CNP Options History — January 2014

In January 2014, CNP traded between $22.81 and $23.79. ATM implied volatility averaged 25.7%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 10.9% (HV 20d: 14.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2014-01-10: Highest Volume — 17,586 contracts
  • 2014-01-14: Largest IV drop — 27.5% change
  • 2014-01-02: Highest IV Rank — 72.0%
  • 2014-01-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.26$22.81$23.79$22.82$23.40
Max Pain$20.83$20.00$22.50$22.50$20.00
ATM IV25.7%19.1%28.6%28.5%27.1%
Expected Move7.5%6.9%8.4%8.4%7.4%
HV 20d14.8%13.5%16.8%13.6%15.9%
HV 60d18.3%17.9%18.9%18.2%18.9%
IV Rank60.0%32.3%72.0%72.0%65.7%
IV Percentile71.2%27.4%82.9%82.9%76.6%
Term Structure0.4%-3.0%4.6%3.2%1.5%
VWIV27.6%26.5%28.5%26.5%28.5%
Skew 25d-1.0%-9.5%1.7%-7.8%0.6%
Skew 10d-2.4%-13.8%6.9%-12.0%-3.8%
Call IV 25d28.6%24.3%35.4%35.0%26.9%
Put IV 25d27.6%24.3%30.6%27.2%27.5%
Bid-Ask Spread %48.7227.99105.3255.6547.62
Gamma HHI0.630.570.700.690.61
Net GEX4.5M2.7M8.0M5.9M3.9M
Net DEX-50.8M-78.9M-29.1M-39.1M-53.5M
Net VEX-416.1K-525.9K-309.9K-525.9K-309.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.001.430.250.01
Total Volume3,680.04830417,5864,36413,400
Total OI204,365.714153,862248,213228,175155,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$22.82$22.5028.5%8.4%13.6%72.0%0.0%-7.8%3.2%5.9M-39.1M-525.9K0.2555.65N/AN/A3,494870170,23957,936
2014-01-03$22.81$22.5026.4%7.7%13.6%63.3%26.5%-9.5%4.6%5.1M-31.0M-494.1K0.1455.13N/AN/A5,258721172,08258,790
2014-01-06$22.84$22.5026.6%8.2%13.5%63.8%0.0%-2.4%0.1%4.9M-30.6M-476.8K0.4537.80N/AN/A1,082485174,27159,449
2014-01-07$23.08$22.5025.6%7.6%13.8%59.7%0.0%-2.1%0.5%5.9M-44.8M-483.0K0.0033.57N/AN/A12,13038174,67859,789
2014-01-08$22.84$22.5024.3%8.1%14.2%54.4%0.0%-2.2%1.3%3.8M-29.1M-470.5K0.0645.08N/AN/A2,977176184,74059,799
2014-01-09$23.10$22.5023.9%7.5%14.8%52.3%27.9%-1.5%1.4%5.3M-45.6M-483.9K0.1631.05N/AN/A41365187,11559,917
2014-01-10$23.38$22.5022.0%7.9%14.1%44.7%28.5%1.2%0.4%8.0M-67.5M-494.3K0.0142.52N/AN/A17,469117187,17959,951
2014-01-13$23.04$20.0026.3%7.4%15.2%62.3%0.0%0.3%-0.7%3.5M-35.6M-439.7K0.0136.74N/AN/A3,61034186,18559,983
2014-01-14$23.23$20.0019.1%7.3%15.1%32.3%0.0%1.4%0.1%3.0M-52.2M-440.5K0.1327.99N/AN/A2,398312187,88559,992
2014-01-15$23.46$20.0021.9%8.0%15.4%44.1%0.0%1.0%-0.3%4.0M-64.3M-442.4K0.2047.30N/AN/A32064188,21559,998
2014-01-16$23.56$20.0026.3%7.0%15.4%62.6%0.0%1.7%0.2%6.5M-74.9M-434.6K1.4359.88N/AN/A269384188,08059,992
2014-01-17$23.42$20.0026.5%7.3%15.5%63.2%0.0%-2.6%-0.6%4.1M-68.2M-413.2K0.3548.33N/AN/A773271187,53257,441
2014-01-21$23.71$20.0028.6%6.9%15.5%71.8%0.0%-0.8%-3.0%4.5M-70.6M-400.9K0.1733.90N/AN/A1,128193105,96147,991
2014-01-22$23.79$20.0026.7%8.1%13.7%63.9%0.0%0.2%0.3%5.0M-78.9M-381.8K0.22105.32N/AN/A43193106,07748,164
2014-01-23$23.57$20.0027.3%7.4%13.8%66.6%0.0%1.2%-1.3%4.3M-63.1M-377.9K0.1447.12N/AN/A1,366188106,33748,211
2014-01-24$23.15$20.0025.7%7.5%15.3%59.8%0.0%-0.0%0.8%3.1M-39.3M-350.4K1.0637.69N/AN/A159169105,52948,333
2014-01-27$23.18$20.0026.9%7.0%15.3%64.9%0.0%0.6%-0.1%3.2M-40.2M-336.0K1.0547.71N/AN/A148156105,54748,493
2014-01-28$23.34$20.0026.6%7.1%15.4%63.8%0.0%-0.2%0.3%3.6M-45.9M-335.5K0.1544.24N/AN/A4,373665105,61248,627
2014-01-29$23.15$20.0026.4%7.4%15.7%62.6%0.0%-0.2%0.1%2.7M-33.1M-318.4K0.2673.55N/AN/A30479106,16448,880
2014-01-30$23.55$20.0027.3%6.9%16.8%66.6%0.0%-0.0%-1.5%4.4M-60.0M-327.6K0.0464.85N/AN/A66930106,32348,958
2014-01-31$23.40$20.0027.1%7.4%15.9%65.7%0.0%0.6%1.5%3.9M-53.5M-309.9K0.0147.62N/AN/A13,257143106,26448,971