CNR Options History — May 2022

In May 2022, CNR traded between $24.24 and $24.55. ATM implied volatility averaged 45.9%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 43.0% (HV 20d: 2.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2022-05-16: Highest Volume — 1,573 contracts
  • 2022-05-06: Largest IV spike — 236.4% change
  • 2022-05-10: Highest IV Rank — 42.9%
  • 2022-05-31: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.38$24.24$24.55$24.30$24.53
Max Pain$14.64$12.50$15.00$12.50$15.00
ATM IV45.9%16.2%76.0%16.2%58.7%
Expected Move12.2%4.7%16.8%4.7%16.8%
HV 20d2.9%2.0%4.0%2.0%3.8%
HV 60d36.1%26.0%58.7%58.7%26.0%
IV Rank24.6%6.5%42.9%6.5%32.4%
IV Percentile40.8%9.9%96.8%9.9%79.0%
Term Structure22.4%-8.7%71.4%-4.5%71.4%
VWIV37.3%9.4%118.0%9.4%118.0%
Skew 25d34.5%-28.0%129.2%87.2%-28.0%
Skew 10d14.8%-95.4%130.7%74.5%-69.3%
Call IV 25d24.3%10.8%68.0%21.3%68.0%
Put IV 25d58.8%21.3%143.6%108.5%40.1%
Bid-Ask Spread %100.0182.83120.81120.8189.28
Gamma HHI0.860.741.000.890.89
Net GEX474.6K376.9K739.6K540.4K485.6K
Net DEX-13.6M-14.6M-12.7M-13.9M-14.5M
Net VEX-18.6K-26.0K-12.4K-17.0K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.361.041.601.541.49
Total Volume1,414.0481,2921,5731,3701,292
Total OI12,174.04812,10812,18512,10812,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$24.30$12.5016.2%4.7%2.0%6.5%9.4%87.2%-4.5%540.4K-13.9M-17.0K1.54120.81N/AN/A5398319,7512,357
2022-05-03$24.41$12.5018.8%5.4%2.6%8.1%15.3%29.9%-6.6%739.6K-13.0M-12.4K1.48101.78N/AN/A5628329,8012,364
2022-05-04$24.42$12.5020.5%5.9%2.6%9.1%16.5%35.7%-7.0%446.1K-14.3M-17.5K1.59117.14N/AN/A5248329,8072,365
2022-05-05$24.41$15.0019.4%11.4%2.5%8.4%33.8%6.5%-0.1%431.9K-14.3M-19.0K1.60103.65N/AN/A5188289,8122,367
2022-05-06$24.41$15.0065.4%11.5%2.5%36.4%55.8%112.3%-7.6%524.6K-13.0M-13.7K1.5292.69N/AN/A5448289,8152,368
2022-05-09$24.39$15.0072.6%11.4%2.6%40.8%50.8%6.0%4.0%376.9K-13.9M-19.9K1.54100.42N/AN/A5388289,8162,369
2022-05-10$24.34$15.0076.0%11.5%2.7%42.9%77.9%-23.6%-2.1%493.4K-14.3M-26.0K1.51110.22N/AN/A5488289,8162,369
2022-05-11$24.35$15.0042.8%12.3%2.7%22.7%63.0%129.2%-7.9%570.9K-12.7M-18.0K1.25103.17N/AN/A6588249,8162,369
2022-05-12$24.32$15.0044.6%12.8%2.7%23.8%24.7%120.9%-8.7%405.1K-12.7M-16.8K1.4787.19N/AN/A5598249,8162,369
2022-05-13$24.35$15.0044.7%12.8%2.7%23.8%16.2%128.7%0.6%496.1K-12.8M-22.7K1.1584.32N/AN/A7158249,8052,369
2022-05-16$24.32$15.0044.2%12.7%2.8%23.6%10.1%4.5%-4.0%402.1K-13.4M-21.9K1.10106.35N/AN/A7498249,8142,369
2022-05-17$24.31$15.0044.9%12.9%2.5%24.0%10.6%6.1%-4.1%387.7K-13.6M-20.3K1.1099.22N/AN/A7498249,8142,369
2022-05-18$24.25$15.0045.6%13.1%2.6%24.4%11.0%4.3%-4.5%413.9K-13.5M-20.5K1.10102.87N/AN/A7498249,8142,369
2022-05-19$24.24$15.0046.4%13.3%2.6%24.9%10.9%4.3%61.1%403.2K-13.4M-17.1K1.0499.07N/AN/A7497779,8142,369
2022-05-20$24.27$15.0047.2%13.5%2.6%25.4%11.2%4.9%61.5%385.4K-13.5M-20.6K1.0999.24N/AN/A7167779,8142,370
2022-05-23$24.43$15.0051.2%14.7%3.6%27.8%12.5%80.9%60.2%721.4K-12.7M-15.1K1.09104.08N/AN/A7127749,8072,366
2022-05-24$24.38$15.0049.9%14.3%3.6%27.0%32.9%9.0%65.8%395.3K-13.8M-19.8K1.4699.93N/AN/A5287739,7992,366
2022-05-25$24.49$15.0051.1%14.7%4.0%27.7%33.2%13.7%66.1%404.2K-14.1M-19.3K1.46101.98N/AN/A5287739,8002,370
2022-05-26$24.55$15.0051.6%14.8%4.0%28.1%65.4%16.1%68.0%442.3K-14.3M-18.8K1.4693.97N/AN/A5287739,8002,370
2022-05-27$24.53$15.0052.8%15.1%3.9%28.8%103.3%-24.3%68.7%500.1K-14.6M-17.0K1.4982.83N/AN/A5197739,8002,370
2022-05-31$24.53$15.0058.7%16.8%3.8%32.4%118.0%-28.0%71.4%485.6K-14.5M-16.5K1.4989.28N/AN/A5197739,8002,370