CNP Options History — March 2015

In March 2015, CNP traded between $20.36 and $21.35. ATM implied volatility averaged 19.7%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.7% (HV 20d: 24.5%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-03-05: Highest Volume — 6,161 contracts
  • 2015-03-09: Largest IV spike — 19.7% change
  • 2015-03-11: Highest IV Rank — 26.4%
  • 2015-03-11: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.73$20.36$21.35$20.72$20.36
Max Pain$20.32$20.00$21.00$21.00$21.00
ATM IV19.7%17.1%21.9%20.8%21.4%
Expected Move5.7%4.9%6.3%6.0%6.2%
HV 20d24.5%19.4%31.9%31.4%20.6%
HV 60d26.6%25.3%28.0%28.0%25.5%
IV Rank20.9%14.4%26.4%23.6%25.1%
IV Percentile48.6%26.6%69.0%57.5%65.5%
Term Structure2.1%-1.1%4.4%-0.2%2.1%
VWIV19.5%16.7%21.8%18.4%20.5%
Skew 25d3.6%1.1%7.0%1.1%1.8%
Skew 10d4.7%-4.9%13.5%-4.5%-0.5%
Call IV 25d18.6%14.1%23.0%22.1%18.3%
Put IV 25d22.2%19.5%24.7%23.3%20.1%
Bid-Ask Spread %26.1115.8652.3318.8146.93
Gamma HHI0.360.170.650.310.35
Net GEX10.4K-755.6K421.3K-722333.4K
Net DEX2.6M-5.8M7.6M3.0M3.2M
Net VEX-43.0K-48.1K-36.8K-42.8K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.111.790.340.57
Total Volume1,4611266,1611,6441,260
Total OI20,462.512,95124,12717,81920,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$20.72$21.0020.8%6.0%31.4%23.6%18.4%1.1%-0.2%-7223.0M-42.8K0.3418.81N/AN/A1,22941512,2555,564
2015-03-03$20.81$21.0020.4%5.9%31.5%22.6%17.2%2.8%-1.0%18.0K2.5M-43.7K0.3119.17N/AN/A1,28439912,5945,620
2015-03-04$20.76$21.0021.3%6.1%31.5%24.7%18.7%1.2%-1.1%-6.1K3.0M-42.0K0.3215.86N/AN/A1,18437912,5745,635
2015-03-05$20.96$20.0019.1%5.6%31.9%19.3%20.0%3.0%2.0%-28.8K2.1M-44.0K0.6521.87N/AN/A3,7302,43112,5715,675
2015-03-06$20.60$20.0017.2%5.6%31.2%14.6%20.6%4.5%2.6%-44.8K4.4M-47.4K0.7424.09N/AN/A3,3802,49115,1737,674
2015-03-09$20.73$20.0020.6%5.5%27.8%23.1%20.1%3.8%3.1%-91.1K4.4M-47.0K0.7519.86N/AN/A17112915,1077,766
2015-03-10$20.64$20.0021.4%5.7%27.8%25.0%21.1%5.7%1.3%-89.4K4.4M-47.2K0.5419.43N/AN/A1075815,2197,883
2015-03-11$20.46$20.0021.9%6.3%26.2%26.4%20.0%3.9%2.2%-78.2K6.6M-42.8K0.4724.38N/AN/A864015,2167,899
2015-03-12$20.74$20.0019.7%5.6%21.5%20.7%20.1%4.3%2.1%-215.7K5.3M-44.5K0.1121.61N/AN/A4364615,2577,929
2015-03-13$20.54$20.0020.5%5.9%19.7%22.8%21.5%4.0%1.9%-260.8K7.6M-39.8K1.1420.95N/AN/A14716715,2617,933
2015-03-16$20.70$20.0019.8%5.7%19.6%21.0%19.8%3.9%2.3%-530.9K7.0M-40.4K0.9527.74N/AN/A50247615,3618,058
2015-03-17$20.70$20.0019.6%5.6%19.4%20.4%19.6%3.6%2.9%-556.5K6.8M-40.8K0.4323.19N/AN/A1205215,5588,376
2015-03-18$21.35$20.0018.9%5.4%21.8%18.7%19.3%3.3%3.4%114.2K-2.8M-44.9K0.7328.36N/AN/A785715,6618,411
2015-03-19$20.84$20.0018.9%5.4%22.8%18.9%19.0%3.0%2.3%-755.6K4.6M-40.8K1.7944.22N/AN/A9216515,6988,429
2015-03-20$21.17$20.0018.5%5.3%23.5%17.8%18.8%3.9%2.4%316.9K-5.8M-40.9K0.4923.09N/AN/A964715,7108,348
2015-03-23$20.91$20.0019.3%5.5%23.8%19.7%17.5%3.7%2.1%272.3K-735.6K-36.8K0.1728.18N/AN/A8311439,7403,211
2015-03-24$20.79$20.0018.9%5.4%23.0%18.9%18.9%7.0%2.7%332.9K-901.1K-37.9K0.2421.58N/AN/A62114910,2863,251
2015-03-25$20.58$20.0019.0%5.5%22.3%19.1%19.0%5.3%2.5%333.3K-449.9K-36.8K0.9821.16N/AN/A2,7032,65010,6643,320
2015-03-26$20.43$21.0021.1%6.0%20.4%24.2%21.2%1.7%3.1%325.2K1.9M-45.9K0.2921.40N/AN/A1,56945013,3265,865
2015-03-27$20.62$21.0017.1%4.9%20.3%14.4%16.7%4.2%4.4%421.0K832.0K-48.1K0.1230.31N/AN/A1301614,0135,925
2015-03-30$20.61$21.0018.7%5.4%20.3%18.3%21.8%4.4%3.5%421.3K244.4K-47.5K0.5252.33N/AN/A1,06855814,0525,941
2015-03-31$20.36$21.0021.4%6.2%20.6%25.1%20.5%1.8%2.1%333.4K3.2M-43.1K0.5746.93N/AN/A80145914,0616,105