CNP Options History — June 2015 In June 2015, CNP traded between $19.05 and $20.22. ATM implied volatility averaged 19.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.3% (HV 20d: 16.3%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.45.
Notable Days 2015-06-05 : Highest Volume — 2,990 contracts2015-06-04 : Largest IV spike — 27.2% change2015-06-04 : Highest IV Rank — 36.5%2015-06-30 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $19.39 $19.05 $20.22 $20.22 $19.05 Max Pain $20.09 $20.00 $21.00 $20.00 $20.00 ATM IV 19.6% 16.6% 26.0% 20.5% 22.1% Expected Move 5.6% 4.8% 6.3% 5.9% 6.3% HV 20d 16.3% 12.8% 19.7% 18.1% 15.8% HV 60d 19.1% 18.0% 20.2% 19.7% 18.1% IV Rank 20.5% 13.0% 36.5% 22.9% 26.7% IV Percentile 42.4% 11.1% 92.9% 55.2% 70.6% Term Structure 2.9% 0.0% 4.8% 0.0% 1.6% VWIV 19.4% 16.8% 26.0% 18.8% 21.6% Skew 25d 0.6% -5.2% 5.7% -0.2% -5.2% Skew 10d 0.5% -7.3% 13.1% -3.8% -4.9% Call IV 25d 19.0% 14.3% 22.8% 18.6% 22.0% Put IV 25d 19.6% 15.5% 22.6% 18.4% 16.8% Bid-Ask Spread % 29.72 13.00 71.36 20.54 59.90 Gamma HHI 0.42 0.35 0.50 0.50 0.35 Net GEX 781.0K 608.9K 1.2M 1.2M 641.5K Net DEX -4.5M -12.5M -1.9M -12.5M -1.9M Net VEX -89.3K -118.9K -74.1K -118.9K -74.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.28 0.66 0.29 0.43 Total Volume 1,878.636 523 2,990 2,137 1,350 Total OI 33,391.909 32,046 34,690 32,141 33,169
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $20.22 $20.00 20.5% 5.9% 18.1% 22.9% 18.8% -0.2% 0.0% 1.2M -12.5M -118.9K 0.29 20.54 N/A N/A 1,652 485 27,873 4,268 2015-06-02 $19.73 $20.00 19.6% 5.6% 19.7% 20.5% 19.5% -1.7% 1.7% 933.2K -8.1M -105.8K 0.42 33.25 N/A N/A 369 154 28,108 4,261 2015-06-03 $19.61 $20.00 20.4% 5.9% 18.8% 22.6% 20.6% -1.2% 0.7% 879.2K -6.6M -100.8K 0.28 33.16 N/A N/A 1,772 498 28,258 4,396 2015-06-04 $19.29 $21.00 26.0% 6.1% 18.5% 36.5% 21.3% 1.8% 4.5% 762.5K -4.9M -95.7K 0.35 20.67 N/A N/A 1,617 569 28,373 4,548 2015-06-05 $19.32 $21.00 19.3% 6.0% 18.6% 19.8% 21.0% 0.9% 2.2% 672.7K -3.8M -92.7K 0.29 24.63 N/A N/A 2,321 669 28,400 4,714 2015-06-08 $19.19 $20.00 22.8% 5.9% 16.4% 28.6% 20.5% 1.0% 3.3% 688.5K -3.7M -91.1K 0.38 17.77 N/A N/A 1,631 622 28,822 4,803 2015-06-09 $19.30 $20.00 16.8% 5.8% 16.6% 13.6% 20.2% 1.2% 3.2% 691.1K -4.0M -93.2K 0.39 42.99 N/A N/A 1,576 619 29,022 4,832 2015-06-10 $19.44 $20.00 20.7% 5.9% 15.1% 23.3% 19.0% 1.1% 2.1% 761.5K -5.0M -95.4K 0.31 27.54 N/A N/A 1,638 509 29,113 4,838 2015-06-11 $19.49 $20.00 20.1% 5.8% 14.9% 21.9% 18.6% 1.9% 2.5% 836.6K -5.7M -98.2K 0.31 24.64 N/A N/A 1,678 515 29,318 4,837 2015-06-12 $19.27 $20.00 20.0% 5.7% 13.5% 21.6% 19.9% 1.2% 3.3% 733.2K -4.1M -90.5K 0.36 23.19 N/A N/A 1,242 450 29,423 4,845 2015-06-15 $19.12 $20.00 20.4% 5.9% 12.9% 22.5% 19.0% 1.9% 2.8% 623.2K -2.4M -81.5K 0.38 21.34 N/A N/A 1,234 475 29,431 4,910 2015-06-16 $19.05 $20.00 19.7% 5.6% 12.8% 20.7% 19.6% 1.0% 3.6% 608.9K -2.0M -79.9K 0.63 21.90 N/A N/A 1,025 644 29,431 4,929 2015-06-17 $19.38 $20.00 19.1% 5.5% 14.8% 19.4% 18.7% 4.0% 3.5% 696.3K -3.4M -84.5K 0.65 45.51 N/A N/A 1,055 687 29,439 4,992 2015-06-18 $19.65 $20.00 17.5% 5.0% 15.5% 15.2% 17.7% 3.8% 4.1% 859.7K -5.6M -94.0K 0.50 34.96 N/A N/A 1,162 581 29,472 5,146 2015-06-19 $19.53 $20.00 17.6% 5.0% 15.5% 15.4% 17.7% 1.1% 3.3% 891.1K -4.2M -89.1K 0.66 16.94 N/A N/A 1,078 712 29,522 5,168 2015-06-22 $19.71 $20.00 16.6% 4.8% 16.0% 13.0% 16.8% 5.7% 3.9% 948.4K -6.4M -91.7K 0.48 20.90 N/A N/A 1,449 691 27,753 4,293 2015-06-23 $19.34 $20.00 17.7% 5.1% 17.0% 15.8% 18.6% 0.1% 3.6% 789.4K -3.6M -79.8K 0.62 37.79 N/A N/A 1,235 771 28,147 4,289 2015-06-24 $19.18 $20.00 18.3% 5.2% 17.2% 17.2% 17.1% -2.2% 3.6% 754.3K -3.0M -78.0K 0.57 25.42 N/A N/A 1,017 579 28,227 4,516 2015-06-25 $19.17 $20.00 17.6% 5.0% 16.9% 15.5% 17.6% -1.9% 4.0% 682.1K -2.0M -74.1K 0.48 13.00 N/A N/A 1,172 560 28,264 4,573 2015-06-26 $19.36 $20.00 19.1% 5.5% 17.5% 19.4% 17.8% 0.5% 2.5% 741.7K -2.9M -76.7K 0.59 16.51 N/A N/A 999 585 28,308 4,590 2015-06-29 $19.27 $20.00 18.9% 5.4% 17.4% 18.9% 26.0% -1.2% 4.8% 755.3K -3.2M -77.2K 0.54 71.36 N/A N/A 1,093 590 28,382 4,619 2015-06-30 $19.05 $20.00 22.1% 6.3% 15.8% 26.7% 21.6% -5.2% 1.6% 641.5K -1.9M -74.7K 0.43 59.90 N/A N/A 941 409 28,495 4,674
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