CNP Options History — September 2014

In September 2014, CNP traded between $23.85 and $25.02. ATM implied volatility averaged 16.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.8% (HV 20d: 12.4%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2014-09-19: Highest Volume — 8,403 contracts
  • 2014-09-11: Largest IV spike — 49.9% change
  • 2014-09-29: Highest IV Rank — 18.6%
  • 2014-09-04: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.42$23.85$25.02$24.74$24.47
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV16.2%11.4%17.8%16.8%17.0%
Expected Move5.6%5.5%5.8%5.7%5.6%
HV 20d12.4%10.7%15.8%15.8%13.1%
HV 60d14.1%13.6%14.9%14.6%13.6%
IV Rank12.3%0.0%18.6%10.6%16.2%
IV Percentile12.1%0.0%23.4%12.3%18.7%
Term Structure3.0%1.1%4.7%1.1%4.7%
VWIV20.4%18.7%23.3%19.6%19.8%
Skew 25d1.3%-1.0%3.7%1.8%0.2%
Skew 10d2.9%-1.9%18.7%3.7%0.7%
Call IV 25d16.1%12.7%18.1%14.2%16.7%
Put IV 25d17.4%15.6%19.0%16.0%16.8%
Bid-Ask Spread %28.3824.0740.0928.4540.09
Gamma HHI0.350.210.830.280.30
Net GEX7.6M1.9M27.7M7.4M4.3M
Net DEX-56.2M-90.2M-14.5M-77.7M-37.2M
Net VEX-190.9K-242.2K-142.2K-242.2K-177.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.011.190.300.12
Total Volume2,126.4761448,4038281,723
Total OI91,597.28652,365110,057106,94262,075

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$24.74$22.0016.8%5.7%15.8%10.6%19.6%1.8%1.1%7.4M-77.7M-242.2K0.3028.45N/AN/A63819080,84626,096
2014-09-03$24.88$22.0015.5%5.7%13.7%6.7%0.0%3.7%2.7%7.6M-84.4M-239.2K0.0230.33N/AN/A1,6823781,23326,266
2014-09-04$24.75$22.0015.7%5.8%12.3%7.3%19.5%2.2%2.1%8.1M-78.3M-231.7K0.0931.71N/AN/A2322181,03926,267
2014-09-05$25.02$22.0014.2%5.7%12.0%2.7%0.0%1.5%2.7%7.8M-90.2M-228.4K0.0927.24N/AN/A1,83616681,24526,267
2014-09-08$24.85$22.0015.4%5.6%10.7%6.3%20.5%0.1%2.9%8.3M-85.9M-215.1K0.3424.07N/AN/A2659182,42126,293
2014-09-09$24.69$22.0015.1%5.6%11.1%5.6%0.0%1.7%1.7%8.1M-80.4M-217.7K0.2026.23N/AN/A4669282,61426,264
2014-09-10$24.61$22.0011.4%5.6%11.2%0.0%0.0%0.6%2.3%8.7M-76.2M-208.1K1.1924.77N/AN/A11513782,93426,296
2014-09-11$24.75$22.0017.0%5.6%11.0%16.3%20.3%1.0%2.3%8.3M-82.0M-206.3K0.1024.53N/AN/A5855982,97326,335
2014-09-12$24.25$22.0017.3%5.7%12.7%17.1%0.0%1.1%3.4%8.7M-59.8M-202.3K0.0528.05N/AN/A4,35723583,29826,345
2014-09-15$24.27$22.0017.7%5.7%12.7%18.3%18.7%2.8%2.8%9.6M-58.2M-189.7K0.1026.83N/AN/A1,84318482,98326,432
2014-09-16$24.43$22.0017.5%5.7%12.8%17.6%0.0%2.0%2.8%9.2M-68.8M-188.1K0.4925.91N/AN/A1286383,51626,470
2014-09-17$24.36$22.0016.4%5.8%12.3%14.6%21.8%3.7%4.0%9.6M-65.7M-179.1K0.2131.35N/AN/A2,63256483,55526,502
2014-09-18$24.22$22.0016.4%5.7%12.3%14.6%0.0%1.4%3.8%10.3M-55.1M-170.9K0.8226.54N/AN/A796581,17726,615
2014-09-19$24.06$22.0016.1%5.6%12.5%13.7%0.0%1.8%3.7%27.7M-49.7M-159.7K0.0126.13N/AN/A8,3396481,17026,532
2014-09-22$23.85$22.0015.5%5.5%12.6%11.9%19.7%1.8%4.2%1.9M-14.9M-142.2K0.0829.06N/AN/A4,63837038,31614,049
2014-09-23$23.86$22.0016.2%5.5%11.8%14.0%21.8%0.0%3.0%2.0M-14.5M-146.9K0.0127.91N/AN/A5,3886339,40314,364
2014-09-24$23.87$22.0016.2%5.5%11.4%13.9%0.0%0.2%3.4%2.5M-18.2M-155.3K0.0327.60N/AN/A6741943,02914,417
2014-09-25$23.94$22.0016.6%5.5%11.4%14.9%0.0%1.5%2.5%2.7M-18.8M-155.5K0.3131.00N/AN/A34710943,35014,436
2014-09-26$24.39$22.0017.5%5.6%13.1%17.7%18.9%-1.0%3.5%3.4M-29.6M-171.6K0.0428.68N/AN/A5,61423543,60114,467
2014-09-29$24.46$22.0017.8%5.6%13.1%18.6%23.3%0.0%2.9%4.1M-35.0M-181.6K0.4129.54N/AN/A2219047,50514,547
2014-09-30$24.47$22.0017.0%5.6%13.1%16.2%19.8%0.2%4.7%4.3M-37.2M-177.6K0.1240.09N/AN/A1,53718647,56814,507