CNP Options History — December 2015

In December 2015, CNP traded between $16.10 and $18.47. ATM implied volatility averaged 25.4%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.4% (HV 20d: 23.0%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2015-12-31: Highest Volume — 17,176 contracts
  • 2015-12-11: Largest IV spike — 46.9% change
  • 2015-12-14: Highest IV Rank — 84.6%
  • 2015-12-14: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.25$16.10$18.47$16.99$18.38
Max Pain$17.45$17.00$17.50$17.00$17.50
ATM IV25.4%19.4%33.8%21.3%23.7%
Expected Move7.2%5.8%9.7%6.1%6.8%
HV 20d23.0%12.6%28.4%23.8%26.7%
HV 60d24.1%22.3%25.9%22.5%24.1%
IV Rank48.1%23.0%84.6%31.3%39.6%
IV Percentile75.1%23.4%98.8%45.6%67.5%
Term Structure0.4%-3.4%4.6%-1.9%4.6%
VWIV24.8%20.4%32.4%21.2%30.3%
Skew 25d3.5%-0.1%13.1%1.7%4.3%
Skew 10d11.8%-1.3%58.4%8.2%58.4%
Call IV 25d23.4%15.4%34.2%15.4%23.4%
Put IV 25d26.9%17.1%34.5%17.1%27.6%
Bid-Ask Spread %33.9814.8186.1714.8186.17
Gamma HHI0.430.290.560.490.30
Net GEX847.4K258.5K1.7M319.6K1.6M
Net DEX-13.1M-30.5M-1.6M-4.6M-29.9M
Net VEX-117.4K-158.9K-87.4K-95.7K-156.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.030.820.070.03
Total Volume3,924.515917,17647917,176
Total OI31,601.522,71942,85422,71942,854

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$16.99$17.0021.3%6.1%23.8%31.3%21.2%1.7%-1.9%319.6K-4.6M-95.7K0.0714.81N/AN/A4483118,6014,118
2015-12-02$16.62$17.0021.4%6.1%24.0%31.7%21.6%2.4%1.2%284.9K-3.2M-91.0K0.2323.40N/AN/A2,27851718,7374,150
2015-12-03$16.44$17.5025.9%6.3%23.9%51.2%21.5%2.9%1.2%295.1K-3.2M-89.6K0.4324.64N/AN/A1,10247819,4064,181
2015-12-04$16.52$17.5019.4%6.2%24.2%23.0%21.6%4.6%-2.3%293.8K-2.9M-89.1K0.8018.01N/AN/A84367119,4114,382
2015-12-07$16.41$17.5024.9%6.4%14.4%46.8%21.1%3.1%0.3%272.2K-1.9M-87.7K0.1520.89N/AN/A1382119,4414,739
2015-12-08$16.34$17.5027.5%6.2%14.3%57.9%21.5%2.2%1.0%269.5K-1.6M-87.4K0.6418.57N/AN/A99263619,3574,757
2015-12-09$16.41$17.5022.6%6.5%12.6%34.9%21.5%3.6%0.8%268.2K-2.3M-88.1K0.5121.31N/AN/A1,25763619,3764,769
2015-12-10$16.10$17.5022.2%6.4%13.9%33.2%20.4%2.3%1.3%258.5K-1.6M-89.0K0.8019.75N/AN/A82966619,6824,756
2015-12-11$16.70$17.5032.6%9.4%19.4%79.5%31.5%0.0%-3.3%288.5K-5.2M-103.7K0.1169.42N/AN/A14,6561,62819,7254,774
2015-12-14$16.55$17.5033.8%9.7%19.6%84.6%32.4%5.6%-3.0%767.5K-7.8M-110.4K0.4038.15N/AN/A3,1381,24227,9795,184
2015-12-15$16.90$17.5028.7%8.2%20.3%61.9%29.2%5.2%0.6%909.0K-10.6M-118.7K0.4231.87N/AN/A3,0911,31328,3855,536
2015-12-16$17.60$17.5027.9%8.0%24.8%58.3%27.4%13.1%0.9%1.0M-17.1M-128.4K0.5562.49N/AN/A2,1661,19728,3086,076
2015-12-17$17.83$17.5027.0%7.7%25.2%54.4%27.0%6.6%0.2%1.1M-19.2M-126.9K0.7875.42N/AN/A1,4961,16728,1976,076
2015-12-18$17.43$17.5026.4%7.6%26.6%51.9%25.8%-0.1%2.0%985.1K-16.3M-123.2K0.5622.96N/AN/A1,8061,00528,3096,075
2015-12-21$17.51$17.5025.3%7.2%26.6%46.8%25.4%3.2%1.8%1.0M-14.5M-121.5K0.7019.57N/AN/A1,21885026,5595,526
2015-12-22$17.59$17.5024.3%7.0%26.5%42.4%24.7%3.5%2.2%1.1M-15.1M-122.4K0.8240.12N/AN/A1,10991326,6056,045
2015-12-23$18.05$17.5025.2%7.2%27.8%46.6%24.6%4.4%0.0%1.1M-19.7M-126.6K0.0734.92N/AN/A11,48280026,7015,956
2015-12-24$18.11$17.5026.1%7.5%27.8%50.5%24.5%1.6%-1.0%1.6M-26.2M-158.9K0.7122.29N/AN/A1,13380936,5095,968
2015-12-28$18.17$17.5028.4%8.1%27.7%60.6%26.2%3.4%-3.4%1.6M-26.5M-156.3K0.7033.78N/AN/A1,15080936,5235,958
2015-12-29$18.47$17.5025.0%7.2%28.0%45.4%23.3%2.8%2.4%1.7M-30.5M-156.2K0.7520.71N/AN/A1,08181536,7475,974
2015-12-30$18.30$17.5020.3%5.8%28.4%24.7%23.5%1.4%3.5%1.6M-29.4M-155.1K0.4028.20N/AN/A1,10843836,8445,977
2015-12-31$18.38$17.5023.7%6.8%26.7%39.6%30.3%4.3%4.6%1.6M-29.9M-156.4K0.0386.17N/AN/A16,75242436,8605,994