CNP Options History — July 2014

In July 2014, CNP traded between $24.32 and $25.38. ATM implied volatility averaged 21.7%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.9% (HV 20d: 13.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-07-29: Highest Volume — 20,595 contracts
  • 2014-07-10: Largest IV spike — 9.2% change
  • 2014-07-31: Highest IV Rank — 31.6%
  • 2014-07-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.92$24.32$25.38$25.38$24.32
Max Pain$24.18$24.00$25.00$25.00$24.00
ATM IV21.7%19.7%23.7%23.3%23.7%
Expected Move5.6%5.4%5.8%5.8%5.7%
HV 20d13.8%11.3%16.3%14.0%12.1%
HV 60d13.8%13.4%14.3%14.2%13.8%
IV Rank25.5%19.4%31.6%30.3%31.6%
IV Percentile37.4%20.2%52.8%48.4%52.8%
Term Structure-1.8%-3.7%1.1%1.1%-3.7%
VWIV19.7%18.3%20.5%20.5%19.6%
Skew 25d0.7%-3.8%3.2%1.0%-3.8%
Skew 10d1.9%-7.5%10.5%1.0%-1.0%
Call IV 25d21.4%19.3%25.2%24.9%23.0%
Put IV 25d22.2%19.1%25.9%25.9%19.1%
Bid-Ask Spread %30.5725.0444.1044.1028.36
Gamma HHI0.630.300.950.670.30
Net GEX13.4M4.5M67.1M11.1M4.9M
Net DEX-95.2M-154.9M-48.1M-150.0M-48.1M
Net VEX-164.1K-244.3K-104.4K-244.3K-134.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.001.370.010.24
Total Volume2,632.3184520,5958,190831
Total OI91,905.22762,077121,533109,43881,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$25.38$25.0023.3%5.8%14.0%30.3%0.0%1.0%1.1%11.1M-150.0M-244.3K0.0144.10N/AN/A8,1395190,81018,628
2014-07-02$24.91$25.0022.6%5.8%15.8%28.2%0.0%1.1%-0.5%11.7M-122.7M-238.6K0.1237.90N/AN/A85310489,28818,676
2014-07-03$24.77$25.0023.1%5.7%15.9%29.8%0.0%-0.5%-0.4%11.5M-112.3M-239.7K0.2832.25N/AN/A2176188,90618,772
2014-07-07$24.78$25.0022.9%5.7%15.9%29.1%20.5%0.6%-3.7%12.7M-108.7M-215.4K0.5626.83N/AN/A32618189,10218,818
2014-07-08$24.83$24.0022.0%5.6%15.7%26.6%0.0%0.3%-1.9%13.5M-112.2M-207.3K1.1726.00N/AN/A12815089,08418,955
2014-07-09$24.90$24.0020.3%5.7%15.7%21.4%19.7%1.7%-1.1%14.8M-117.7M-203.6K0.2327.06N/AN/A3548189,00419,029
2014-07-10$25.06$24.0022.2%5.6%15.6%27.1%0.0%2.9%-2.4%14.8M-124.9M-196.6K0.0127.91N/AN/A233388,95419,034
2014-07-11$24.97$24.0021.6%5.6%15.7%25.4%0.0%1.9%-1.5%16.6M-120.7M-190.3K1.2925.47N/AN/A10613789,11519,031
2014-07-14$24.72$24.0021.7%5.6%16.3%25.5%0.0%0.5%-2.1%17.1M-99.6M-164.7K0.1426.97N/AN/A76910789,09419,068
2014-07-15$24.90$24.0022.0%5.6%13.8%26.5%0.0%3.2%-1.5%17.9M-109.8M-163.1K0.2525.04N/AN/A1654289,13119,159
2014-07-16$24.92$24.0021.5%5.7%13.6%25.0%0.0%2.1%-1.5%21.3M-111.2M-155.9K0.1026.46N/AN/A3833889,18319,195
2014-07-17$24.81$24.0021.6%5.7%13.1%25.4%0.0%2.8%-1.5%21.8M-105.9M-150.0K0.0130.81N/AN/A14,41517189,15419,209
2014-07-18$25.07$24.0020.6%5.6%13.3%22.3%0.0%0.9%-0.9%67.1M-154.9M-150.9K0.1032.74N/AN/A4,950479102,23719,296
2014-07-21$25.13$24.0020.4%5.6%11.9%21.7%18.3%0.9%-1.6%4.5M-64.1M-121.9K0.3028.83N/AN/A882645,85616,221
2014-07-22$25.12$24.0020.2%5.5%11.9%21.0%0.0%0.7%-2.1%4.5M-65.8M-121.2K0.5232.77N/AN/A43322745,89916,247
2014-07-23$25.00$24.0020.2%5.4%11.9%20.9%20.5%1.3%-2.0%4.6M-61.2M-118.7K1.3728.76N/AN/A192646,04516,472
2014-07-24$25.16$24.0020.7%5.5%11.3%22.5%0.0%0.8%-2.7%4.7M-65.2M-115.6K0.5231.96N/AN/A25813546,14016,496
2014-07-25$24.87$24.0019.7%5.4%12.0%19.4%0.0%-0.2%-1.3%4.6M-57.1M-115.6K0.4727.43N/AN/A1316146,20816,580
2014-07-28$25.15$24.0021.2%5.4%12.3%23.9%0.0%0.6%-3.4%4.8M-64.9M-104.4K0.2131.98N/AN/A81017346,19916,661
2014-07-29$24.98$24.0022.7%5.5%12.2%28.6%0.0%-0.1%-2.9%4.6M-61.1M-113.9K0.0036.47N/AN/A20,5613446,74316,682
2014-07-30$24.56$24.0022.9%5.6%13.3%29.2%19.6%-2.6%-2.7%5.4M-55.5M-144.5K0.0636.37N/AN/A1,3738264,94116,702
2014-07-31$24.32$24.0023.7%5.7%12.1%31.6%0.0%-3.8%-3.7%4.9M-48.1M-134.3K0.2428.36N/AN/A67016165,11816,773