CNP Options History — February 2015

In February 2015, CNP traded between $20.77 and $23.18. ATM implied volatility averaged 21.1%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 7.2% (HV 20d: 28.3%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-02-23: Highest Volume — 5,159 contracts
  • 2015-02-11: Largest IV spike — 49.8% change
  • 2015-02-11: Highest IV Rank — 31.2%
  • 2015-02-11: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.01$20.77$23.18$22.90$20.77
Max Pain$22.37$22.00$23.00$23.00$22.00
ATM IV21.1%15.9%23.9%21.1%19.8%
Expected Move6.2%5.4%6.8%6.0%5.7%
HV 20d28.3%19.6%33.4%24.2%31.4%
HV 60d26.3%23.5%28.2%24.0%28.1%
IV Rank24.2%11.4%31.2%24.2%20.9%
IV Percentile58.5%13.1%82.9%56.0%46.8%
Term Structure0.5%-0.5%3.2%3.2%0.0%
VWIV21.7%17.4%25.1%20.8%20.2%
Skew 25d4.2%0.7%5.9%5.9%0.7%
Skew 10d6.3%-5.7%13.1%3.6%-5.7%
Call IV 25d20.6%16.2%23.2%16.2%21.9%
Put IV 25d24.8%20.4%28.1%22.1%22.6%
Bid-Ask Spread %30.5219.1944.6026.1819.89
Gamma HHI0.250.180.340.270.34
Net GEX168.1K-75.3K437.0K254.6K-75.3K
Net DEX-1.0M-3.9M3.9M-3.2M3.9M
Net VEX-48.9K-54.8K-41.6K-52.4K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.282.320.820.28
Total Volume1,608.7891335,1591331,959
Total OI14,722.73711,98417,12712,98417,091

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$22.90$23.0021.1%6.0%24.2%24.2%20.8%5.9%3.2%254.6K-3.2M-52.4K0.8226.18N/AN/A73609,6723,312
2015-02-03$22.85$23.0020.8%6.0%21.2%23.6%17.4%4.2%0.9%229.7K-2.8M-52.9K0.3723.77N/AN/A8173049,7023,354
2015-02-04$22.77$23.0018.9%5.4%19.6%18.8%17.7%3.4%3.0%228.4K-2.7M-52.1K0.4041.10N/AN/A7362969,8763,377
2015-02-05$23.18$23.0019.8%6.0%20.0%21.0%19.7%5.2%-0.1%298.5K-3.9M-53.6K0.4526.74N/AN/A6572969,9013,390
2015-02-06$22.17$23.0020.8%6.5%24.3%23.6%22.4%3.6%0.3%119.5K-1.0M-48.4K0.7730.68N/AN/A65350410,0463,393
2015-02-09$22.19$23.0019.1%6.6%23.5%19.3%23.0%4.0%-0.5%82.0K-728.1K-46.8K0.6325.47N/AN/A73846210,1043,602
2015-02-10$22.68$23.0015.9%6.2%24.9%11.4%21.8%4.2%-0.3%119.1K-2.0M-49.5K0.3231.22N/AN/A1,47546810,2093,609
2015-02-11$21.62$22.0023.9%6.8%30.1%31.2%23.8%4.9%-0.4%137.0K-862.8K-48.7K0.9029.90N/AN/A94484710,9763,713
2015-02-12$22.10$22.0023.5%6.7%31.3%30.2%24.1%3.5%-0.2%123.9K-1.4M-51.7K0.8336.73N/AN/A87872610,9204,078
2015-02-13$21.76$22.0023.3%6.7%31.7%29.8%25.1%3.8%-0.1%85.7K-625.4K-48.3K0.7526.05N/AN/A87765710,8674,110
2015-02-17$21.57$22.0022.2%6.4%31.1%27.0%23.7%4.9%1.2%34.5K225.2K-45.4K1.0539.81N/AN/A89894610,8994,175
2015-02-18$21.93$22.0023.3%6.7%31.8%29.8%23.8%5.2%-0.4%53.3K-486.8K-47.7K0.8939.17N/AN/A83974811,1704,452
2015-02-19$21.61$22.0022.6%6.5%31.7%27.9%19.9%4.1%0.5%71.4K404.0K-45.7K0.4125.45N/AN/A1305311,4524,457
2015-02-20$21.73$22.0021.4%6.2%31.7%25.2%21.9%4.7%0.5%256.0K387.4K-44.9K0.6839.16N/AN/A1188011,3564,460
2015-02-23$21.69$22.0021.2%6.1%31.6%24.4%22.5%4.8%1.0%248.5K-916.0K-43.6K0.8719.19N/AN/A2,7532,4068,7523,232
2015-02-24$22.03$22.0021.5%6.2%32.2%25.4%24.3%5.0%-0.5%437.0K-3.9M-54.8K2.3244.60N/AN/A1,0422,42210,9475,311
2015-02-25$21.60$22.0020.5%5.9%32.6%22.8%21.6%2.8%0.9%354.7K-1.6M-53.8K0.3028.25N/AN/A1,43643811,3235,317
2015-02-26$21.02$22.0021.1%6.1%33.4%24.4%19.7%5.0%-0.4%135.3K1.7M-48.0K0.3126.52N/AN/A1,39443711,7965,331
2015-02-27$20.77$22.0019.8%5.7%31.4%20.9%20.2%0.7%0.0%-75.3K3.9M-41.6K0.2819.89N/AN/A1,53642311,6955,396