CNP Options History — April 2014

In April 2014, CNP traded between $23.39 and $24.86. ATM implied volatility averaged 22.0%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.9% (HV 20d: 13.1%). 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 4 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2014-04-04: Highest Volume — 34,185 contracts
  • 2014-04-09: Largest IV spike — 41.6% change
  • 2014-04-30: Highest IV Rank — 58.0%
  • 2014-04-09: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.25$23.39$24.86$23.82$24.76
Max Pain$21.55$20.00$22.50$20.00$20.00
ATM IV22.0%15.0%25.3%19.2%25.3%
Expected Move6.4%5.7%7.5%6.0%5.7%
HV 20d13.1%11.7%15.0%13.7%13.3%
HV 60d14.9%14.0%15.3%15.2%14.0%
IV Rank44.1%14.9%58.0%32.4%58.0%
IV Percentile42.9%2.8%62.3%18.3%62.3%
Term Structure-1.9%-4.5%1.2%1.2%-3.9%
VWIV20.4%15.5%25.5%25.5%15.5%
Skew 25d-3.1%-12.0%1.9%-8.4%-12.0%
Skew 10d-7.4%-20.1%8.1%-15.3%-20.1%
Call IV 25d24.8%21.8%29.8%21.9%29.8%
Put IV 25d21.7%12.5%27.3%13.5%17.8%
Bid-Ask Spread %83.7855.06119.9065.5979.85
Gamma HHI0.760.610.890.690.86
Net GEX7.1M3.3M12.4M5.5M7.7M
Net DEX-68.1M-93.3M-33.2M-57.5M-81.6M
Net VEX-331.0K-413.7K-251.5K-413.7K-251.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.003.770.080.04
Total Volume2,459.6196534,1856372,010
Total OI135,230.81120,766144,138140,639121,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$23.82$20.0019.2%6.0%13.7%32.4%25.5%-8.4%1.2%5.5M-57.5M-413.7K0.0865.59N/AN/A5884993,81446,825
2014-04-02$23.97$20.0019.2%5.9%13.0%32.1%0.0%-8.3%1.1%5.9M-61.3M-405.2K0.1156.18N/AN/A1772094,23846,864
2014-04-03$23.87$20.0021.0%6.6%13.1%39.7%0.0%-9.9%0.2%5.5M-54.3M-405.4K1.7455.06N/AN/A315494,14446,877
2014-04-04$23.80$20.0019.3%6.3%13.1%32.5%0.0%1.4%0.4%5.4M-52.7M-387.2K0.0065.45N/AN/A34,0929394,14446,931
2014-04-07$23.39$20.0015.0%5.7%14.6%14.9%0.0%-0.4%-2.5%3.3M-33.2M-351.2K2.0792.60N/AN/A296092,80046,960
2014-04-08$23.69$20.0015.1%6.5%14.9%15.2%17.6%1.1%-2.7%4.2M-40.4M-361.4K0.2694.27N/AN/A651792,79647,006
2014-04-09$23.86$22.5021.4%7.5%15.0%41.6%0.0%0.2%-1.4%5.1M-46.1M-353.8K0.02116.56N/AN/A4,6117092,60547,021
2014-04-10$23.96$22.5024.7%6.3%12.8%55.3%0.0%-0.1%-1.4%6.2M-56.0M-362.9K0.2670.67N/AN/A691896,93347,065
2014-04-11$24.00$22.5024.4%6.7%12.8%54.0%0.0%0.9%-1.6%7.3M-65.3M-365.0K0.0066.46N/AN/A172096,93447,057
2014-04-14$24.05$22.5024.7%6.1%11.7%55.3%0.0%1.6%-1.7%6.4M-57.9M-340.4K1.9855.14N/AN/A5811597,05747,057
2014-04-15$24.46$22.5023.1%6.3%12.8%48.6%0.0%0.1%-0.6%9.5M-81.6M-339.1K0.3857.02N/AN/A471897,05847,080
2014-04-16$24.70$22.5023.8%6.2%12.8%51.4%0.0%0.8%-1.7%12.4M-93.3M-333.4K0.0481.00N/AN/A2241096,26147,064
2014-04-17$24.61$22.5022.6%6.3%12.5%46.6%21.8%1.9%-1.1%12.3M-87.6M-324.5K0.1357.32N/AN/A2403296,35247,054
2014-04-21$24.40$22.5023.3%7.0%13.1%49.6%0.0%-0.9%-3.8%6.5M-70.8M-310.4K0.19109.06N/AN/A1623182,92046,138
2014-04-22$24.55$22.5022.1%6.7%12.7%44.4%21.1%-7.5%-2.1%8.2M-77.3M-285.9K0.0392.16N/AN/A4,63513583,01846,149
2014-04-23$24.62$22.5022.9%6.3%12.3%48.0%0.0%-0.1%-3.5%8.7M-88.4M-292.7K0.04110.19N/AN/A2,0467384,68446,266
2014-04-24$24.56$22.5023.4%6.0%12.2%49.7%0.0%0.8%-3.6%5.9M-72.8M-284.0K3.7796.36N/AN/A9836974,52446,242
2014-04-25$24.86$22.5023.3%6.5%12.6%49.4%0.0%-8.9%-2.9%7.7M-88.1M-272.2K0.45103.19N/AN/A27112374,62246,225
2014-04-28$24.82$22.5024.4%6.9%12.6%53.9%21.1%-8.0%-4.5%7.9M-87.2M-254.3K0.43115.29N/AN/A34014574,60446,286
2014-04-29$24.59$20.0024.2%6.9%13.2%53.4%0.0%-9.7%-3.8%7.3M-76.1M-257.3K0.13119.90N/AN/A2253074,64846,380
2014-04-30$24.76$20.0025.3%5.7%13.3%58.0%15.5%-12.0%-3.9%7.7M-81.6M-251.5K0.0479.85N/AN/A1,9308074,76446,380