CNP Options History — January 2016

In January 2016, CNP traded between $16.88 and $18.49. ATM implied volatility averaged 31.8%, placing in the 70.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.8% (HV 20d: 28.0%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-01-08: Highest Volume — 7,356 contracts
  • 2016-01-13: Largest IV drop — 20.7% change
  • 2016-01-12: Highest IV Rank — 100.0%
  • 2016-01-21: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.59$16.88$18.49$18.26$17.73
Max Pain$17.74$17.00$18.00$17.00$18.00
ATM IV31.8%28.2%39.7%28.2%28.4%
Expected Move8.8%8.1%9.3%8.7%8.1%
HV 20d28.0%24.1%31.3%26.4%31.3%
HV 60d25.7%24.1%28.0%24.1%28.0%
IV Rank70.9%54.6%100.0%59.9%54.6%
IV Percentile94.4%86.1%100.0%92.5%86.1%
Term Structure-1.7%-4.8%2.0%-4.4%2.0%
VWIV31.3%26.0%34.9%26.5%32.1%
Skew 25d5.6%1.0%11.7%6.0%11.7%
Skew 10d14.1%-0.6%26.7%15.7%26.7%
Call IV 25d27.8%23.3%33.1%25.6%23.3%
Put IV 25d33.5%30.4%36.1%31.6%35.0%
Bid-Ask Spread %27.5619.6160.5225.8222.07
Gamma HHI0.440.320.560.330.56
Net GEX1.9M1.1M3.0M2.4M1.9M
Net DEX-21.2M-42.3M-10.7M-37.3M-19.7M
Net VEX-157.4K-174.7K-138.8K-174.7K-154.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.274.060.571.34
Total Volume2,1408977,3561,4951,111
Total OI51,593.52645,74156,90951,98449,528

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$18.26$17.0028.2%8.7%26.4%59.9%26.5%6.0%-4.4%2.4M-37.3M-174.7K0.5725.82N/AN/A95054545,9636,021
2016-01-05$18.49$17.0033.4%8.3%26.5%82.9%29.1%5.3%-2.6%2.7M-42.3M-173.1K0.5521.39N/AN/A98054146,5036,114
2016-01-06$18.22$17.0031.9%8.2%27.2%76.4%31.0%5.1%-2.6%2.3M-36.7M-173.8K0.5732.24N/AN/A93753546,2126,130
2016-01-07$17.92$17.0030.7%8.4%28.1%70.9%34.9%5.5%-2.4%2.5M-31.3M-168.0K0.6325.13N/AN/A96361046,2456,123
2016-01-08$17.78$17.0036.4%9.2%28.4%96.1%33.4%2.8%-4.8%2.3M-30.1M-167.9K4.0620.64N/AN/A1,4555,90146,2886,165
2016-01-11$17.62$18.0035.0%8.4%27.5%90.1%32.4%6.9%-1.6%2.3M-22.5M-168.1K0.8120.69N/AN/A1,2511,01346,46010,195
2016-01-12$17.31$18.0039.7%9.2%25.9%100.0%32.7%5.7%-4.0%2.2M-15.1M-157.1K0.8221.86N/AN/A1,10991246,57510,285
2016-01-13$17.09$18.0031.5%9.0%26.1%67.1%32.1%4.7%-2.5%1.9M-12.9M-148.9K0.6629.33N/AN/A1,24582546,56210,253
2016-01-14$17.63$18.0029.6%8.5%27.3%59.4%32.1%7.1%-1.8%3.0M-22.7M-162.3K0.3324.48N/AN/A2,09169346,75210,029
2016-01-15$17.31$18.0031.6%9.1%24.1%67.5%32.3%5.7%-2.3%1.2M-10.9M-151.6K0.5234.12N/AN/A1,45576046,9619,948
2016-01-19$17.52$18.0030.7%8.8%24.1%64.0%31.1%5.2%-1.5%1.3M-15.5M-150.4K0.2733.44N/AN/A2,50866538,4687,273
2016-01-20$16.88$18.0031.5%9.0%26.3%66.9%33.0%2.9%-0.7%1.1M-10.7M-138.8K1.2027.63N/AN/A1,1331,36539,6917,331
2016-01-21$17.43$18.0032.3%9.3%28.8%70.2%31.1%3.9%-1.9%1.4M-15.7M-151.7K0.4225.20N/AN/A1,49763439,8237,229
2016-01-22$17.76$18.0030.3%8.7%29.5%62.1%30.7%3.9%-1.4%1.7M-21.6M-161.4K1.5219.61N/AN/A62795440,8507,224
2016-01-25$17.11$18.0032.0%9.2%30.8%69.0%26.0%1.0%1.1%1.3M-12.1M-141.0K0.4625.19N/AN/A1,38963640,9927,528
2016-01-26$17.35$18.0031.6%9.1%31.3%67.3%31.0%6.6%-1.1%1.5M-14.5M-148.3K1.8319.93N/AN/A46284742,0267,556
2016-01-27$17.31$18.0031.6%9.1%31.3%67.5%30.3%6.9%-1.5%1.5M-14.0M-146.6K1.5260.52N/AN/A46270241,9597,536
2016-01-28$17.55$18.0028.6%8.2%31.1%55.3%32.2%10.5%1.2%1.7M-18.1M-151.7K1.3834.26N/AN/A37752041,9637,516
2016-01-29$17.73$18.0028.4%8.1%31.3%54.6%32.1%11.7%2.0%1.9M-19.7M-154.9K1.3422.07N/AN/A47563641,9767,552