CNP Options History — November 2015

In November 2015, CNP traded between $16.92 and $18.68. ATM implied volatility averaged 22.6%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.1% (HV 20d: 24.7%). Max pain ranged from $17.00 to $19.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2015-11-25: Highest Volume — 11,895 contracts
  • 2015-11-11: Largest IV drop — 11.0% change
  • 2015-11-02: Highest IV Rank — 60.5%
  • 2015-11-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.41$16.92$18.68$18.49$16.95
Max Pain$17.40$17.00$19.00$19.00$17.00
ATM IV22.6%19.7%28.1%28.1%22.4%
Expected Move6.3%5.6%8.1%8.1%6.4%
HV 20d24.7%18.8%28.4%21.5%23.7%
HV 60d25.6%22.8%27.4%24.7%22.8%
IV Rank36.7%24.2%60.5%60.5%35.8%
IV Percentile58.2%29.4%94.0%94.0%58.7%
Term Structure-1.6%-5.8%-0.1%-5.8%-3.4%
VWIV21.3%13.4%27.9%25.9%22.4%
Skew 25d4.3%-0.2%10.3%5.8%-0.2%
Skew 10d7.0%-1.8%15.8%-0.9%3.6%
Call IV 25d19.3%13.7%22.7%22.7%17.1%
Put IV 25d23.6%16.9%29.8%28.5%16.9%
Bid-Ask Spread %25.2514.5453.3922.1615.75
Gamma HHI0.290.180.520.400.51
Net GEX85.8K-53.9K333.8K284.9K328.8K
Net DEX2.1M-5.1M4.8M-413.3K-4.6M
Net VEX-36.1K-97.1K-26.1K-36.1K-96.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.032.700.510.52
Total Volume2,076.517011,8951,825217
Total OI23,536.511,45026,96325,22222,569

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$18.49$19.0028.1%8.1%21.5%60.5%25.9%5.8%-5.8%284.9K-413.3K-36.1K0.5122.16N/AN/A1,21161420,4424,780
2015-11-03$18.68$19.0026.3%7.5%18.8%52.9%27.9%7.1%-2.7%301.5K-501.2K-37.4K0.7630.34N/AN/A86165220,4374,807
2015-11-04$18.68$19.0024.6%7.1%18.8%45.5%26.9%2.4%-2.2%318.8K-914.3K-38.1K0.7114.54N/AN/A93966420,4394,859
2015-11-05$18.50$18.0023.4%6.1%19.1%40.2%19.4%2.5%-1.0%323.3K-418.1K-36.3K0.9016.64N/AN/A82674220,5314,877
2015-11-06$17.46$18.0024.9%6.2%27.6%46.9%20.3%4.0%-2.0%9.4K4.1M-26.9K0.7333.11N/AN/A74354020,5234,954
2015-11-09$17.50$17.0025.2%6.2%27.6%48.1%22.1%5.4%-1.6%-1.2K4.1M-27.3K2.7028.15N/AN/A4612420,5315,105
2015-11-10$17.11$17.0022.8%6.0%28.4%37.8%21.0%3.8%-0.2%-24.6K4.5M-26.6K0.8215.72N/AN/A1,08789220,5355,168
2015-11-11$17.12$17.0020.3%5.8%28.4%26.9%19.3%2.8%-0.1%-13.5K4.0M-26.9K0.8218.24N/AN/A1,08789220,6584,976
2015-11-12$16.92$17.0021.7%6.2%26.8%32.9%21.9%1.9%-1.0%-49.1K4.8M-26.2K0.9620.22N/AN/A1,1961,14320,6665,336
2015-11-13$16.97$17.0022.0%6.3%26.9%34.3%21.2%3.2%-1.5%-31.6K4.8M-26.1K1.0140.21N/AN/A1,1541,17120,8145,367
2015-11-16$17.23$17.0022.5%6.4%27.6%36.4%22.5%1.8%-1.6%-36.4K4.4M-27.2K0.3421.12N/AN/A1545320,8055,646
2015-11-17$17.08$17.0022.0%6.3%27.3%34.1%21.6%6.4%-0.1%-32.8K4.6M-27.6K1.0842.19N/AN/A1,0991,18920,9145,674
2015-11-18$17.17$17.0021.5%6.2%27.1%32.1%21.8%1.2%-1.4%-48.7K4.5M-26.9K1.1953.39N/AN/A1,0071,19420,8975,720
2015-11-19$17.10$17.0021.3%6.1%25.6%31.1%20.7%3.7%-1.2%-53.9K4.6M-27.4K1.0031.22N/AN/A1,0791,08420,9945,835
2015-11-20$17.09$17.0021.1%6.1%24.2%30.6%21.0%2.5%-0.9%-6.0K4.2M-26.9K1.1123.24N/AN/A1,0131,12221,1885,775
2015-11-23$17.00$17.0020.4%5.8%23.7%27.3%13.4%2.5%-1.5%-7.1K2.2M-26.7K0.0324.23N/AN/A984347,5783,872
2015-11-24$17.06$17.0020.7%5.9%23.8%28.6%20.7%10.3%-1.9%55.8K1.7M-28.7K0.0719.04N/AN/A930638,3653,905
2015-11-25$17.08$17.0019.7%5.6%23.9%24.2%18.5%9.8%-0.6%65.1K1.3M-30.1K0.0717.35N/AN/A11,1307658,6723,975
2015-11-27$17.00$17.0020.6%5.9%23.8%28.2%18.3%9.1%-2.2%333.8K-5.1M-97.1K0.6518.11N/AN/A1,10972018,4844,057
2015-11-30$16.95$17.0022.4%6.4%23.7%35.8%22.4%-0.2%-3.4%328.8K-4.6M-96.0K0.5215.75N/AN/A1437418,5044,065