CNP Options History — February 2014

In February 2014, CNP traded between $23.04 and $24.48. ATM implied volatility averaged 28.2%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 12.2% (HV 20d: 16.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-02-19: Highest Volume — 31,233 contracts
  • 2014-02-14: Largest IV spike — 20.1% change
  • 2014-02-19: Highest IV Rank — 86.1%
  • 2014-02-04: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.67$23.04$24.48$23.05$23.65
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV28.2%22.8%32.0%30.1%22.8%
Expected Move7.0%6.3%7.9%7.0%7.1%
HV 20d16.0%14.3%17.8%17.0%16.5%
HV 60d17.4%14.4%19.1%19.1%15.1%
IV Rank70.2%47.7%86.1%78.2%47.7%
IV Percentile78.8%51.6%94.4%90.1%51.6%
Term Structure-1.3%-4.3%1.2%-0.8%1.2%
VWIV24.7%24.1%25.5%25.5%24.1%
Skew 25d-2.4%-6.7%6.4%-2.8%-1.1%
Skew 10d0.2%-10.3%26.6%-4.8%25.0%
Call IV 25d29.2%20.9%31.8%31.7%24.8%
Put IV 25d26.7%23.7%30.3%28.9%23.7%
Bid-Ask Spread %39.2925.5564.0259.8728.94
Gamma HHI0.630.510.920.560.58
Net GEX5.3M1.7M16.4M2.4M3.3M
Net DEX-41.5M-77.3M-11.0M-24.9M-17.9M
Net VEX-296.3K-384.0K-173.2K-298.7K-384.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.014.790.630.01
Total Volume7,574.21118131,2332,2211,653
Total OI153,596.42194,766213,549161,163113,636

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$23.05$20.0030.1%7.0%17.0%78.2%0.0%-2.8%-0.8%2.4M-24.9M-298.7K0.6359.87N/AN/A1,359862112,05449,109
2014-02-04$23.06$20.0028.9%7.9%17.0%73.1%0.0%-4.0%-0.2%2.4M-26.1M-302.8K1.4264.02N/AN/A1,6272,315116,25149,683
2014-02-05$23.04$20.0027.9%7.4%16.6%69.0%0.0%6.4%0.8%2.0M-24.0M-287.3K0.1045.15N/AN/A20,3562,087117,64449,795
2014-02-06$23.18$20.0027.7%7.1%16.2%68.3%0.0%-5.9%0.9%2.2M-30.6M-280.3K4.7929.98N/AN/A2991,433116,17749,727
2014-02-07$23.33$20.0027.4%7.2%15.9%67.1%0.0%-6.1%-1.0%4.0M-53.0M-292.4K1.1328.92N/AN/A223252125,51049,511
2014-02-10$23.40$20.0029.2%6.8%15.3%74.5%0.0%0.6%-1.3%4.4M-59.2M-258.0K0.1731.53N/AN/A1,965337125,23449,747
2014-02-11$23.56$20.0029.3%7.3%14.5%74.8%25.5%-6.7%0.1%5.2M-69.4M-247.9K0.0653.02N/AN/A6,145352124,34350,062
2014-02-12$23.30$20.0025.4%7.1%14.8%58.8%0.0%-4.2%-0.3%1.7M-23.4M-221.0K0.0235.18N/AN/A1774101,97950,335
2014-02-13$23.50$20.0026.3%7.1%14.7%62.4%25.4%-5.1%-0.2%1.7M-30.8M-200.1K0.0140.77N/AN/A4,53553101,98450,195
2014-02-14$24.05$20.0031.6%6.3%16.8%84.5%0.0%-1.4%-4.3%8.1M-67.6M-212.8K0.1657.73N/AN/A5,383872101,94450,234
2014-02-18$24.09$20.0031.6%6.8%16.6%84.3%24.1%-2.6%-3.1%11.6M-72.9M-173.2K1.4026.52N/AN/A10,93915,310105,99850,819
2014-02-19$24.14$20.0032.0%6.8%16.1%86.1%0.0%-2.8%-3.5%15.3M-77.3M-281.2K1.2339.00N/AN/A13,99417,239116,14066,074
2014-02-20$24.28$20.0030.3%6.9%16.2%78.9%0.0%-0.5%-3.1%10.5M-56.2M-366.5K0.1336.11N/AN/A8,5491,153123,69182,998
2014-02-21$24.48$20.0029.6%6.8%15.9%76.3%24.6%-2.2%-3.1%16.4M-68.4M-380.7K0.1234.31N/AN/A3,777462129,81283,737
2014-02-24$24.38$20.0029.6%6.9%14.3%76.0%24.1%-2.8%-3.3%2.6M-34.9M-357.3K0.0827.59N/AN/A3,31425855,94538,821
2014-02-25$24.19$20.0027.7%7.1%14.7%68.4%0.0%-0.8%-2.8%3.0M-29.4M-365.7K0.0336.19N/AN/A4,65814260,18339,040
2014-02-26$23.55$20.0023.9%6.8%17.8%52.5%0.0%-3.3%0.9%2.4M-11.1M-359.0K0.0646.17N/AN/A10,49164964,32539,100
2014-02-27$23.56$20.0024.3%6.9%17.5%53.9%0.0%-0.9%-0.4%2.4M-11.0M-359.8K0.0425.55N/AN/A6572966,98239,513
2014-02-28$23.65$20.0022.8%7.1%16.5%47.7%0.0%-1.1%1.2%3.3M-17.9M-384.0K0.0128.94N/AN/A1,6312274,11639,520