CNP Options History — November 2014

In November 2014, CNP traded between $23.94 and $25.39. ATM implied volatility averaged 18.3%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 4.1% (HV 20d: 22.4%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.72.

Notable Days

  • 2014-11-11: Highest Volume — 25,422 contracts
  • 2014-11-13: Largest IV spike — 27.9% change
  • 2014-11-03: Highest IV Rank — 27.3%
  • 2014-11-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.59$23.94$25.39$24.88$23.94
Max Pain$22.63$22.00$23.00$22.00$23.00
ATM IV18.3%14.8%22.3%22.3%16.4%
Expected Move5.6%5.3%5.9%5.9%5.3%
HV 20d22.4%18.7%29.1%28.3%19.0%
HV 60d19.9%18.6%20.6%18.6%20.6%
IV Rank17.3%8.6%27.3%27.3%12.6%
IV Percentile26.7%3.6%51.2%51.2%15.1%
Term Structure-0.1%-3.3%1.3%-3.3%0.7%
VWIV20.3%17.5%21.6%21.5%17.5%
Skew 25d2.2%-1.7%6.1%3.1%6.1%
Skew 10d4.2%-5.7%11.5%10.3%6.6%
Call IV 25d17.3%11.5%22.4%21.8%11.5%
Put IV 25d19.5%17.5%24.9%24.9%17.5%
Bid-Ask Spread %31.6424.5748.3833.7926.41
Gamma HHI0.400.290.660.310.29
Net GEX3.2M408.6K6.9M5.3M562.1K
Net DEX-22.0M-56.6M-801.6K-42.7M-4.2M
Net VEX-71.4K-116.7K-45.4K-116.7K-46.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.018.420.260.01
Total Volume4,489.73711325,4223,812113
Total OI45,667.21112,92560,46858,58914,085

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$24.88$22.0022.3%5.9%28.3%27.3%21.5%3.1%-3.3%5.3M-42.7M-116.7K0.2633.79N/AN/A3,01979345,58113,008
2014-11-04$24.66$22.0021.6%5.8%28.5%25.5%21.6%-1.7%-2.1%5.2M-36.3M-109.5K0.3234.34N/AN/A4,7791,51545,57013,137
2014-11-05$25.17$22.0020.2%5.8%29.1%22.0%19.8%0.5%-1.7%6.0M-48.6M-109.3K0.2435.00N/AN/A4,2621,03446,19313,861
2014-11-06$24.92$22.0018.9%5.6%28.2%18.7%20.2%4.9%0.1%5.9M-42.2M-103.9K0.3231.53N/AN/A3,2841,03546,53913,877
2014-11-07$25.20$22.0018.4%5.5%28.4%17.6%21.4%2.5%-0.0%6.6M-51.5M-97.8K0.3826.63N/AN/A1,54959346,57213,876
2014-11-10$25.39$22.0020.4%5.6%23.0%22.4%20.9%1.9%0.3%6.9M-56.6M-91.5K0.4137.58N/AN/A1,97380546,56913,899
2014-11-11$25.31$22.0020.0%5.5%22.5%21.4%19.8%2.7%0.1%6.8M-55.3M-89.5K0.0727.63N/AN/A23,6901,73246,52013,649
2014-11-12$24.58$23.0014.8%5.6%21.5%8.6%21.3%2.3%1.2%3.6M-15.3M-70.2K0.4028.61N/AN/A4,4531,79534,58514,352
2014-11-13$24.17$23.0018.9%5.8%22.3%18.8%21.6%2.6%-0.3%1.5M-5.7M-59.9K0.4035.57N/AN/A3,8201,54135,15214,137
2014-11-14$24.04$23.0017.4%5.8%20.7%15.0%19.2%1.8%1.3%749.5K-801.6K-54.9K0.4129.19N/AN/A64326334,18914,163
2014-11-17$24.38$23.0019.1%5.7%20.5%19.2%20.8%2.8%-1.0%2.4M-9.1M-60.0K0.2424.98N/AN/A3,81593335,09514,321
2014-11-18$24.61$23.0017.9%5.5%20.1%16.3%20.6%1.9%-0.6%3.6M-12.6M-58.3K0.2228.39N/AN/A3,81584935,30914,406
2014-11-19$24.38$23.0018.0%5.8%19.4%16.6%0.0%0.9%-0.0%1.3M-3.9M-50.5K8.4248.38N/AN/A3832034,38614,427
2014-11-20$24.33$23.0017.3%5.7%19.2%14.7%20.5%0.2%0.7%408.6K-5.0M-48.1K0.2345.11N/AN/A3,78085235,29414,259
2014-11-21$24.36$23.0016.7%5.5%19.0%13.2%19.8%1.1%0.8%2.4M-8.5M-50.7K0.1930.00N/AN/A3,73872535,35914,354
2014-11-24$24.35$23.0016.9%5.5%19.0%13.8%18.0%2.7%0.7%689.5K-6.1M-45.4K0.6826.60N/AN/A4633178,8124,113
2014-11-25$24.33$23.0016.6%5.4%18.7%13.1%20.4%2.3%0.8%681.3K-7.0M-47.3K0.4426.94N/AN/A1,8698299,7834,418
2014-11-26$24.27$23.0016.4%5.3%18.7%12.7%17.5%2.8%0.9%699.9K-5.8M-47.8K0.0524.57N/AN/A259129,3754,452
2014-11-28$23.94$23.0016.4%5.3%19.0%12.6%0.0%6.1%0.7%562.1K-4.2M-46.1K0.0126.41N/AN/A11219,6254,460