CNR Options History — March 2022

In March 2022, CNR traded between $20.94 and $24.38. ATM implied volatility averaged 18.4%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 48.1% (HV 20d: 66.5%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.82.

Notable Days

2022-03-07: Highest Volume — 10,769 contracts
2022-03-11: Largest IV spike — 98.4% change
2022-03-02: Highest IV Rank — 51.9%
2022-03-31: Largest Expected Move — 19.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.76	$20.94	$24.38	$21.62	$24.34
Max Pain	$17.50	$12.50	$20.00	$20.00	$12.50
ATM IV	18.4%	5.6%	66.5%	45.4%	8.2%
Expected Move	13.8%	3.3%	19.8%	13.0%	19.8%
HV 20d	66.5%	44.7%	95.9%	93.4%	44.7%
HV 60d	67.3%	64.8%	69.6%	64.8%	66.7%
IV Rank	10.1%	0.0%	51.9%	22.1%	3.0%
IV Percentile	11.2%	0.0%	89.3%	9.5%	1.2%
Term Structure	26.2%	-35.5%	67.2%	43.6%	67.2%
VWIV	67.0%	21.3%	202.7%	65.9%	202.7%
Skew 25d	15.0%	-5.9%	142.9%	22.0%	2.3%
Skew 10d	-20.5%	-95.1%	147.4%	36.7%	8.5%
Call IV 25d	22.0%	9.1%	65.6%	48.3%	13.2%
Put IV 25d	37.0%	10.8%	167.1%	70.4%	15.4%
Bid-Ask Spread %	89.43	32.15	146.24	46.43	118.41
Gamma HHI	0.79	0.36	0.96	0.39	0.87
Net GEX	1.5M	203.9K	3.3M	268.7K	571.7K
Net DEX	-49.5M	-94.3M	-14.1M	-45.0M	-15.0M
Net VEX	-39.9K	-105.4K	-15.9K	-79.6K	-20.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.17	1.85	0.42	1.63
Total Volume	2,490.087	774	10,769	4,779	1,483
Total OI	49,540.217	12,176	79,359	65,669	12,450

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-03-01	$21.62	$20.00	45.4%	13.0%	93.4%	22.1%	65.9%	22.0%	43.6%	268.7K	-45.0M	-79.6K	0.42	46.43	N/A	N/A	3,367	1,412	43,201	22,468
2022-03-02	$21.16	$20.00	66.5%	19.1%	93.8%	51.9%	66.3%	27.6%	-2.5%	203.9K	-42.5M	-87.5K	0.33	55.80	N/A	N/A	4,846	1,592	45,589	23,540
2022-03-03	$20.94	$20.00	59.5%	17.1%	94.2%	46.8%	63.5%	96.3%	-35.5%	206.7K	-46.9M	-90.3K	0.23	42.00	N/A	N/A	3,031	691	49,372	24,354
2022-03-04	$21.25	$20.00	57.0%	16.4%	90.7%	42.8%	79.5%	44.1%	1.2%	597.5K	-54.0M	-105.4K	0.81	51.11	N/A	N/A	1,452	1,180	53,513	24,547
2022-03-07	$24.11	$20.00	20.1%	5.8%	95.9%	0.0%	29.3%	8.0%	-5.9%	2.7M	-94.3M	-42.9K	0.39	32.15	N/A	N/A	7,727	3,042	54,244	25,115
2022-03-08	$24.14	$20.00	13.9%	3.3%	88.4%	0.0%	30.3%	-4.5%	2.4%	2.8M	-82.7M	-44.5K	0.24	32.36	N/A	N/A	4,212	1,031	50,030	24,934
2022-03-09	$24.24	$20.00	11.3%	7.5%	88.5%	0.0%	36.3%	142.9%	-3.9%	3.3M	-77.8M	-33.8K	0.17	43.12	N/A	N/A	3,827	653	47,828	25,229
2022-03-10	$24.21	$20.00	5.6%	7.9%	88.6%	0.0%	45.1%	-5.0%	3.2%	2.6M	-93.1M	-38.2K	0.49	40.77	N/A	N/A	801	394	53,548	25,238
2022-03-11	$24.24	$20.00	11.0%	10.0%	85.4%	6.2%	48.5%	-5.9%	-2.9%	3.2M	-75.4M	-33.3K	0.53	51.77	N/A	N/A	710	373	47,319	25,337
2022-03-14	$24.22	$15.00	11.4%	7.6%	85.0%	6.6%	26.4%	-5.5%	-3.6%	3.0M	-78.2M	-39.8K	0.48	86.07	N/A	N/A	745	358	47,336	25,369
2022-03-15	$24.27	$15.00	11.0%	7.1%	50.5%	6.2%	27.9%	8.1%	-6.5%	2.8M	-79.5M	-33.2K	0.50	84.54	N/A	N/A	649	324	47,295	25,375
2022-03-16	$24.36	$15.00	9.7%	7.3%	49.9%	4.7%	21.3%	2.2%	-4.9%	3.1M	-80.8M	-38.6K	0.38	85.74	N/A	N/A	656	248	47,315	25,376
2022-03-17	$24.38	$0.00	9.4%	17.5%	49.8%	4.4%	0.0%	1.7%	57.9%	3.2M	-79.2M	-28.1K	0.41	146.24	N/A	N/A	626	255	46,891	25,385
2022-03-18	$24.36	$0.00	6.8%	17.7%	49.8%	1.4%	0.0%	-5.2%	59.6%	597.8K	-70.4M	-22.6K	0.39	142.20	N/A	N/A	644	249	46,892	25,385
2022-03-21	$24.35	$0.00	9.4%	15.9%	49.8%	4.3%	0.0%	2.4%	45.3%	560.4K	-16.0M	-23.7K	0.34	127.50	N/A	N/A	579	195	10,630	1,546
2022-03-22	$24.32	$0.00	8.7%	18.3%	49.5%	3.6%	0.0%	-0.4%	62.9%	555.7K	-15.8M	-21.0K	1.09	126.48	N/A	N/A	526	571	10,633	1,546
2022-03-23	$24.31	$0.00	9.6%	18.4%	47.9%	4.6%	0.0%	3.0%	61.8%	551.2K	-16.5M	-33.0K	1.70	122.09	N/A	N/A	518	882	10,634	1,568
2022-03-24	$24.33	$0.00	9.2%	14.5%	47.9%	4.1%	0.0%	4.7%	35.4%	521.1K	-15.9M	-24.9K	1.85	135.64	N/A	N/A	478	882	10,592	1,907
2022-03-25	$24.31	$0.00	7.5%	18.8%	47.3%	2.2%	0.0%	0.4%	62.6%	519.1K	-15.6M	-21.6K	1.60	118.65	N/A	N/A	542	867	10,591	1,907
2022-03-28	$24.33	$0.00	8.3%	19.3%	46.7%	3.1%	162.7%	1.0%	63.9%	526.2K	-15.6M	-20.2K	1.76	127.31	N/A	N/A	546	959	10,598	1,945
2022-03-29	$24.36	$12.50	11.8%	15.9%	46.2%	7.1%	99.4%	3.1%	39.9%	636.8K	-14.1M	-19.5K	1.43	119.02	N/A	N/A	669	959	10,467	1,972
2022-03-30	$24.32	$12.50	12.1%	19.7%	45.1%	7.5%	202.7%	2.1%	60.6%	533.0K	-14.2M	-15.9K	1.71	121.51	N/A	N/A	562	959	10,442	1,972
2022-03-31	$24.34	$12.50	8.2%	19.8%	44.7%	3.0%	0.0%	2.3%	67.2%	571.7K	-15.0M	-20.6K	1.63	118.41	N/A	N/A	564	919	10,478	1,972