CNR Options History — June 2022

In June 2022, CNR traded between $23.95 and $24.50. ATM implied volatility averaged 80.5%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 75.1% (HV 20d: 5.4%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2022-06-17: Highest Volume — 2,427 contracts
  • 2022-06-23: Largest IV spike — 1041.2% change
  • 2022-06-28: Highest IV Rank — 68.7%
  • 2022-06-28: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.39$23.95$24.50$24.49$24.46
Max Pain$24.50$15.00$25.00$15.00$25.00
ATM IV80.5%9.1%118.4%60.4%62.4%
Expected Move23.2%2.6%33.9%17.3%17.9%
HV 20d5.4%3.4%8.0%3.5%7.5%
HV 60d3.7%2.6%4.9%2.9%4.9%
IV Rank45.6%2.2%68.7%33.4%34.6%
IV Percentile86.9%2.8%99.6%83.3%80.2%
Term Structure-43.7%-108.6%72.2%72.2%-2.7%
VWIV92.2%10.5%124.4%79.2%124.4%
Skew 25d3.2%-73.3%45.0%17.8%45.0%
Skew 10d15.2%-139.2%117.5%-6.8%24.6%
Call IV 25d111.2%22.6%169.3%22.6%123.7%
Put IV 25d114.4%11.7%174.0%40.3%168.7%
Bid-Ask Spread %135.0990.44150.2490.44127.98
Gamma HHI0.660.330.950.900.47
Net GEX289.4K15.9K737.8K517.7K41.7K
Net DEX-9.6M-14.5M-3.3M-14.3M-3.4M
Net VEX-18.9K-27.8K-10.6K-14.8K-17.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.901.192.781.561.90
Total Volume1,679.7621,1952,4271,2681,764
Total OI10,314.0486,70013,28412,1706,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$24.49$15.0060.4%17.3%3.5%33.4%79.2%17.8%72.2%517.7K-14.3M-14.8K1.5690.44N/AN/A4957739,8002,370
2022-06-02$24.50$0.0062.4%21.6%3.5%34.6%75.7%3.4%-71.2%507.8K-14.5M-14.9K1.69125.32N/AN/A4587739,8012,370
2022-06-03$24.49$25.0085.1%21.6%3.5%48.4%79.2%3.1%-70.0%328.3K-14.0M-16.2K1.74142.91N/AN/A4437729,8052,370
2022-06-06$24.49$25.0076.1%22.4%3.5%42.9%82.2%3.1%-75.3%737.8K-13.0M-15.7K1.65144.13N/AN/A4677729,8182,370
2022-06-07$24.48$25.0076.4%22.7%3.5%43.1%83.4%3.1%-74.2%487.2K-14.4M-16.3K1.79149.26N/AN/A4327729,7802,370
2022-06-08$24.46$25.0080.3%23.0%3.4%45.5%84.7%-27.4%-82.0%682.2K-13.7M-14.0K1.67124.73N/AN/A4617729,7802,370
2022-06-09$24.43$25.0040.2%11.5%3.5%21.1%0.0%33.5%-1.6%423.3K-14.1M-18.4K1.51135.43N/AN/A5117729,8132,358
2022-06-10$24.44$25.0082.6%23.7%3.4%46.9%87.3%-53.0%-84.5%439.2K-14.2M-16.7K1.78135.65N/AN/A4307659,8132,358
2022-06-13$24.30$25.0086.6%24.8%4.0%49.3%92.7%3.3%-90.2%387.3K-13.5M-20.7K2.78150.01N/AN/A6151,7099,8132,358
2022-06-14$24.29$25.0087.6%25.1%4.0%49.9%111.2%-15.5%-108.6%302.2K-13.0M-27.8K1.98142.25N/AN/A7111,4089,9823,302
2022-06-15$24.10$25.0089.8%25.7%4.9%51.3%97.8%3.5%-95.7%407.5K-12.9M-22.4K1.72150.24N/AN/A8171,4099,9223,302
2022-06-16$23.95$25.0091.6%26.2%5.2%52.4%101.1%5.1%-33.2%399.7K-12.2M-23.2K1.66137.78N/AN/A8471,4099,9233,303
2022-06-17$24.07$25.0093.0%26.7%5.6%53.2%101.6%3.5%-34.1%15.9K-9.7M-25.7K1.19146.26N/AN/A1,1071,3209,6893,303
2022-06-21$24.45$25.00102.3%29.3%8.0%58.9%105.8%34.5%-25.1%48.9K-3.5M-17.9K2.64122.44N/AN/A4731,2483,8632,837
2022-06-22$24.46$25.009.1%2.6%7.6%2.2%10.5%31.3%51.6%176.3K-3.8M-10.6K2.64126.44N/AN/A4731,2483,8672,839
2022-06-23$24.50$25.00104.1%29.8%7.6%60.0%109.3%3.9%-41.6%23.2K-3.3M-23.7K2.64132.80N/AN/A4731,2483,8722,839
2022-06-24$24.49$25.00106.5%30.5%7.5%61.5%112.0%4.0%-43.6%32.2K-3.5M-17.1K1.83141.64N/AN/A6301,1523,8722,839
2022-06-27$24.45$25.00115.2%33.0%7.4%66.7%121.5%-73.3%-50.9%33.7K-3.5M-21.4K1.83141.73N/AN/A6301,1524,0322,849
2022-06-28$24.49$25.00118.4%33.9%7.4%68.7%124.4%4.7%-53.5%32.4K-3.5M-23.1K1.83145.61N/AN/A6301,1524,0322,849
2022-06-29$24.42$25.0060.3%17.3%7.5%33.3%0.0%34.8%-2.6%53.2K-3.7M-19.5K1.83123.77N/AN/A6301,1524,0322,849
2022-06-30$24.46$25.0062.4%17.9%7.5%34.6%0.0%45.0%-2.7%41.7K-3.4M-17.6K1.90127.98N/AN/A6081,1564,0322,849