CNR Options History — April 2022

In April 2022, CNR traded between $24.33 and $24.44. ATM implied volatility averaged 46.0%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 42.1% (HV 20d: 4.0%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2022-04-13: Highest Volume — 2,139 contracts
  • 2022-04-07: Largest IV spike — 851.8% change
  • 2022-04-07: Highest IV Rank — 100.0%
  • 2022-04-08: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.38$24.33$24.44$24.33$24.36
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV46.0%8.5%169.8%8.5%15.2%
Expected Move15.8%3.7%21.6%20.1%4.4%
HV 20d4.0%1.3%44.7%44.7%1.8%
HV 60d62.7%60.0%66.3%66.3%60.0%
IV Rank27.4%3.3%100.0%3.3%5.9%
IV Percentile46.7%2.0%100.0%2.0%9.5%
Term Structure-58.6%-103.7%67.7%67.7%-3.8%
VWIV116.7%12.7%247.1%208.0%23.3%
Skew 25d2.8%-24.8%57.8%2.3%48.1%
Skew 10d44.5%-21.2%122.0%8.7%30.8%
Call IV 25d75.0%10.7%118.6%13.7%105.5%
Put IV 25d77.8%13.6%153.7%15.9%153.7%
Bid-Ask Spread %118.7887.72136.84118.92118.41
Gamma HHI0.790.600.950.790.64
Net GEX459.0K215.1K728.3K504.0K339.4K
Net DEX-14.4M-16.0M-13.2M-15.2M-14.0M
Net VEX-22.0K-29.1K-16.0K-22.3K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.002.211.561.28
Total Volume1,464.372,1391,5081,469
Total OI12,540.3512,09713,19212,47012,121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$24.33$12.508.5%20.1%44.7%3.3%0.0%2.3%67.7%504.0K-15.2M-22.3K1.56118.92N/AN/A58991910,4781,992
2022-04-04$24.35$12.509.8%20.7%2.5%4.9%0.0%5.1%-72.6%499.3K-15.2M-20.8K1.54112.02N/AN/A59691910,4801,992
2022-04-05$24.33$12.5010.2%20.8%2.5%5.3%208.0%-1.5%-88.4%518.5K-15.1M-21.3K2.21136.84N/AN/A6171,36110,4821,992
2022-04-06$24.36$12.5011.1%21.2%2.1%6.3%218.3%4.9%-74.2%457.4K-15.0M-25.0K1.67130.48N/AN/A59498910,5182,667
2022-04-07$24.35$12.50105.7%21.4%2.1%100.0%97.8%5.0%-63.5%468.4K-13.4M-19.0K1.60130.22N/AN/A52584210,5192,670
2022-04-08$24.36$12.5012.9%21.6%2.0%7.3%223.5%4.6%-68.4%534.4K-13.5M-19.2K1.72129.10N/AN/A51588610,5092,675
2022-04-11$24.37$12.5018.3%10.4%2.0%12.7%231.9%16.0%-47.0%728.3K-13.8M-19.1K1.68128.15N/AN/A52087110,5102,680
2022-04-12$24.36$12.50169.8%15.2%1.9%100.0%235.0%5.5%-79.9%426.7K-14.9M-29.1K1.47127.83N/AN/A56883310,5122,680
2022-04-13$24.35$12.5053.7%15.4%1.4%29.3%238.1%5.5%-70.4%534.9K-14.3M-16.8K0.65126.67N/AN/A1,29884110,4822,680
2022-04-14$24.35$12.5055.2%15.8%1.3%30.2%247.1%3.9%-3.3%215.1K-16.0M-29.1K0.63126.44N/AN/A1,29882010,4822,700
2022-04-18$24.36$12.5012.9%3.7%1.3%4.4%0.0%2.9%-2.8%391.9K-14.3M-28.1K0.9587.72N/AN/A8578169,7632,338
2022-04-19$24.44$12.5056.0%16.0%1.7%30.7%23.0%-18.2%-79.0%549.5K-13.2M-16.0K1.60110.86N/AN/A5128219,7642,353
2022-04-20$24.42$12.5056.9%16.3%1.7%31.2%23.5%-21.7%-88.4%426.4K-14.4M-22.3K1.60104.88N/AN/A5158229,7552,357
2022-04-21$24.41$12.5057.9%16.6%1.7%31.8%23.9%-22.0%-91.5%435.3K-14.1M-24.5K1.60109.61N/AN/A5158269,7552,357
2022-04-22$24.39$12.5058.9%16.9%1.7%32.5%24.5%-22.5%-93.4%360.6K-14.2M-25.3K1.60112.88N/AN/A5158269,7562,357
2022-04-25$24.39$12.5062.3%17.9%1.7%34.5%25.9%-24.4%-99.7%346.4K-14.0M-24.1K1.5897.18N/AN/A5238269,7562,357
2022-04-26$24.41$12.5063.6%18.2%1.7%35.3%26.3%-24.8%-101.7%481.4K-14.2M-18.0K1.11112.88N/AN/A7468269,7402,357
2022-04-27$24.44$12.5064.9%18.6%1.7%36.2%100.9%57.8%-103.7%491.4K-14.5M-20.5K0.00135.35N/AN/A709,7532,357
2022-04-28$24.42$12.5016.7%4.8%1.6%6.8%12.7%29.2%-8.5%471.2K-14.3M-17.3K1.30119.09N/AN/A6378269,7542,357
2022-04-29$24.36$12.5015.2%4.4%1.8%5.9%23.3%48.1%-3.8%339.4K-14.0M-23.1K1.28118.41N/AN/A6438269,7642,357