1%27.4%243.0K-42.8M-65.3K1.4270.82N/AN/A4,3126,10239,82219,821