CNP Options History — April 2015

In April 2015, CNP traded between $20.53 and $21.31. ATM implied volatility averaged 22.8%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 21.4%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-04-15: Highest Volume — 10,655 contracts
  • 2015-04-08: Largest IV spike — 50.6% change
  • 2015-04-27: Highest IV Rank — 36.8%
  • 2015-04-27: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.87$20.53$21.31$20.76$20.98
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV22.8%14.8%26.1%17.7%25.7%
Expected Move6.7%5.1%7.5%5.1%7.4%
HV 20d21.4%20.1%23.8%21.9%20.1%
HV 60d24.9%24.2%25.6%25.1%24.9%
IV Rank28.6%8.4%36.8%15.7%35.8%
IV Percentile75.7%3.2%95.6%31.7%94.4%
Term Structure-2.3%-5.6%3.7%3.7%-4.7%
VWIV24.1%17.1%28.7%17.1%27.2%
Skew 25d3.5%-2.3%5.3%1.7%3.8%
Skew 10d7.4%-8.5%16.9%8.8%-1.1%
Call IV 25d22.3%18.5%26.5%18.5%25.3%
Put IV 25d25.7%20.2%29.1%20.2%29.1%
Bid-Ask Spread %27.6016.6997.1897.1816.69
Gamma HHI0.420.340.510.360.41
Net GEX676.7K430.6K994.7K453.0K838.7K
Net DEX-1.7M-8.1M1.8M-26.9K-2.7M
Net VEX-50.8K-60.1K-41.3K-47.9K-57.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0714.920.540.46
Total Volume2,564.85738210,6551,2151,894
Total OI23,454.76220,24227,16520,24227,017

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$20.76$21.0017.7%5.1%21.9%15.7%17.1%1.7%3.7%453.0K-26.9K-47.9K0.5497.18N/AN/A79042514,0636,179
2015-04-02$20.71$21.0017.2%6.3%21.6%14.6%25.4%4.8%-1.1%430.6K1.0M-45.8K0.5723.72N/AN/A85648614,0826,196
2015-04-06$21.06$21.0019.6%6.3%21.5%20.5%23.0%5.0%-0.9%517.9K-3.1M-47.1K0.4123.42N/AN/A1,17948614,1476,261
2015-04-07$20.88$21.0014.8%6.5%21.7%8.4%22.9%5.1%-1.0%569.4K-2.1M-45.0K0.4623.48N/AN/A1,07849114,1956,266
2015-04-08$20.69$21.0022.2%6.4%21.9%27.1%24.5%4.7%-0.5%566.6K59.0K-44.9K14.9223.91N/AN/A2435814,5466,258
2015-04-09$20.53$21.0023.3%6.7%21.8%29.8%24.5%4.2%-1.5%456.2K1.6M-44.2K0.8119.35N/AN/A98179014,5446,594
2015-04-10$20.76$21.0022.1%6.3%21.6%26.9%23.6%5.2%-1.4%528.8K302.1K-45.6K0.8019.41N/AN/A92173814,5806,632
2015-04-13$20.56$21.0022.1%6.3%21.6%26.7%22.5%3.8%-0.6%437.8K1.8M-41.7K0.6926.46N/AN/A1,08074214,6496,632
2015-04-14$20.72$21.0021.7%6.2%21.6%25.7%21.7%3.9%-0.3%558.4K1.4M-41.3K0.6620.31N/AN/A1,10873614,8826,637
2015-04-15$21.31$21.0024.2%6.9%23.8%32.1%23.5%2.7%-2.6%622.8K-8.1M-45.9K0.0717.00N/AN/A9,92373214,9116,627
2015-04-16$20.86$21.0024.6%7.1%22.4%33.1%25.1%3.8%-2.3%994.7K-2.8M-50.5K0.3919.82N/AN/A2,16684719,7496,691
2015-04-17$20.92$21.0023.6%6.8%20.7%30.6%23.8%3.7%-1.8%715.0K1.5M-49.2K0.3020.04N/AN/A2,32168620,2656,900
2015-04-20$21.13$21.0024.8%7.1%20.2%33.4%24.7%2.5%-3.5%873.1K-4.3M-49.9K0.8123.24N/AN/A3,6802,99716,4803,768
2015-04-21$20.68$21.0025.1%7.2%21.2%34.1%25.8%-2.3%-3.6%663.3K-1.1M-56.3K0.7924.23N/AN/A81163719,0956,342
2015-04-22$20.82$21.0023.9%6.9%21.3%31.3%28.7%4.2%-3.1%756.4K-2.3M-58.8K0.4335.70N/AN/A1,20452019,2046,542
2015-04-23$20.98$21.0025.0%7.2%21.1%33.9%24.6%5.3%-3.9%812.1K-2.8M-59.0K0.2920.55N/AN/A1,80153019,3936,542
2015-04-24$21.04$21.0023.8%6.8%20.9%31.1%21.4%2.5%-3.3%868.0K-3.6M-60.1K0.2124.82N/AN/A2,10843619,5906,551
2015-04-27$20.79$21.0026.1%7.5%21.2%36.8%28.1%2.6%-4.6%779.8K-2.4M-57.3K0.3028.12N/AN/A2,16764019,6156,555
2015-04-28$20.99$21.0025.6%7.4%21.4%35.6%24.4%2.2%-5.4%839.1K-3.1M-58.8K0.3628.97N/AN/A1,56757119,8426,770
2015-04-29$21.13$21.0026.0%7.5%20.9%36.6%23.1%4.1%-5.6%929.8K-4.4M-59.9K0.3543.27N/AN/A1,74760819,9486,810
2015-04-30$20.98$21.0025.7%7.4%20.1%35.8%27.2%3.8%-4.7%838.7K-2.7M-57.5K0.4616.69N/AN/A1,29559920,1576,860