CNP Options History — June 2014 In June 2014, CNP traded between $23.81 and $25.54. ATM implied volatility averaged 19.0%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.4% (HV 20d: 12.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.71.
Notable Days 2014-06-19 : Highest Volume — 28,267 contracts2014-06-16 : Largest IV spike — 44.7% change2014-06-30 : Highest IV Rank — 39.1%2014-06-23 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $24.46 $23.81 $25.54 $24.08 $25.54 Max Pain $23.13 $22.50 $25.00 $22.50 $25.00 ATM IV 19.0% 13.3% 26.2% 15.8% 26.2% Expected Move 5.7% 5.5% 6.1% 5.6% 5.9% HV 20d 12.7% 10.9% 14.0% 14.0% 13.7% HV 60d 13.6% 12.5% 14.1% 13.8% 14.1% IV Rank 17.0% 0.0% 39.1% 6.0% 39.1% IV Percentile 25.8% 0.0% 64.7% 5.6% 64.7% Term Structure 0.6% -2.8% 2.2% 1.2% -2.5% VWIV 20.4% 19.2% 21.4% 20.6% 19.2% Skew 25d 0.7% -2.1% 4.9% -1.1% -2.1% Skew 10d -1.9% -10.4% 5.4% -10.4% -7.3% Call IV 25d 19.1% 9.9% 28.0% 15.9% 28.0% Put IV 25d 19.8% 14.5% 25.8% 14.8% 25.8% Bid-Ask Spread % 33.49 22.84 69.54 34.10 69.54 Gamma HHI 0.43 0.29 0.71 0.32 0.71 Net GEX 5.1M 3.5M 7.4M 3.8M 6.6M Net DEX -79.3M -125.3M -57.6M -62.8M -125.3M Net VEX -183.3K -215.1K -156.9K -171.8K -202.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.71 0.00 31.34 0.07 0.00 Total Volume 4,981.571 63 28,267 500 12,372 Total OI 70,578.714 58,383 89,280 58,383 89,280
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-06-02 $24.08 $22.50 15.8% 5.6% 14.0% 6.0% 0.0% -1.1% 1.2% 3.8M -62.8M -171.8K 0.07 34.10 N/A N/A 468 32 44,849 13,534 2014-06-03 $24.02 $22.50 16.4% 5.6% 13.7% 7.7% 0.0% 4.2% -0.3% 4.0M -61.5M -168.0K 0.05 28.10 N/A N/A 165 8 45,110 13,566 2014-06-04 $23.94 $22.50 15.7% 5.6% 13.4% 5.5% 0.0% 3.2% 0.6% 4.1M -59.4M -166.2K 0.00 29.67 N/A N/A 63 0 45,157 13,566 2014-06-05 $24.10 $22.50 14.8% 5.6% 13.0% 2.7% 20.6% 4.9% 1.7% 4.0M -62.7M -164.2K 0.01 30.61 N/A N/A 3,351 27 45,190 13,566 2014-06-06 $24.05 $22.50 14.1% 5.6% 12.8% 0.6% 0.0% -0.1% 1.9% 4.2M -63.9M -156.9K 0.04 29.58 N/A N/A 113 5 45,278 13,578 2014-06-09 $23.93 $22.50 15.8% 5.5% 11.4% 5.7% 0.0% 1.7% 1.3% 4.3M -60.5M -158.3K 31.34 28.83 N/A N/A 68 2,131 45,381 13,569 2014-06-10 $23.89 $22.50 13.3% 5.5% 10.9% 0.0% 0.0% 2.1% 1.7% 4.2M -57.7M -170.5K 0.33 28.35 N/A N/A 1,263 416 45,399 15,696 2014-06-11 $23.81 $22.50 14.2% 5.5% 11.0% 2.8% 20.3% 2.2% 2.1% 4.5M -57.6M -173.1K 1.26 28.69 N/A N/A 58 73 46,603 16,112 2014-06-12 $23.95 $22.50 15.6% 5.5% 11.1% 6.9% 0.0% 1.8% 2.1% 4.4M -60.3M -168.6K 0.54 29.42 N/A N/A 54 29 46,654 16,176 2014-06-13 $24.01 $22.50 14.9% 5.5% 10.9% 5.0% 20.1% 1.3% 2.1% 4.4M -61.9M -164.5K 0.53 31.38 N/A N/A 55 29 46,699 16,205 2014-06-16 $24.63 $22.50 21.6% 5.8% 13.2% 25.4% 20.2% -0.2% -0.2% 3.5M -75.8M -161.3K 0.01 35.53 N/A N/A 13,850 74 46,731 16,226 2014-06-17 $24.48 $22.50 21.3% 5.7% 11.9% 24.5% 21.1% 0.9% 0.3% 5.1M -79.9M -193.6K 1.17 22.84 N/A N/A 1,109 1,297 56,662 16,270 2014-06-18 $24.77 $22.50 20.4% 6.0% 12.4% 21.6% 0.0% 0.9% 1.4% 5.0M -89.8M -187.6K 0.15 29.86 N/A N/A 975 147 56,978 17,546 2014-06-19 $24.97 $22.50 19.6% 5.7% 12.5% 19.2% 20.1% 0.5% 2.2% 5.1M -96.1M -174.8K 0.00 30.14 N/A N/A 28,130 137 57,154 17,611 2014-06-20 $24.58 $22.50 24.9% 5.9% 13.3% 35.2% 0.0% -1.0% -1.8% 6.1M -97.3M -215.1K 0.09 43.77 N/A N/A 10,856 941 67,434 17,735 2014-06-23 $24.61 $0.00 25.4% 6.1% 13.0% 36.7% 21.4% -0.6% -2.8% 5.8M -82.8M -211.3K 0.16 39.07 N/A N/A 2,697 436 62,491 17,611 2014-06-24 $24.76 $25.00 23.8% 5.9% 13.1% 31.8% 0.0% -0.6% -0.6% 6.2M -87.0M -211.6K 0.16 36.27 N/A N/A 2,521 397 63,508 17,855 2014-06-25 $25.06 $25.00 20.4% 5.7% 13.6% 21.5% 0.0% 0.1% 1.5% 7.4M -98.3M -207.7K 0.06 35.99 N/A N/A 2,869 163 65,648 18,251 2014-06-26 $25.16 $25.00 22.2% 5.7% 13.6% 27.1% 19.2% -1.3% 0.4% 6.9M -106.9M -209.4K 0.01 31.10 N/A N/A 14,409 175 67,593 18,401 2014-06-27 $25.36 $25.00 23.6% 5.7% 13.7% 31.3% 0.0% -1.1% -0.6% 7.0M -117.6M -213.3K 0.03 30.36 N/A N/A 2,574 76 70,728 18,552 2014-06-30 $25.54 $25.00 26.2% 5.9% 13.7% 39.1% 0.0% -2.1% -2.5% 6.6M -125.3M -202.4K 0.00 69.54 N/A N/A 12,335 37 70,728 18,552
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