CNP Options History — May 2015

In May 2015, CNP traded between $19.84 and $21.11. ATM implied volatility averaged 23.3%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.3% (HV 20d: 20.0%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2015-05-20: Highest Volume — 10,255 contracts
  • 2015-05-13: Largest IV drop — 28.8% change
  • 2015-05-11: Highest IV Rank — 57.8%
  • 2015-05-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.44$19.84$21.11$21.04$20.36
Max Pain$20.05$20.00$21.00$21.00$20.00
ATM IV23.3%17.6%34.5%26.9%20.4%
Expected Move5.7%5.0%7.7%7.7%5.8%
HV 20d20.0%18.1%23.2%20.0%18.1%
HV 60d21.4%19.8%24.9%24.9%19.8%
IV Rank29.9%15.5%57.8%38.6%22.4%
IV Percentile63.4%29.0%97.6%96.4%50.8%
Term Structure0.4%-5.8%1.9%-5.8%-0.2%
VWIV19.7%15.5%29.8%29.8%18.9%
Skew 25d3.3%-1.2%5.3%4.7%-1.2%
Skew 10d6.7%-2.6%13.0%1.8%-1.6%
Call IV 25d18.4%14.1%25.2%25.2%18.9%
Put IV 25d21.7%16.7%29.9%29.9%17.7%
Bid-Ask Spread %21.3413.5043.8217.6519.07
Gamma HHI0.340.210.500.430.50
Net GEX601.5K-110.9K1.3M916.6K1.3M
Net DEX-2.7M-13.8M8.1M-3.8M-13.8M
Net VEX-66.1K-123.5K-37.3K-57.7K-123.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.061.230.530.40
Total Volume2,696.535410,2551,7631,684
Total OI26,103.912,61232,08727,07832,087

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$21.04$21.0026.9%7.7%20.0%38.6%29.8%4.7%-5.8%916.6K-3.8M-57.7K0.5317.65N/AN/A1,14961420,1916,887
2015-05-04$21.11$20.0028.6%5.9%19.2%42.9%21.1%4.3%0.9%1.0M-4.9M-55.6K1.2316.92N/AN/A15919520,2796,925
2015-05-05$20.70$20.0030.2%6.0%20.2%47.1%23.1%5.2%0.2%681.9K-573.3K-51.0K0.4318.84N/AN/A1,36558520,3597,098
2015-05-06$20.32$20.0031.9%6.4%21.0%51.2%21.6%2.6%0.2%361.4K3.7M-44.9K0.8823.29N/AN/A84373920,4917,159
2015-05-07$20.29$20.0031.2%6.4%20.8%49.5%20.7%4.9%-0.1%259.0K4.8M-43.1K0.6621.53N/AN/A1,04568520,5767,388
2015-05-08$20.72$20.0027.8%5.4%21.9%41.0%20.0%4.1%1.6%484.2K2.0M-47.0K0.0722.17N/AN/A1,3009420,6387,460
2015-05-11$20.50$20.0034.5%5.7%21.9%57.8%19.0%2.8%1.1%361.6K3.7M-42.8K0.5721.05N/AN/A48527721,3907,488
2015-05-12$20.03$20.0027.4%5.5%23.2%39.9%20.7%4.4%0.5%-38.0K8.1M-37.3K0.6921.13N/AN/A1,44398921,7087,601
2015-05-13$19.84$20.0019.5%5.6%20.4%20.2%20.0%3.6%1.6%-110.9K8.0M-39.3K0.2043.82N/AN/A3,86177022,0328,056
2015-05-14$20.20$20.0018.1%5.2%20.7%16.7%16.7%5.1%1.6%205.0K3.8M-49.3K0.3315.17N/AN/A2,26775722,9967,985
2015-05-15$20.38$20.0017.9%5.1%20.9%16.4%17.1%3.5%1.9%295.1K2.8M-48.4K0.3017.41N/AN/A2,52074923,1677,910
2015-05-18$20.42$20.0017.6%5.0%20.6%15.5%15.5%5.1%0.7%326.5K-3.8M-49.0K0.3426.32N/AN/A4271449,4203,192
2015-05-19$20.39$20.0018.3%5.2%19.2%17.3%17.1%5.3%-0.2%350.3K-3.9M-50.1K0.1726.13N/AN/A309549,7233,282
2015-05-20$20.55$20.0017.7%5.1%19.2%15.9%17.7%2.1%1.4%383.5K-5.0M-53.7K0.0623.99N/AN/A9,71953610,0223,329
2015-05-21$20.52$20.0017.6%5.0%19.0%15.5%17.8%3.9%1.5%831.4K-9.1M-82.4K0.1426.45N/AN/A5,23272617,3023,388
2015-05-22$20.45$20.0019.4%5.5%18.9%19.9%17.8%0.3%-0.3%1.0M-11.2M-100.8K0.2213.50N/AN/A2,91362921,3273,683
2015-05-26$20.29$20.0021.2%6.1%18.7%24.5%21.4%0.3%-0.4%1.0M-10.6M-104.8K0.2017.87N/AN/A3,58573023,4423,910
2015-05-27$20.26$20.0020.5%5.9%18.2%22.7%19.9%2.6%0.7%1.1M-11.9M-117.1K0.2114.37N/AN/A2,25847226,2344,172
2015-05-28$20.38$20.0020.2%5.8%18.2%22.1%18.5%2.5%0.9%1.2M-13.1M-123.3K0.4220.24N/AN/A1,13848327,5544,227
2015-05-29$20.36$20.0020.4%5.8%18.1%22.4%18.9%-1.2%-0.2%1.3M-13.8M-123.5K0.4019.07N/AN/A1,20747727,8234,264