CNP Options History — August 2015

In August 2015, CNP traded between $18.08 and $19.91. ATM implied volatility averaged 24.1%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.8% (HV 20d: 19.3%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-08-31: Highest Volume — 4,048 contracts
  • 2015-08-21: Largest IV spike — 28.6% change
  • 2015-08-25: Highest IV Rank — 64.5%
  • 2015-08-25: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.20$18.08$19.91$19.22$18.67
Max Pain$19.00$18.00$20.00$20.00$20.00
ATM IV24.1%18.2%37.3%23.6%28.4%
Expected Move6.7%5.2%10.7%6.8%8.2%
HV 20d19.3%15.4%26.0%17.5%25.9%
HV 60d17.5%16.3%20.1%17.1%19.9%
IV Rank31.7%17.1%64.5%30.5%42.6%
IV Percentile72.9%31.3%99.2%82.9%95.2%
Term Structure-0.7%-14.0%3.0%-3.4%-1.4%
VWIV23.0%16.1%34.5%23.0%28.5%
Skew 25d3.5%-3.9%8.3%3.8%0.4%
Skew 10d5.4%-8.4%13.4%6.0%4.4%
Call IV 25d21.7%13.9%30.8%22.6%30.4%
Put IV 25d25.2%19.5%37.4%26.4%30.8%
Bid-Ask Spread %74.8619.71118.5343.7592.86
Gamma HHI0.300.250.440.250.26
Net GEX805.7K338.3K1.8M653.3K431.7K
Net DEX-5.0M-10.7M-1.3M-2.9M-2.9M
Net VEX-69.8K-82.7K-57.9K-66.2K-63.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.101.621.280.32
Total Volume1,719.571894,048894,048
Total OI34,016.47623,78839,17636,87424,526

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$19.22$20.0023.6%6.8%17.5%30.5%23.0%3.8%-3.4%653.3K-2.9M-66.2K1.2843.75N/AN/A395031,3215,553
2015-08-04$18.84$20.0024.5%7.0%17.5%32.8%26.2%-1.6%-2.3%529.2K-1.3M-61.6K0.8193.29N/AN/A79063931,3335,582
2015-08-05$19.05$20.0024.8%7.1%16.9%33.4%26.5%1.7%-3.6%573.8K-2.1M-64.3K1.1193.49N/AN/A59366131,3335,651
2015-08-06$19.09$18.0024.7%5.7%16.2%33.2%21.8%2.3%2.0%539.6K-1.3M-61.2K0.7824.98N/AN/A77059831,3305,704
2015-08-07$19.15$18.0023.4%6.0%16.0%30.0%22.6%3.1%1.1%571.1K-2.0M-63.6K0.4719.71N/AN/A1,39565231,4145,731
2015-08-10$19.53$18.0022.9%5.3%17.5%28.7%19.0%3.8%3.0%787.5K-4.3M-67.3K0.2629.53N/AN/A2,31860431,6865,842
2015-08-11$19.36$18.0020.4%5.7%17.8%22.5%16.1%4.5%1.7%678.8K-3.8M-69.4K0.1024.10N/AN/A5175032,3355,863
2015-08-12$19.59$18.0022.4%6.4%18.2%27.6%18.4%5.3%1.8%930.8K-6.5M-73.9K0.7797.10N/AN/A1,12486332,0955,863
2015-08-13$19.63$19.0018.2%5.2%18.2%17.1%17.4%6.9%2.8%922.4K-6.9M-77.5K0.5426.70N/AN/A1,44778232,0366,118
2015-08-14$19.91$19.0019.4%5.6%18.0%20.1%18.9%0.7%1.2%1.2M-9.7M-82.7K0.43105.27N/AN/A1,63970132,4156,118
2015-08-17$19.91$19.0019.0%5.5%17.0%19.1%19.4%3.5%2.4%1.4M-10.7M-81.5K0.4696.16N/AN/A1,45867532,4626,115
2015-08-18$19.91$19.0019.3%5.5%16.6%19.8%19.5%1.6%1.9%1.5M-10.4M-81.5K0.4685.26N/AN/A1,44766532,5836,119
2015-08-19$19.90$19.0019.1%5.5%16.6%19.3%18.1%7.3%2.0%1.8M-9.8M-78.6K0.1899.77N/AN/A1,14721132,4606,104
2015-08-20$19.80$19.0019.8%5.7%15.4%21.1%20.4%6.1%2.0%1.7M-10.6M-80.7K0.65118.53N/AN/A1,09670933,0226,145
2015-08-21$19.31$19.0025.5%7.3%18.5%35.2%23.8%-3.9%-2.9%631.4K-5.6M-75.1K0.7126.59N/AN/A94666733,0806,096
2015-08-24$18.62$19.0031.5%9.0%22.1%50.2%34.5%6.6%-4.5%445.9K-3.8M-67.8K0.97101.26N/AN/A57255419,6064,182
2015-08-25$18.08$19.0037.3%10.7%23.9%64.5%33.9%8.3%-14.0%358.3K-1.8M-59.8K0.79111.95N/AN/A60948319,6194,244
2015-08-26$18.17$19.0029.4%8.4%23.6%45.1%28.5%4.8%-3.1%338.3K-1.4M-57.9K0.9396.05N/AN/A51848219,6914,239
2015-08-27$18.70$19.0026.6%7.6%26.0%38.0%25.1%5.5%-2.2%449.4K-3.4M-64.4K1.6295.55N/AN/A6951,12919,7244,255
2015-08-28$18.80$20.0025.0%7.2%25.9%34.1%20.9%3.7%-0.1%460.4K-3.2M-67.8K1.5090.21N/AN/A7081,06019,9604,791
2015-08-31$18.67$20.0028.4%8.2%25.9%42.6%28.5%0.4%-1.4%431.7K-2.9M-63.9K0.3292.86N/AN/A3,05998919,9824,544