CNP Options History — October 2015

In October 2015, CNP traded between $17.68 and $19.14. ATM implied volatility averaged 22.8%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.0% (HV 20d: 23.9%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2015-10-22: Highest Volume — 2,488 contracts
  • 2015-10-12: Largest IV spike — 34.5% change
  • 2015-10-28: Highest IV Rank — 51.2%
  • 2015-10-15: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.53$17.68$19.14$17.68$18.57
Max Pain$18.90$18.00$19.00$18.00$19.00
ATM IV22.8%16.9%27.1%22.6%20.2%
Expected Move6.8%5.8%7.7%6.5%5.8%
HV 20d23.9%22.1%26.4%22.3%22.1%
HV 60d24.5%23.2%25.2%23.2%24.7%
IV Rank30.9%7.6%51.2%22.7%26.3%
IV Percentile63.9%6.3%91.7%65.9%36.9%
Term Structure-1.3%-3.9%2.9%1.9%-1.0%
VWIV23.3%19.3%26.1%22.5%23.8%
Skew 25d5.1%-4.0%10.3%6.0%5.4%
Skew 10d9.5%-6.8%27.4%8.2%11.8%
Call IV 25d20.6%16.0%24.1%20.3%20.6%
Put IV 25d25.8%20.1%28.2%26.3%26.0%
Bid-Ask Spread %30.2815.4573.0146.7622.54
Gamma HHI0.310.200.410.200.41
Net GEX346.6K175.1K520.9K175.1K305.5K
Net DEX-1.2M-3.7M1.4M1.4M-739.7K
Net VEX-40.3K-43.6K-35.7K-35.7K-39.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.431.020.450.51
Total Volume1,642.4765912,4881,5741,803
Total OI24,494.23823,41825,16723,84725,167

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$17.68$18.0022.6%6.5%22.3%22.7%22.5%6.0%1.9%175.1K1.4M-35.7K0.4546.76N/AN/A1,08449019,4644,383
2015-10-02$17.99$18.0023.0%6.6%22.4%23.9%23.2%9.3%2.9%236.1K728.0K-38.0K0.6821.87N/AN/A75551419,5144,389
2015-10-05$18.55$19.0017.2%7.3%23.9%8.5%25.2%4.9%-1.5%396.7K-1.5M-42.2K0.6624.70N/AN/A35723419,5284,423
2015-10-06$18.49$19.0020.8%7.0%23.3%17.9%23.8%4.7%-2.6%399.1K-1.6M-41.9K0.7820.72N/AN/A78661419,7694,529
2015-10-07$18.56$19.0016.9%6.7%22.6%7.6%24.9%2.9%-1.0%446.4K-1.9M-42.3K1.0222.46N/AN/A57558419,8284,377
2015-10-08$18.74$19.0018.6%6.7%22.7%12.2%24.6%2.7%-2.0%520.9K-2.6M-43.6K0.9721.01N/AN/A55954419,8824,425
2015-10-12$18.54$19.0025.1%6.1%23.2%29.4%24.0%3.7%0.4%469.1K-2.1M-40.9K0.8018.39N/AN/A79864020,1844,499
2015-10-13$18.38$19.0027.1%7.0%23.4%34.8%24.2%2.7%-3.9%376.3K-1.2M-40.0K0.7315.45N/AN/A80958820,2174,564
2015-10-14$18.25$19.0024.1%6.9%23.6%26.9%25.0%2.7%-1.1%294.9K-444.3K-38.3K0.5619.95N/AN/A1,05959120,2154,585
2015-10-15$18.67$19.0026.7%7.7%24.3%33.9%21.0%10.3%-1.6%503.5K-2.2M-41.5K0.5533.10N/AN/A1,04857720,0994,585
2015-10-16$18.68$19.0021.1%6.1%24.3%18.9%22.7%3.4%-0.1%347.2K-2.5M-42.3K0.7216.10N/AN/A1,02973820,1194,627
2015-10-19$18.45$19.0022.9%6.6%24.3%38.1%20.6%6.2%-3.4%216.5K-110.9K-37.2K0.4324.56N/AN/A1,41761619,0304,388
2015-10-20$18.61$19.0024.3%7.0%24.4%44.4%21.7%7.5%-0.2%306.6K-1.2M-40.3K0.7424.75N/AN/A82861619,6524,447
2015-10-21$18.77$19.0022.2%6.4%23.0%35.1%22.9%8.6%-0.7%348.7K-1.9M-40.7K0.7630.48N/AN/A91069019,7634,447
2015-10-22$19.14$19.0023.2%6.6%23.7%39.3%23.5%5.0%-3.0%441.9K-3.7M-42.7K0.4972.60N/AN/A1,67381519,9634,567
2015-10-23$18.60$19.0023.8%6.8%26.3%42.0%24.3%-4.0%-2.6%317.3K-1.4M-41.6K0.4635.68N/AN/A1,55371420,1994,663
2015-10-26$18.75$19.0024.6%7.1%26.4%45.7%19.3%7.9%-1.2%326.6K-1.5M-40.8K0.5023.92N/AN/A1,37368220,1054,665
2015-10-27$18.57$19.0023.7%6.8%25.6%41.7%23.0%8.0%-2.5%301.4K-811.3K-39.6K0.5173.01N/AN/A1,39371220,3184,687
2015-10-28$18.50$19.0025.9%7.4%25.7%51.2%22.4%5.3%-3.0%268.1K-195.5K-38.7K0.4745.78N/AN/A1,33463120,3294,719
2015-10-29$18.54$19.0025.1%7.2%23.6%47.5%26.1%4.9%-0.9%281.3K-407.4K-38.4K0.5022.04N/AN/A1,17158820,3324,733
2015-10-30$18.57$19.0020.2%5.8%22.1%26.3%23.8%5.4%-1.0%305.5K-739.7K-39.2K0.5122.54N/AN/A1,19460920,4154,752