CNP Options History — August 2014

In August 2014, CNP traded between $23.56 and $24.84. ATM implied volatility averaged 20.8%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.5% (HV 20d: 16.3%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-08-12: Highest Volume — 73,428 contracts
  • 2014-08-13: Largest IV drop — 36.1% change
  • 2014-08-06: Highest IV Rank — 50.0%
  • 2014-08-06: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.44$23.56$24.84$24.49$24.84
Max Pain$22.76$22.00$24.00$24.00$22.00
ATM IV20.8%15.0%29.7%24.4%15.0%
Expected Move6.1%5.7%6.6%5.9%5.7%
HV 20d16.3%12.4%17.6%12.4%15.8%
HV 60d14.3%13.6%14.9%13.7%14.6%
IV Rank22.8%5.1%50.0%33.7%5.1%
IV Percentile32.9%3.2%85.7%57.5%3.2%
Term Structure0.9%-4.8%3.0%-4.8%3.0%
VWIV22.1%20.0%23.7%23.2%20.7%
Skew 25d0.0%-2.5%6.0%6.0%-1.7%
Skew 10d0.4%-8.3%16.8%16.8%-4.3%
Call IV 25d20.7%17.0%26.4%20.9%17.0%
Put IV 25d20.7%15.0%26.9%26.9%15.3%
Bid-Ask Spread %28.9624.0539.4831.0128.24
Gamma HHI0.290.220.410.310.30
Net GEX6.8M3.2M9.2M5.3M8.1M
Net DEX-70.7M-92.9M-23.0M-53.2M-88.1M
Net VEX-256.6K-339.7K-121.3K-138.2K-253.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.0116.250.110.01
Total Volume8,293.38114673,4281848,899
Total OI110,996.95281,798132,24081,824109,529

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$24.49$24.0024.4%5.9%12.4%33.7%23.2%6.0%-4.8%5.3M-53.2M-138.2K0.1131.01N/AN/A1661864,99316,831
2014-08-04$24.45$24.0025.3%5.8%12.4%36.4%21.8%0.8%0.4%5.1M-49.4M-121.3K16.2530.11N/AN/A4968,05864,96016,838
2014-08-05$23.94$24.0025.5%5.9%14.3%37.1%0.0%-0.1%0.7%3.2M-30.8M-131.8K0.0133.29N/AN/A799865,07624,890
2014-08-06$23.56$24.0029.7%6.6%15.0%50.0%23.7%0.4%-0.2%3.2M-23.0M-139.1K0.0239.48N/AN/A39,94573765,40324,893
2014-08-07$23.88$24.0026.6%6.4%15.8%40.5%22.2%-1.2%-0.2%6.9M-65.5M-250.9K0.1026.78N/AN/A3,85437398,77325,396
2014-08-08$24.33$24.0024.9%6.5%17.4%35.2%22.3%-1.1%-0.1%7.5M-86.2M-259.2K0.1526.85N/AN/A2,62839699,97025,757
2014-08-11$24.36$24.0023.3%6.4%17.1%30.5%23.6%-0.8%0.2%7.4M-84.7M-238.4K0.1627.28N/AN/A1,955319100,67825,893
2014-08-12$24.39$24.0027.9%6.4%16.9%44.5%23.6%0.0%0.5%7.8M-88.3M-239.8K0.0928.23N/AN/A67,2016,227100,07426,154
2014-08-13$24.23$22.0017.8%6.4%17.0%13.8%22.4%-1.1%1.0%6.2M-58.8M-320.0K0.5125.23N/AN/A485246100,09432,146
2014-08-14$24.50$22.0021.0%6.4%17.5%23.3%22.3%1.0%1.9%8.8M-70.1M-312.0K0.1324.05N/AN/A6088099,45632,226
2014-08-15$24.51$22.0021.5%6.1%17.0%25.0%22.5%-0.3%0.1%9.2M-76.9M-318.3K0.2325.19N/AN/A1,17126799,80932,226
2014-08-18$24.39$22.0019.9%6.3%17.0%20.0%21.1%0.7%1.1%6.2M-69.9M-290.3K0.3831.29N/AN/A7,4102,79276,86619,423
2014-08-19$24.65$22.0018.0%5.9%17.6%14.2%20.8%-1.1%1.3%7.7M-81.2M-297.2K0.4331.03N/AN/A10,7444,66883,84822,172
2014-08-20$24.73$22.0017.1%6.0%17.6%11.7%0.0%1.1%1.9%6.6M-77.4M-313.9K0.3224.62N/AN/A71923082,59426,191
2014-08-21$24.69$22.0017.0%5.9%17.4%11.4%21.0%0.2%1.3%7.9M-92.9M-339.7K0.3933.53N/AN/A35313693,35128,036
2014-08-22$24.52$22.0016.7%5.9%17.1%10.2%0.0%0.5%2.1%6.9M-71.8M-306.2K0.1526.43N/AN/A3405082,80626,180
2014-08-25$24.79$22.0016.6%5.8%17.0%10.0%20.0%1.8%1.5%6.9M-80.3M-291.3K0.0430.58N/AN/A3391582,94526,188
2014-08-26$24.56$22.0017.0%5.8%17.2%11.2%20.7%-2.5%1.5%7.1M-72.9M-286.6K0.4827.79N/AN/A29914483,24126,194
2014-08-27$24.63$22.0015.9%5.8%16.1%8.0%0.0%-1.6%2.7%7.5M-75.9M-276.7K0.0825.94N/AN/A1351183,29126,077
2014-08-28$24.84$22.0015.6%5.7%15.9%6.9%0.0%-0.2%2.8%7.9M-86.6M-264.5K0.1431.14N/AN/A73710383,40126,067
2014-08-29$24.84$22.0015.0%5.7%15.8%5.1%0.0%-1.7%3.0%8.1M-88.1M-253.9K0.0128.24N/AN/A8,8425783,47126,058