CNI options: max pain, gamma exposure and walls
Canadian National Railway · close 127.72 (+0.15% on the day, +0.99% over 5 sessions)
Dealers were net long gamma (for 188 sessions): when the price moves, their hedging leans against it, which tends to calm it. The call wall — the strike with the most call open interest in reach — stands at 145, 13.5% above the close, unchanged for 4 sessions. The put wall stands at 125, 2.1% below the close, unchanged for 4 sessions. Max pain for the front expiry is 125 (2.1% below the close). Implied volatility over 30 days is 22.1%, an IV rank of 44 on a scale where 0 is the lowest day of its own year and 100 the highest; realised volatility over 20 days is 23.0%. The options price a move of about ±6.3% over the next 30 days.
CNI levels tonight
| Level | Price | From the close | Note |
|---|---|---|---|
| Call wall | 145 | +13.5% | 4 sessions |
| Put wall | 125 | −2.1% | 4 sessions |
| Gamma flip | 96.02 | −24.8% | above it dealers are long gamma |
| Max pain, front expiry | 125 | −2.1% |
CNI max pain by expiration
For the nearest expiry, Nov 20, 2026 (8 days out), max pain is 125, 2.1% below the close. Max pain is the strike where the options of that expiry would be worth the least in total at expiry — the price at which option holders, all together, would lose the most. Open interest is as of the close of Nov 12, 2026.
| Expiry | Days | Max pain | From the close | Call OI | Put OI | Put / call | ATM IV | Priced move |
|---|---|---|---|---|---|---|---|---|
| Nov 20, 2026 | 8 | 125 | −2.1% | 1,492 | 1,008 | 0.68 | 20.5% | ±3.88 (3.0%) |
| Dec 18, 2026 | 36 | 130 | +1.8% | 480 | 224 | 0.47 | 22.2% | ±8.91 (7.0%) |
| Jan 15, 2027 | 64 | 110 | −13.9% | 2,828 | 792 | 0.28 | 20.3% | ±10.85 (8.5%) |
| Feb 19, 2027 | 99 | 125 | −2.1% | 481 | 295 | 0.61 | 19.8% | ±13.18 (10.3%) |
| Mar 19, 2027 | 127 | 125 | −2.1% | 396 | 277 | 0.70 | 20.3% | ±15.29 (12.0%) |
| Apr 16, 2027 | 155 | 130 | +1.8% | 175 | 142 | 0.81 | 19.8% | ±16.46 (12.9%) |
CNI and its option levels over the last year
The close, with the call wall and the put wall (the strikes the option book is heaviest at) and the gamma flip (the price where dealers’ net gamma changes sign). Each line is that day’s reading, not a level looked back on.
Not in the picture: Call wall 145 (above the picture).
Implied against realised volatility
What the options charge for the next 30 days, against how much CNI actually moved over the last 20. A gap between the two is the market’s price for uncertainty.
Download CNI options history (CSV)
Every session we hold for CNI — 537 sessions, Sep 2024 → Nov 12, 2026 — as plain CSV files you can open in Excel, Python or any AI assistant. No account, no payment: press the button. A new row is added after each close.
one row per session: dealer gamma, vanna, charm, call and put walls, max pain, IV by tenor, skew, open interest, volume, flow — every column explained in the zip
the last session, expiry by expiry: open interest, volume, gamma, max pain, ATM IV, priced move
the last session, strike by strike: call and put open interest, gamma, volume
the last session by horizon (0–14, 15–45, 46–180 days): walls, max pain, gamma
dates where short-dated IV collapsed — earnings and other events read out of the options
The option series carries the daily close; the full price bars (open, high, low, volume) are not included. Data for research and education, not investment advice — see the terms.
How to read these figures
Gamma exposure (GEX)
How much dealers must buy or sell to stay hedged for each 1% move in the price. Long gamma means they trade against moves and dampen them; short gamma means they trade with moves and can amplify them. It is estimated from open interest and an assumption about which side dealers are on.
Call wall and put wall
The strikes where call and put open interest is heaviest within reach of the price. Prices often slow, or get pinned, near them into expiry; they are where a lot of hedging sits, not a guarantee.
Gamma flip
The price at which net dealer gamma changes sign. The same book acts as a brake above it and as an accelerator below it.
Max pain, IV rank and the priced move
Max pain is the strike where an expiry’s options are worth the least in total. IV rank places today’s implied volatility between the lowest (0) and the highest (100) of the last year. The priced move is what the options charge for the period, as a share of the price.
Every figure is end-of-day and describes how the option market is positioned. It is not a forecast of where CNI goes, and not advice. New to options? Start with Learn.
CNI options: questions and answers
What is CNI max pain today?
For the expiry of Nov 20, 2026, CNI max pain is 125, 2.1% below the close of 127.72 on Nov 12, 2026.
Where are the CNI call wall and put wall?
The call wall is 145 (13.5% above the close) and the put wall is 125 (2.1% below the close), as of the close of Nov 12, 2026.
Is CNI gamma exposure positive or negative?
Positive: dealers were net long gamma for 188 sessions, so their hedging tends to lean against moves. Net GEX was $1.5M per 1% move.
What is the CNI expected move?
The options price a move of about ±6.3% over the next 30 days, and ±3.88 to the expiry of Nov 20, 2026.
Can I download CNI historical options data?
Yes. CNI’s daily option series from Sep 2024 and its strike, expiry and event tables are CSV files on this page — no account and no payment.
CNI on the chart
Every session of CNI on one chart: the price with its walls and gamma flip, the market-maker view, the strike ladder and the expiries — open to everyone.
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