CNP Options History — July 2015

In July 2015, CNP traded between $18.31 and $19.59. ATM implied volatility averaged 23.1%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.0% (HV 20d: 17.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-07-22: Highest Volume — 5,220 contracts
  • 2015-07-06: Largest IV spike — 36.0% change
  • 2015-07-09: Highest IV Rank — 42.5%
  • 2015-07-09: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.01$18.31$19.59$19.06$19.32
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV23.1%19.3%28.4%21.1%23.4%
Expected Move6.5%5.5%6.9%6.0%6.7%
HV 20d17.1%15.5%18.6%15.7%17.5%
HV 60d17.6%16.8%18.8%18.1%17.1%
IV Rank29.4%19.8%42.5%24.2%30.1%
IV Percentile76.7%41.7%96.0%60.7%81.0%
Term Structure-1.0%-3.7%3.2%1.7%-3.5%
VWIV22.5%19.3%26.0%22.0%26.0%
Skew 25d2.9%-6.0%6.5%-6.0%5.9%
Skew 10d5.8%-8.7%14.6%-8.7%-1.3%
Call IV 25d21.3%18.4%23.6%23.3%20.2%
Put IV 25d24.2%17.3%28.1%17.3%26.1%
Bid-Ask Spread %30.4716.6381.7018.7230.13
Gamma HHI0.290.220.360.340.26
Net GEX545.7K260.1K900.2K642.5K736.7K
Net DEX-943.9K-4.4M2.1M-1.7M-4.1M
Net VEX-64.5K-80.5K-51.0K-71.7K-71.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.201.130.410.69
Total Volume1,724.1368615,2201,3091,498
Total OI34,472.18232,96636,67033,24136,670

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$19.06$20.0021.1%6.0%15.7%24.2%22.0%-6.0%1.7%642.5K-1.7M-71.7K0.4118.72N/AN/A93137828,5344,707
2015-07-02$19.34$20.0019.3%5.5%15.6%19.8%19.3%-2.9%3.2%739.6K-2.7M-76.0K0.5281.70N/AN/A1,05155128,5344,748
2015-07-06$19.24$20.0026.3%6.8%15.7%37.2%23.2%1.3%-1.0%708.5K-2.4M-73.7K0.8725.29N/AN/A58751228,6084,819
2015-07-07$19.59$20.0024.8%6.6%16.8%33.4%23.2%2.8%0.4%900.2K-4.4M-80.5K1.1329.87N/AN/A53160128,6524,859
2015-07-08$19.23$20.0025.9%6.9%18.1%36.2%24.6%0.9%-0.5%738.1K-2.8M-76.0K0.8829.97N/AN/A54147528,7604,945
2015-07-09$18.98$20.0028.4%6.9%18.4%42.5%23.7%2.4%-0.8%616.1K-1.4M-68.2K0.7721.76N/AN/A58945228,7704,958
2015-07-10$19.13$20.0022.0%6.7%18.6%26.5%22.6%4.2%-0.4%587.6K-1.1M-67.4K0.9518.84N/AN/A52549728,8304,970
2015-07-13$19.18$20.0021.7%6.6%18.2%25.7%23.2%3.3%-0.2%552.8K-921.1K-65.9K1.0022.84N/AN/A43143028,8515,012
2015-07-14$19.25$20.0024.1%6.5%18.1%31.6%22.7%3.6%0.3%505.9K-1.0M-67.8K0.5816.63N/AN/A79546428,8745,039
2015-07-15$19.25$20.0022.0%6.3%18.0%26.4%21.5%3.9%0.1%585.4K-920.4K-64.8K0.6221.59N/AN/A96259729,1235,049
2015-07-16$19.24$20.0021.8%6.2%16.9%26.0%20.3%1.3%-0.7%493.8K-302.9K-61.4K0.5521.42N/AN/A1,03857029,2705,204
2015-07-17$19.00$20.0021.9%6.3%16.5%26.2%20.1%5.1%0.4%497.4K190.8K-60.4K0.6523.43N/AN/A1,11271929,2755,206
2015-07-20$18.73$20.0022.6%6.5%17.1%28.0%22.4%2.7%-2.4%360.2K1.2M-52.3K0.4319.35N/AN/A1,20152028,1674,799
2015-07-21$18.60$20.0022.0%6.3%16.6%26.4%24.5%3.3%-0.9%339.4K1.4M-53.8K0.7718.84N/AN/A88668628,5255,055
2015-07-22$18.61$20.0022.4%6.4%15.5%27.4%23.3%2.7%-1.3%298.5K1.7M-51.1K0.2050.60N/AN/A4,35186928,5345,065
2015-07-23$18.32$20.0023.5%6.7%16.1%30.3%24.1%2.7%-2.5%260.1K2.1M-51.0K0.5725.50N/AN/A1,54487729,9305,166
2015-07-24$18.31$20.0023.8%6.8%16.1%31.1%22.5%6.4%-3.1%292.6K1.7M-52.1K0.7136.50N/AN/A1,28991730,2935,265
2015-07-27$18.66$20.0023.0%6.6%17.3%29.1%24.5%6.5%-3.7%376.3K642.5K-57.4K0.4831.74N/AN/A1,57976130,4685,301
2015-07-28$18.89$20.0023.5%6.7%18.0%30.2%21.4%3.9%-2.7%538.8K-1.3M-62.7K0.7257.61N/AN/A1,04775131,0435,328
2015-07-29$19.08$20.0023.3%6.7%17.9%29.8%19.5%3.8%-1.9%604.3K-2.3M-66.8K0.6834.26N/AN/A1,09975131,0645,495
2015-07-30$19.16$20.0022.6%6.5%18.0%28.1%19.9%6.0%-2.4%629.9K-2.5M-67.6K0.6233.69N/AN/A1,21675031,1125,511
2015-07-31$19.32$20.0023.4%6.7%17.5%30.1%26.0%5.9%-3.5%736.7K-4.1M-71.0K0.6930.13N/AN/A88661231,1565,514