CNP Options History — March 2014

In March 2014, CNP traded between $23.09 and $24.25. ATM implied volatility averaged 21.1%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.1% (HV 20d: 16.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2014-03-24: Highest Volume — 31,523 contracts
  • 2014-03-13: Largest IV spike — 27.8% change
  • 2014-03-05: Highest IV Rank — 59.8%
  • 2014-03-06: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.57$23.09$24.25$23.48$23.69
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV21.1%14.0%25.8%24.9%14.0%
Expected Move6.8%6.4%8.3%7.1%6.7%
HV 20d16.0%13.5%17.6%16.5%13.7%
HV 60d15.4%15.1%16.0%15.2%15.2%
IV Rank40.2%10.4%59.8%56.4%10.4%
IV Percentile36.2%2.0%62.3%59.9%2.0%
Term Structure4.9%-1.7%13.8%-0.6%9.0%
VWIV24.0%23.4%24.7%23.4%24.7%
Skew 25d-2.0%-9.9%4.3%-3.1%-9.9%
Skew 10d4.0%-8.7%32.2%29.6%-8.7%
Call IV 25d24.0%20.0%28.7%28.7%21.7%
Put IV 25d22.0%11.8%26.6%25.6%11.8%
Bid-Ask Spread %50.3925.80108.6229.2958.35
Gamma HHI0.580.490.690.550.65
Net GEX3.1M-172.4K7.2M2.8M4.2M
Net DEX-18.8M-54.8M16.8M-12.6M-44.3M
Net VEX-346.5K-402.8K-256.6K-368.2K-387.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.0013.860.280.01
Total Volume5,152.818231,5231,6135,559
Total OI118,830.09597,595134,129114,880134,129

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$23.48$20.0024.9%7.1%16.5%56.4%0.0%-3.1%-0.6%2.8M-12.6M-368.2K0.2829.29N/AN/A1,26434975,33839,542
2014-03-04$23.61$20.0022.3%6.9%15.6%45.2%23.4%-1.7%5.3%3.4M-20.8M-382.6K0.0528.95N/AN/A3551676,46239,672
2014-03-05$23.33$20.0025.8%6.9%16.3%59.8%0.0%1.1%-1.7%2.6M-7.0M-353.6K0.0133.62N/AN/A20,97428276,56639,678
2014-03-06$23.25$20.0020.8%8.3%16.4%38.8%0.0%-1.0%5.5%1.1M8.2M-285.2K0.6240.39N/AN/A1257757,81639,779
2014-03-07$23.19$20.0020.5%7.0%16.3%37.7%0.0%-2.5%3.2%124.3K13.7M-271.4K0.8632.81N/AN/A837157,88439,797
2014-03-10$23.09$20.0022.7%6.7%16.1%46.8%0.0%-1.3%2.2%-172.4K16.8M-256.6K5.4125.80N/AN/A7138457,92239,850
2014-03-11$23.31$20.0019.3%6.7%16.5%32.8%0.0%-1.4%3.8%579.8K10.4M-263.1K0.3846.81N/AN/A973757,96239,921
2014-03-12$23.42$20.0019.3%6.6%16.4%32.7%0.0%4.3%4.1%853.8K8.0M-268.1K0.0055.09N/AN/A11,6052458,04339,956
2014-03-13$23.94$20.0024.7%6.9%17.6%55.2%0.0%-2.6%1.5%4.4M-18.9M-298.5K0.01108.62N/AN/A26,59737363,19239,966
2014-03-14$23.90$20.0024.2%6.9%17.5%53.1%0.0%-1.1%3.3%5.4M-35.5M-400.9K0.0448.02N/AN/A7573291,63440,206
2014-03-17$24.25$20.0025.0%6.4%16.2%56.8%0.0%-1.2%1.8%7.2M-54.8M-402.8K0.1555.21N/AN/A2163391,41040,236
2014-03-18$24.05$20.0022.8%6.8%16.5%47.3%0.0%-0.4%3.2%5.7M-38.9M-375.9K13.8653.82N/AN/A3548591,29740,254
2014-03-19$23.87$20.0023.3%7.0%16.7%49.4%0.0%-4.1%2.0%5.1M-33.0M-369.0K0.4972.80N/AN/A552791,28240,590
2014-03-20$23.70$20.0020.1%6.8%16.7%35.9%0.0%-2.6%7.0%3.3M-20.4M-343.7K3.1354.80N/AN/A4514190,24940,473
2014-03-21$23.72$20.0017.2%6.9%16.3%24.0%0.0%0.0%13.8%4.0M-23.0M-341.3K0.0053.09N/AN/A302190,28840,510
2014-03-24$23.54$20.0020.0%6.7%16.4%35.4%24.7%-3.8%6.3%2.3M-17.1M-324.0K0.4055.93N/AN/A22,4949,02966,47237,387
2014-03-25$23.39$20.0021.4%6.8%16.4%41.4%0.0%-3.2%4.3%3.2M-29.0M-393.4K0.1847.12N/AN/A1,25022486,72446,302
2014-03-26$23.28$20.0020.8%6.6%13.5%38.8%0.0%-2.1%4.2%3.0M-28.2M-392.4K0.2053.49N/AN/A901884,44046,508
2014-03-27$23.39$20.0017.3%6.5%13.6%24.4%0.0%-2.7%12.3%3.0M-29.7M-399.0K0.0956.51N/AN/A2,85425785,04246,524
2014-03-28$23.54$20.0016.7%6.8%13.8%21.8%0.0%-1.8%11.9%3.7M-38.3M-400.6K0.1747.63N/AN/A1,29522687,47046,659
2014-03-31$23.69$20.0014.0%6.7%13.7%10.4%0.0%-9.9%9.0%4.2M-44.3M-387.3K0.0158.35N/AN/A5,5144587,47046,659