CNP Options History — September 2015

In September 2015, CNP traded between $17.52 and $18.26. ATM implied volatility averaged 25.9%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.4% (HV 20d: 28.3%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2015-09-02: Highest Volume — 4,979 contracts
  • 2015-09-09: Largest IV drop — 18.6% change
  • 2015-09-01: Highest IV Rank — 59.9%
  • 2015-09-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.85$17.52$18.26$17.83$18.05
Max Pain$17.86$17.00$20.00$20.00$18.00
ATM IV25.9%22.1%35.4%35.4%24.8%
Expected Move7.2%6.3%10.1%10.1%7.1%
HV 20d28.3%21.2%30.6%29.8%21.2%
HV 60d22.4%21.9%23.1%21.9%23.1%
IV Rank32.9%21.5%59.9%59.9%28.7%
IV Percentile81.4%61.9%98.4%98.4%84.1%
Term Structure1.3%-6.7%3.9%-6.7%0.4%
VWIV25.2%19.7%30.7%25.0%24.5%
Skew 25d3.5%-1.4%10.4%8.8%10.4%
Skew 10d6.6%-7.6%31.4%-7.6%31.4%
Call IV 25d24.2%17.0%31.8%30.5%17.0%
Put IV 25d27.8%23.5%39.4%39.4%27.5%
Bid-Ask Spread %56.89-7.78113.55100.2736.83
Gamma HHI0.210.170.250.240.25
Net GEX177.6K127.5K251.6K251.6K217.7K
Net DEX1.5M-35.2K2.7M100.6K740.1K
Net VEX-43.6K-52.6K-36.0K-52.6K-37.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.323.850.590.46
Total Volume2,238.429434,9794,8361,560
Total OI23,988.85722,63624,63123,27223,642

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$17.83$20.0035.4%10.1%29.8%59.9%25.0%8.8%-6.7%251.6K100.6K-52.6K0.59100.27N/AN/A3,0381,79818,7264,546
2015-09-02$17.67$20.0033.3%9.5%29.4%54.7%25.5%0.1%-3.4%155.7K2.2M-47.0K0.6397.39N/AN/A3,0501,92918,7595,312
2015-09-03$17.96$17.0031.5%7.6%30.2%50.3%28.1%4.6%1.2%159.1K1.8M-50.4K3.3727.43N/AN/A6442,17318,8025,470
2015-09-04$17.66$17.0030.9%7.8%30.5%48.7%30.7%4.4%1.3%147.4K2.3M-48.1K3.5626.58N/AN/A6122,18118,8825,491
2015-09-08$17.98$17.0031.4%7.6%30.3%49.9%0.0%2.7%2.4%153.8K1.9M-49.0K0.3423.52N/AN/A321118,8915,598
2015-09-09$17.74$17.0025.6%7.3%30.4%35.4%30.0%3.3%2.2%139.3K2.3M-46.2K3.8525.11N/AN/A5412,08218,8915,601
2015-09-10$17.70$17.0025.3%7.2%29.9%34.7%28.3%2.5%1.6%127.5K2.7M-44.8K3.6324.65N/AN/A6182,24518,9135,606
2015-09-11$17.66$17.0025.3%7.3%29.8%30.1%28.8%2.6%2.2%141.9K2.6M-43.5K2.4620.32N/AN/A6781,67118,9635,378
2015-09-14$17.79$17.0025.6%7.3%29.3%30.7%29.1%2.4%2.5%147.8K2.5M-44.3K2.4694.22N/AN/A6761,66019,0605,408
2015-09-15$17.87$18.0024.4%7.0%29.4%27.8%24.3%4.1%2.7%161.1K2.2M-44.6K1.3094.09N/AN/A16221019,0745,407
2015-09-16$18.14$18.0024.1%6.9%30.3%26.8%22.6%2.1%2.0%172.5K1.6M-45.0K2.80100.00N/AN/A6081,70519,1745,425
2015-09-17$18.26$18.0022.5%6.4%30.5%22.6%24.6%4.0%2.4%177.3K867.2K-46.0K2.41113.55N/AN/A6571,58619,2035,428
2015-09-18$18.05$18.0023.6%6.8%30.6%25.6%21.0%9.1%3.9%164.1K1.4M-43.1K2.41-7.78N/AN/A6511,56919,1385,449
2015-09-21$18.18$18.0022.2%6.4%29.9%21.8%19.7%6.4%2.1%238.7K-35.2K-41.7K0.4891.71N/AN/A1,09852618,5324,104
2015-09-22$17.80$18.0022.1%6.3%28.0%21.5%23.8%1.9%2.8%236.8K592.6K-40.0K0.4799.88N/AN/A1,39465019,1594,121
2015-09-23$17.75$18.0023.2%6.7%26.1%24.5%23.2%0.7%3.0%195.9K902.7K-38.7K0.3235.79N/AN/A1,59651719,0784,270
2015-09-24$17.83$18.0022.5%6.4%26.1%22.5%24.6%-1.4%-0.9%202.0K910.4K-39.5K0.3248.26N/AN/A1,58951419,1994,313
2015-09-25$17.90$18.0022.4%6.4%23.8%22.4%22.6%-0.5%2.8%218.2K641.6K-40.5K0.4393.64N/AN/A1,20851519,1994,313
2015-09-28$17.57$18.0023.9%6.9%24.3%26.3%23.9%1.8%2.3%166.7K1.5M-36.5K0.4830.67N/AN/A1,09352519,2774,329
2015-09-29$17.52$18.0023.8%6.8%24.2%25.9%24.4%4.3%0.6%155.2K1.7M-36.0K0.5518.56N/AN/A92850719,2864,349
2015-09-30$18.05$18.0024.8%7.1%21.2%28.7%24.5%10.4%0.4%217.7K740.1K-37.8K0.4636.83N/AN/A1,07049019,2834,359