CNP Options History — October 2014 In October 2014, CNP traded between $22.16 and $24.74. ATM implied volatility averaged 23.7%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.2% (HV 20d: 21.5%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.89.
Notable Days 2014-10-08 : Highest Volume — 5,701 contracts2014-10-13 : Largest IV spike — 122.0% change2014-10-15 : Highest IV Rank — 100.0%2014-10-16 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $23.92 $22.16 $24.74 $24.54 $24.53 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 23.7% 16.0% 51.5% 18.0% 20.5% Expected Move 6.1% 5.3% 7.2% 5.6% 5.7% HV 20d 21.5% 12.4% 28.3% 12.9% 27.9% HV 60d 17.1% 13.6% 19.8% 13.6% 18.8% IV Rank 32.4% 13.4% 100.0% 19.1% 22.7% IV Percentile 49.2% 10.7% 100.0% 25.4% 36.9% Term Structure -1.3% -5.4% 3.4% 1.8% 0.5% VWIV 22.1% 19.4% 25.9% 19.4% 21.6% Skew 25d 3.2% -2.2% 7.4% -2.2% 4.9% Skew 10d 5.1% -7.4% 15.5% -7.4% 4.6% Call IV 25d 20.9% 14.2% 29.0% 19.1% 19.9% Put IV 25d 24.2% 16.9% 32.6% 16.9% 24.8% Bid-Ask Spread % 39.32 27.73 56.73 41.15 33.24 Gamma HHI 0.28 0.19 0.34 0.30 0.32 Net GEX 3.3M 279.0K 5.4M 4.6M 4.7M Net DEX -23.1M -45.7M 10.7M -41.2M -32.5M Net VEX -138.3K -184.9K -95.2K -184.9K -113.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.06 12.74 1.11 0.22 Total Volume 2,383.043 147 5,701 940 3,067 Total OI 61,737.174 56,495 66,426 63,121 58,167
Daily Data (23 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 2014-10-01 $24.54 $22.00 18.0% 5.6% 12.9% 19.1% 19.4% -2.2% 1.8% 4.6M -41.2M -184.9K 1.11 41.15 N/A N/A 446 494 48,561 14,560 2014-10-02 $24.53 $22.00 16.5% 5.5% 12.8% 14.6% 20.9% 2.8% 3.0% 4.7M -39.8M -182.1K 0.15 30.24 N/A N/A 128 19 48,818 14,785 2014-10-03 $24.73 $22.00 16.0% 5.4% 12.5% 13.4% 0.0% 3.7% 3.4% 5.2M -45.7M -180.1K 0.06 36.75 N/A N/A 1,010 60 48,622 14,793 2014-10-06 $24.62 $22.00 17.9% 5.5% 12.4% 18.7% 0.0% 3.2% -1.0% 5.2M -42.7M -173.7K 0.16 27.73 N/A N/A 194 31 49,358 14,796 2014-10-07 $24.48 $22.00 18.8% 5.7% 12.4% 21.4% 23.0% 2.1% -1.4% 4.9M -38.8M -168.4K 0.28 32.85 N/A N/A 432 119 49,536 14,797 2014-10-08 $24.74 $22.00 17.1% 5.3% 12.9% 16.4% 19.7% 2.5% -1.5% 5.4M -43.6M -175.3K 0.32 46.56 N/A N/A 4,310 1,391 49,838 14,916 2014-10-09 $24.21 $22.00 17.9% 5.7% 14.9% 18.8% 19.7% 2.8% -1.1% 3.9M -29.0M -161.4K 0.13 42.33 N/A N/A 4,164 537 49,671 15,783 2014-10-10 $24.17 $22.00 17.4% 5.8% 13.0% 17.4% 20.1% 1.9% -1.8% 3.5M -26.3M -156.3K 0.17 40.57 N/A N/A 3,032 502 49,625 15,765 2014-10-13 $23.16 $22.00 38.7% 6.2% 19.9% 78.6% 21.1% 7.4% -5.4% 1.5M -8.9M -136.5K 0.22 42.05 N/A N/A 2,763 605 49,632 15,763 2014-10-14 $22.92 $22.00 35.5% 6.4% 19.8% 69.4% 21.1% 2.0% -3.2% 1.1M -1.3M -120.9K 0.24 39.76 N/A N/A 2,244 536 50,196 15,912 2014-10-15 $22.16 $22.00 51.5% 7.1% 22.6% 100.0% 24.4% 4.0% -2.9% 390.1K 10.7M -95.2K 0.35 56.73 N/A N/A 2,330 814 50,180 16,002 2014-10-16 $22.55 $22.00 29.0% 7.2% 23.9% 44.1% 25.9% 0.7% -3.7% 766.8K 3.4M -114.0K 1.98 44.51 N/A N/A 190 377 50,083 15,948 2014-10-17 $23.17 $22.00 25.5% 7.1% 26.2% 35.2% 24.9% 2.6% -1.3% 279.0K -3.6M -121.0K 12.74 46.55 N/A N/A 43 548 50,204 16,222 2014-10-20 $23.55 $22.00 24.5% 6.5% 26.9% 32.8% 23.6% 4.1% -1.5% 2.5M -15.3M -128.0K 0.31 42.90 N/A N/A 2,557 802 44,058 12,437 2014-10-21 $23.92 $22.00 22.5% 6.4% 27.5% 27.8% 23.3% 5.5% -1.5% 3.1M -20.5M -129.9K 0.47 38.72 N/A N/A 1,955 916 44,327 12,439 2014-10-22 $23.54 $22.00 22.7% 6.5% 28.1% 28.2% 22.9% 4.1% -1.0% 2.7M -15.9M -118.9K 0.28 37.28 N/A N/A 1,955 554 44,421 12,535 2014-10-23 $23.79 $22.00 21.6% 6.2% 28.3% 25.5% 22.2% 2.5% 0.3% 3.1M -18.7M -123.1K 0.24 32.43 N/A N/A 2,477 601 44,475 12,699 2014-10-24 $23.99 $22.00 21.9% 6.2% 27.6% 26.3% 22.1% 2.4% -0.9% 3.3M -20.1M -122.2K 0.23 37.12 N/A N/A 2,045 467 45,066 12,881 2014-10-27 $24.02 $22.00 22.7% 6.2% 27.6% 28.3% 22.2% 3.6% -2.1% 3.4M -20.8M -118.0K 0.22 31.80 N/A N/A 2,069 450 45,024 12,897 2014-10-28 $24.26 $22.00 22.8% 6.0% 27.9% 28.5% 21.8% 6.2% -2.7% 3.9M -26.0M -120.4K 0.22 38.93 N/A N/A 2,027 452 45,047 12,923 2014-10-29 $24.22 $22.00 23.3% 6.0% 27.9% 29.7% 21.6% 4.0% -3.3% 3.8M -25.2M -118.5K 0.24 48.58 N/A N/A 1,892 459 45,146 12,933 2014-10-30 $24.42 $22.00 22.4% 6.1% 28.0% 27.6% 22.1% 3.3% -2.1% 4.3M -29.3M -117.4K 0.20 35.71 N/A N/A 2,286 460 45,176 12,938 2014-10-31 $24.53 $22.00 20.5% 5.7% 27.9% 22.7% 21.6% 4.9% 0.5% 4.7M -32.5M -113.9K 0.22 33.24 N/A N/A 2,508 559 45,219 12,948
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