CNP Options History — January 2015

In January 2015, CNP traded between $22.37 and $23.64. ATM implied volatility averaged 21.5%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 5.5% (HV 20d: 27.0%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2015-01-16: Highest Volume — 2,990 contracts
  • 2015-01-13: Largest IV spike — 35.5% change
  • 2015-01-13: Highest IV Rank — 36.3%
  • 2015-01-06: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.92$22.37$23.64$23.64$23.08
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV21.5%17.4%25.9%17.4%20.7%
Expected Move6.1%5.4%6.8%5.5%5.9%
HV 20d27.0%23.3%32.3%28.4%24.3%
HV 60d24.3%23.3%26.4%25.5%24.0%
IV Rank25.2%14.9%36.3%14.9%23.3%
IV Percentile57.3%29.0%85.3%29.0%53.6%
Term Structure0.7%-1.2%2.5%2.0%1.0%
VWIV21.9%17.1%25.9%20.7%21.7%
Skew 25d4.2%3.0%8.3%5.3%3.9%
Skew 10d9.0%-1.1%16.6%16.6%2.4%
Call IV 25d19.0%13.1%22.5%16.9%18.1%
Put IV 25d23.3%20.7%26.4%22.2%22.0%
Bid-Ask Spread %29.8720.2755.0755.0725.92
Gamma HHI0.360.200.810.270.27
Net GEX-62.3K-1.5M443.3K443.3K308.1K
Net DEX-1.4M-4.6M3.1M-4.1M-4.2M
Net VEX-41.8K-55.3K-31.9K-38.0K-55.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.075.070.240.57
Total Volume1,476.151152,9902,2671,069
Total OI14,519.610,02717,75016,32312,929

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$23.64$23.0017.4%5.5%28.4%14.9%20.7%5.3%2.0%443.3K-4.1M-38.0K0.2455.07N/AN/A1,82544211,4114,912
2015-01-05$22.88$23.0023.5%6.3%30.5%30.2%21.7%3.0%0.3%-111.8K1.1M-34.8K5.0733.22N/AN/A5728910,8754,935
2015-01-06$22.37$23.0023.1%6.8%30.9%29.2%25.9%4.0%-0.9%-292.7K3.1M-31.9K1.0922.47N/AN/A12313410,9015,001
2015-01-07$22.66$23.0022.1%6.2%31.3%26.6%0.0%4.4%1.4%-282.6K1.9M-33.4K0.7043.32N/AN/A775410,9855,092
2015-01-08$23.17$23.0023.2%6.3%32.3%29.4%23.2%3.4%-0.9%142.1K-1.9M-36.0K0.2730.09N/AN/A1,79248711,5625,139
2015-01-09$22.74$23.0023.0%6.0%30.0%29.0%24.6%4.7%0.7%-20.7K-13.5K-37.0K0.3029.88N/AN/A1,94858711,7345,192
2015-01-12$22.77$23.0019.1%6.2%30.0%19.4%23.5%4.1%1.5%-516.0K202.3K-34.5K0.4124.12N/AN/A1,86877311,8375,294
2015-01-13$22.62$23.0025.9%6.0%28.9%36.3%23.9%4.0%2.0%-548.4K1.1M-36.3K0.3627.93N/AN/A1,82165112,0195,705
2015-01-14$22.63$23.0022.1%6.3%27.4%26.7%24.4%4.0%1.0%-1.5M1.0M-35.7K0.2330.26N/AN/A1,90244112,0745,676
2015-01-15$22.65$23.0021.8%6.2%27.4%25.9%22.5%4.4%1.3%-803.4K430.3K-35.8K0.2324.19N/AN/A1,94445311,9515,616
2015-01-16$23.00$23.0022.1%6.3%25.0%26.7%23.7%4.7%0.1%-97.5K-1.0M-36.6K0.0720.31N/AN/A2,80518511,6595,663
2015-01-20$22.89$23.0022.4%6.4%24.0%27.4%17.1%3.7%-0.5%179.3K-2.3M-42.0K0.1825.59N/AN/A429767,3002,727
2015-01-21$23.15$23.0022.1%6.3%24.3%26.9%20.5%3.7%-0.5%222.1K-3.0M-44.4K0.5020.27N/AN/A2251127,5992,793
2015-01-22$22.87$23.0020.1%5.8%24.5%21.8%20.3%4.1%0.6%184.8K-2.4M-44.2K0.2721.58N/AN/A1,4913967,7332,875
2015-01-23$22.99$23.0018.8%5.4%24.4%18.6%19.2%3.9%1.6%252.4K-3.0M-47.3K0.3123.87N/AN/A1,8025638,3182,927
2015-01-26$23.00$23.0019.3%5.5%23.8%19.7%18.2%8.3%2.5%269.6K-3.0M-51.7K0.2428.28N/AN/A93229,2363,128
2015-01-27$23.14$23.0020.5%5.9%23.8%22.7%20.2%3.3%0.5%322.5K-4.1M-53.7K1.4730.68N/AN/A57849,2923,137
2015-01-28$22.75$23.0020.2%5.8%23.3%21.9%23.5%3.5%1.9%241.2K-2.8M-52.3K0.6148.87N/AN/A7604619,3353,200
2015-01-29$23.37$23.0022.1%6.3%24.6%26.8%20.9%4.6%-1.2%350.6K-4.6M-54.6K0.5831.50N/AN/A7754509,3583,272
2015-01-30$23.08$23.0020.7%5.9%24.3%23.3%21.7%3.9%1.0%308.1K-4.2M-55.3K0.5725.92N/AN/A6833869,6173,312