CNR Options History — July 2022

In July 2022, CNR traded between $24.51 and $24.65. ATM implied volatility averaged 67.2%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 61.0% (HV 20d: 6.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 15 of 15 trading days. Term structure was in contango for 0 of 15 days. Put/call ratio averaged 1.91.

Notable Days

2022-07-01: Highest Volume — 1,759 contracts
2022-07-21: Largest IV spike — 2926.1% change
2022-07-12: Highest IV Rank — 81.7%
2022-07-21: Largest Expected Move — 25.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.56	$24.51	$24.65	$24.52	$24.65
Max Pain	$24.17	$22.50	$25.00	$25.00	$22.50
ATM IV	67.2%	3.0%	139.7%	64.7%	3.2%
Expected Move	12.2%	0.9%	25.9%	18.5%	0.9%
HV 20d	6.1%	2.0%	7.6%	7.6%	2.0%
HV 60d	4.9%	4.9%	5.0%	5.0%	4.9%
IV Rank	37.8%	0.0%	81.7%	36.0%	0.1%
IV Percentile	61.2%	0.0%	99.6%	82.9%	0.4%
Term Structure	-11.0%	-91.5%	-0.7%	-2.6%	-1.1%
VWIV	24.9%	18.8%	37.6%	37.6%	19.8%
Skew 25d	-4.8%	-86.3%	166.7%	-86.3%	166.7%
Skew 10d	39.1%	-36.9%	240.0%	0.7%	240.0%
Call IV 25d	67.9%	34.2%	109.1%	104.4%	34.2%
Put IV 25d	63.1%	18.1%	200.9%	18.1%	200.9%
Bid-Ask Spread %	127.78	117.07	141.28	123.10	125.42
Gamma HHI	0.47	0.38	0.83	0.43	0.83
Net GEX	90.4K	32.9K	405.4K	46.9K	405.4K
Net DEX	-3.4M	-3.8M	-3.3M	-3.6M	-3.5M
Net VEX	-22.7K	-25.0K	-18.3K	-23.2K	-18.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	1.88	1.93	1.92	1.93
Total Volume	1,748.133	1,742	1,759	1,759	1,746
Total OI	6,888.867	6,829	6,902	6,892	6,829

Daily Data (15 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
2022-07-01	$24.52	$25.00	64.7%	18.5%	7.6%	36.0%	0.0%	-86.3%	-2.6%	46.9K	-3.6M	-23.2K	1.92	123.10	N/A	N/A	603	1,156	4,038	2,854
2022-07-05	$24.51	$25.00	76.5%	10.4%	7.6%	43.2%	0.0%	27.3%	-0.7%	32.9K	-3.4M	-24.1K	1.92	129.74	N/A	N/A	603	1,156	4,038	2,854
2022-07-06	$24.53	$25.00	80.7%	10.5%	7.6%	45.7%	0.0%	5.2%	-0.7%	49.3K	-3.4M	-23.6K	1.90	125.97	N/A	N/A	603	1,145	4,038	2,854
2022-07-07	$24.56	$25.00	85.7%	10.6%	7.6%	48.8%	0.0%	-31.4%	-0.7%	43.1K	-3.5M	-22.3K	1.90	127.87	N/A	N/A	603	1,145	4,038	2,851
2022-07-08	$24.55	$25.00	91.5%	10.7%	7.6%	52.4%	0.0%	-29.2%	-0.7%	141.7K	-3.7M	-21.5K	1.88	141.28	N/A	N/A	608	1,145	4,038	2,851
2022-07-11	$24.55	$25.00	121.0%	11.2%	7.6%	70.3%	0.0%	-29.1%	-0.8%	41.6K	-3.4M	-23.2K	1.90	128.37	N/A	N/A	603	1,145	4,043	2,851
2022-07-12	$24.56	$25.00	139.7%	11.3%	7.6%	81.7%	0.0%	-28.1%	-0.8%	39.9K	-3.3M	-24.9K	1.90	128.13	N/A	N/A	602	1,145	4,044	2,851
2022-07-13	$24.54	$25.00	39.9%	11.4%	7.2%	20.9%	0.0%	-29.2%	-0.9%	38.1K	-3.3M	-25.0K	1.90	129.48	N/A	N/A	602	1,145	4,044	2,851
2022-07-14	$24.54	$25.00	40.5%	11.6%	7.2%	21.3%	0.0%	-28.8%	-0.9%	40.3K	-3.4M	-23.1K	1.91	128.04	N/A	N/A	601	1,145	4,044	2,851
2022-07-15	$24.54	$25.00	84.2%	24.1%	6.5%	47.9%	37.6%	-55.4%	-59.7%	38.3K	-3.3M	-23.3K	1.91	117.07	N/A	N/A	599	1,146	4,045	2,851
2022-07-18	$24.55	$22.50	42.9%	12.3%	6.0%	22.8%	29.0%	-5.6%	-1.0%	39.1K	-3.4M	-22.3K	1.92	118.50	N/A	N/A	596	1,146	4,039	2,852
2022-07-19	$24.56	$22.50	43.6%	12.5%	5.8%	23.2%	18.8%	-31.9%	-1.0%	40.0K	-3.4M	-22.5K	1.92	127.74	N/A	N/A	596	1,146	4,039	2,852
2022-07-20	$24.62	$22.50	3.0%	0.9%	2.1%	0.0%	19.4%	159.9%	-1.0%	314.9K	-3.8M	-18.3K	1.93	139.33	N/A	N/A	596	1,150	4,039	2,852
2022-07-21	$24.64	$22.50	90.5%	25.9%	2.1%	52.5%	19.8%	-76.8%	-91.5%	44.0K	-3.3M	-24.0K	1.93	126.64	N/A	N/A	596	1,150	4,040	2,862
2022-07-22	$24.65	$22.50	3.2%	0.9%	2.0%	0.1%	0.0%	166.7%	-1.1%	405.4K	-3.5M	-18.9K	1.93	125.42	N/A	N/A	596	1,150	3,967	2,862