CNP Options History — December 2014

In December 2014, CNP traded between $21.56 and $24.33. ATM implied volatility averaged 18.2%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 5.0% (HV 20d: 23.2%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2014-12-29: Highest Volume — 3,352 contracts
  • 2014-12-29: Largest IV spike — 33.0% change
  • 2014-12-15: Highest IV Rank — 30.5%
  • 2014-12-12: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.21$21.56$24.33$23.52$23.43
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV18.2%14.1%23.6%17.5%18.2%
Expected Move5.7%5.1%6.4%5.4%5.8%
HV 20d23.2%18.3%28.6%19.8%28.6%
HV 60d23.1%20.7%25.5%20.7%25.5%
IV Rank17.0%6.7%30.5%15.3%17.0%
IV Percentile30.5%1.2%67.9%27.0%36.5%
Term Structure1.3%-1.7%7.1%0.1%1.9%
VWIV20.0%17.3%22.1%20.8%20.2%
Skew 25d2.0%-4.4%8.1%-0.3%-4.4%
Skew 10d4.3%-7.0%46.3%-7.0%-0.3%
Call IV 25d17.6%13.1%23.0%19.0%17.8%
Put IV 25d19.5%13.4%24.8%18.7%13.4%
Bid-Ask Spread %32.0020.8755.6028.1529.88
Gamma HHI0.270.220.330.250.26
Net GEX248.5K-116.9K879.1K397.8K368.2K
Net DEX-1.5M-8.4M5.1M-3.1M-2.5M
Net VEX-38.3K-45.8K-28.9K-42.1K-39.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.022.760.331.20
Total Volume2,185.636943,3522,387101
Total OI15,228.68214,56315,85314,67015,760

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$23.52$23.0017.5%5.4%19.8%15.3%20.8%-0.3%0.1%397.8K-3.1M-42.1K0.3328.15N/AN/A1,79858910,2104,460
2014-12-02$23.77$23.0017.2%5.3%19.4%14.6%20.6%0.7%-0.9%485.8K-4.1M-43.2K0.3428.62N/AN/A1,87363010,1254,527
2014-12-03$24.09$23.0017.4%5.3%20.0%15.0%20.7%1.1%0.1%645.4K-6.0M-45.8K0.4220.87N/AN/A1,76774010,3474,586
2014-12-04$23.92$23.0016.8%5.2%18.4%13.5%18.5%6.4%-0.2%580.4K-3.9M-44.5K2.7624.82N/AN/A25699,8564,710
2014-12-05$23.53$23.0014.1%5.2%18.9%6.7%18.8%1.9%1.4%353.6K-2.8M-41.9K0.3327.09N/AN/A1,76459010,4004,730
2014-12-08$23.32$23.0016.7%5.6%18.3%13.3%19.4%0.6%2.8%216.4K-1.4M-40.3K0.3921.67N/AN/A1,92275310,4344,829
2014-12-09$23.50$23.0017.8%5.8%18.3%15.9%19.8%0.8%3.0%243.0K-2.2M-42.0K0.3425.99N/AN/A1,73259610,4024,986
2014-12-10$22.63$23.0019.6%5.7%21.9%20.5%20.4%2.2%-0.4%-25.4K1.5M-37.2K0.3532.46N/AN/A1,79863410,4344,965
2014-12-11$22.57$23.0019.5%5.8%20.0%20.3%20.4%2.6%0.9%-52.6K1.7M-36.2K0.3127.36N/AN/A2,06063210,4524,970
2014-12-12$22.06$23.0021.6%6.4%20.6%25.5%21.4%1.3%0.9%-73.2K3.4M-33.8K0.3838.96N/AN/A1,79868910,4005,004
2014-12-15$21.56$23.0023.6%6.3%21.6%30.5%22.1%1.8%-1.7%-110.1K5.1M-28.9K0.3625.55N/AN/A1,92969510,4645,073
2014-12-16$21.71$23.0023.1%6.4%20.9%29.2%21.1%5.3%-0.1%-116.9K4.4M-31.3K0.3626.94N/AN/A1,96270410,5435,136
2014-12-17$22.49$23.0020.4%6.3%25.0%22.6%22.0%8.1%1.7%-115.4K2.6M-34.7K0.4054.11N/AN/A1,87575310,5915,158
2014-12-18$22.94$23.0018.7%5.7%26.4%18.3%21.9%2.9%1.0%-58.5K695.5K-36.9K0.4033.64N/AN/A1,85274810,6965,157
2014-12-19$23.10$23.0018.7%5.7%26.6%18.2%18.5%0.8%1.0%-45.1K638.3K-37.0K0.0231.80N/AN/A112210,1725,128
2014-12-22$23.25$23.0015.5%5.6%26.8%10.3%20.5%0.5%7.1%73.5K-1.4M-36.1K0.3238.87N/AN/A2,0586509,9044,659
2014-12-23$23.46$23.0015.7%5.7%27.1%10.7%19.1%0.6%3.8%197.1K-2.7M-36.0K0.3455.60N/AN/A2,01669410,0594,664
2014-12-24$23.76$23.0015.6%5.1%27.6%10.6%19.1%4.3%1.9%291.1K-4.2M-36.1K0.3328.51N/AN/A2,13169410,2564,690
2014-12-26$23.92$23.0014.8%5.3%27.7%8.5%18.2%3.6%3.6%619.7K-5.7M-38.1K0.3128.95N/AN/A2,27769610,4544,690
2014-12-29$24.33$23.0019.7%5.7%27.9%20.7%19.0%1.8%-0.0%879.1K-8.4M-41.2K0.3028.60N/AN/A2,57278010,7214,746
2014-12-30$23.82$23.0017.9%5.5%28.3%16.4%17.3%0.3%1.3%713.6K-5.0M-40.8K0.2045.63N/AN/A2715310,6334,850
2014-12-31$23.43$23.0018.2%5.8%28.6%17.0%20.2%-4.4%1.9%368.2K-2.5M-39.2K1.2029.88N/AN/A465510,8574,903