CNP Options History — May 2014

In May 2014, CNP traded between $23.51 and $24.74. ATM implied volatility averaged 20.2%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.4% (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 18 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2014-05-21: Highest Volume — 14,389 contracts
  • 2014-05-12: Largest IV spike — 218.2% change
  • 2014-05-12: Highest IV Rank — 100.0%
  • 2014-05-05: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.00$23.51$24.74$24.74$24.12
Max Pain$21.55$20.00$22.50$20.00$22.50
ATM IV20.2%14.3%46.1%19.6%15.2%
Expected Move5.9%5.2%6.9%5.2%5.6%
HV 20d14.8%13.2%16.3%13.2%15.3%
HV 60d14.5%13.8%15.1%14.0%13.8%
IV Rank23.2%2.7%100.0%33.7%4.0%
IV Percentile21.4%1.2%100.0%21.0%3.2%
Term Structure1.2%-1.8%2.8%-1.8%1.5%
VWIV21.1%19.8%24.2%20.2%20.7%
Skew 25d-0.5%-7.7%2.6%-7.7%-1.8%
Skew 10d-5.4%-25.4%10.0%-24.1%-12.3%
Call IV 25d18.0%15.9%30.0%30.0%15.9%
Put IV 25d17.5%12.5%22.2%22.2%14.0%
Bid-Ask Spread %44.9127.39107.9695.5934.14
Gamma HHI0.560.320.980.970.32
Net GEX4.2M450.7K10.5M10.5M3.9M
Net DEX-48.2M-81.7M-23.6M-81.7M-63.8M
Net VEX-179.2K-235.0K-132.6K-225.6K-168.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.006.170.160.08
Total Volume1,513.3334814,389524136
Total OI91,117.57140,615122,362120,57058,401

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$24.74$20.0019.6%5.2%13.2%33.7%0.0%-7.7%-1.8%10.5M-81.7M-225.6K0.1695.59N/AN/A4537174,17846,392
2014-05-02$24.29$20.0015.4%6.2%14.9%16.4%0.0%-7.6%-0.1%6.7M-56.4M-216.6K2.27105.01N/AN/A225074,36446,449
2014-05-05$24.47$20.0017.3%6.9%15.0%24.1%0.0%-1.5%1.9%8.9M-62.9M-194.6K1.8685.02N/AN/A6912874,36546,499
2014-05-06$24.25$20.0018.0%6.8%13.9%27.2%20.2%-0.7%1.5%7.5M-61.1M-202.1K0.24107.96N/AN/A411074,35846,601
2014-05-07$24.51$20.0020.2%5.9%13.7%36.3%0.0%1.5%1.3%9.6M-61.3M-175.1K0.0142.00N/AN/A834574,36346,611
2014-05-08$24.36$20.0014.3%6.0%13.8%4.5%24.2%-0.1%1.8%4.0M-60.4M-235.0K0.0327.39N/AN/A1,0343574,09546,616
2014-05-09$23.95$20.0014.5%6.0%15.1%2.7%0.0%0.7%2.6%3.4M-43.5M-225.7K6.1728.02N/AN/A7143873,99246,619
2014-05-12$23.73$20.0046.1%6.0%15.5%100.0%21.3%1.5%2.0%2.9M-34.2M-200.3K0.4138.66N/AN/A1,09745574,01346,910
2014-05-13$23.67$22.5039.2%6.0%15.4%78.5%19.8%2.4%2.8%2.3M-27.6M-185.6K0.0831.15N/AN/A6,45754375,06847,294
2014-05-14$23.70$22.5039.3%6.0%14.0%78.9%20.7%0.2%1.8%2.2M-27.4M-150.4K0.6131.87N/AN/A30618670,84747,703
2014-05-15$23.55$22.5016.8%5.9%13.4%9.1%0.0%1.9%2.0%450.7K-23.6M-145.4K2.0032.80N/AN/A163270,25947,443
2014-05-16$23.88$22.5017.3%5.8%14.6%10.6%0.0%1.8%1.8%2.3M-29.1M-138.7K0.0231.83N/AN/A49170,25047,471
2014-05-19$23.51$22.5017.6%6.0%15.2%11.5%0.0%0.9%-0.5%1.8M-25.0M-133.5K0.1531.00N/AN/A2874227,20213,413
2014-05-20$23.64$22.5016.1%5.9%15.2%6.8%0.0%2.2%1.1%1.8M-26.7M-132.6K0.0129.83N/AN/A2,1382027,41313,437
2014-05-21$23.68$22.5016.4%5.9%15.2%7.5%0.0%0.5%0.8%2.1M-30.1M-136.6K0.0028.14N/AN/A14,389029,43613,445
2014-05-22$24.03$22.5016.3%5.7%16.3%7.5%22.3%1.6%1.3%3.5M-60.0M-183.9K0.0831.99N/AN/A8146643,73513,445
2014-05-23$23.87$22.5016.6%5.6%15.6%8.4%0.0%2.6%0.5%3.7M-57.8M-184.5K0.0234.25N/AN/A6181444,28913,471
2014-05-27$23.96$22.5016.4%5.7%15.7%7.8%19.8%-3.2%1.0%3.7M-59.2M-179.4K0.1734.02N/AN/A41744,07413,485
2014-05-28$24.01$22.5016.3%5.7%15.5%7.3%0.0%-2.8%0.3%3.7M-60.1M-174.9K0.1333.20N/AN/A2343044,10813,492
2014-05-29$24.06$22.5015.5%5.6%15.3%5.0%20.7%-2.6%1.9%3.8M-61.0M-175.6K0.0029.18N/AN/A539244,34113,522
2014-05-30$24.12$22.5015.2%5.6%15.3%4.0%0.0%-1.8%1.5%3.9M-63.8M-168.1K0.0834.14N/AN/A1261044,87713,524