CNP Options History — February 2016

In February 2016, CNP traded between $17.67 and $19.16. ATM implied volatility averaged 32.3%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 3.7% (HV 20d: 36.0%). Max pain ranged from $18.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.49.

Notable Days

  • 2016-02-25: Highest Volume — 8,792 contracts
  • 2016-02-08: Largest IV spike — 28.1% change
  • 2016-02-08: Highest IV Rank — 99.5%
  • 2016-02-11: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.54$17.67$19.16$18.60$18.70
Max Pain$18.00$18.00$18.00$18.00$18.00
ATM IV32.3%28.9%39.6%32.8%29.0%
Expected Move9.1%8.3%10.8%9.4%8.3%
HV 20d36.0%31.3%40.8%35.9%33.8%
HV 60d29.5%27.8%30.9%29.7%30.9%
IV Rank70.2%56.7%99.5%72.4%57.2%
IV Percentile90.7%81.3%99.6%96.4%81.3%
Term Structure-2.6%-5.8%1.9%-0.7%-2.3%
VWIV32.1%28.7%37.1%34.0%30.7%
Skew 25d6.4%3.1%18.4%18.4%6.3%
Skew 10d14.0%-0.2%22.2%3.6%14.5%
Call IV 25d29.6%23.1%34.2%23.1%27.6%
Put IV 25d36.0%32.7%41.6%41.6%33.9%
Bid-Ask Spread %41.3519.86120.66103.0746.47
Gamma HHI0.450.290.590.480.29
Net GEX2.0M1.0M3.0M2.1M1.1M
Net DEX-32.8M-45.4M-21.6M-37.0M-25.9M
Net VEX-154.5K-168.2K-134.7K-166.5K-160.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.081.670.580.43
Total Volume3,408.41,0468,7923,0031,046
Total OI47,09431,60052,27549,98742,855

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$18.60$18.0032.8%9.4%35.9%72.4%34.0%18.4%-0.7%2.1M-37.0M-166.5K0.58103.07N/AN/A1,9031,10042,4107,577
2016-02-02$18.43$18.0031.9%9.1%35.9%68.5%29.6%7.5%1.9%2.2M-34.0M-166.7K0.6820.07N/AN/A1,07073143,5547,645
2016-02-03$19.01$18.0032.6%9.3%37.3%71.3%29.1%5.6%1.2%2.2M-45.4M-168.2K0.1029.03N/AN/A7,12070243,9697,642
2016-02-04$18.93$18.0029.2%8.5%36.9%57.8%30.7%5.4%-2.1%2.3M-44.8M-166.5K0.5127.64N/AN/A1,37070343,9177,672
2016-02-05$18.82$18.0030.9%8.7%36.4%64.7%31.9%5.3%-2.0%2.3M-41.5M-167.1K0.6726.24N/AN/A93262244,0207,694
2016-02-08$18.40$18.0039.6%9.8%37.3%99.5%33.8%3.1%-3.9%2.2M-34.3M-160.3K0.6221.33N/AN/A86854044,0077,676
2016-02-09$18.55$18.0036.4%9.3%37.2%86.5%32.9%6.9%-3.2%2.4M-36.7M-160.5K0.5631.27N/AN/A1,22267944,1287,670
2016-02-10$18.58$18.0031.6%9.1%36.4%67.6%32.9%3.6%-3.2%2.5M-36.5M-160.1K0.2119.86N/AN/A3,56275644,5037,772
2016-02-11$17.67$18.0037.6%10.8%40.8%91.7%37.1%6.7%-5.4%2.1M-21.6M-148.8K0.8125.05N/AN/A3,6422,94443,1037,684
2016-02-12$17.96$18.0036.0%10.3%39.7%84.9%36.2%8.3%-5.4%2.2M-23.9M-153.0K0.1727.24N/AN/A3,57161842,9649,305
2016-02-16$18.09$18.0035.7%10.2%39.1%83.8%34.4%8.0%-5.8%2.7M-26.7M-144.2K0.1928.92N/AN/A3,59269742,9949,259
2016-02-17$18.35$18.0033.1%9.5%39.1%73.5%32.4%3.7%-2.7%2.9M-35.7M-142.3K0.2633.09N/AN/A2,44763643,0199,137
2016-02-18$18.56$18.0030.2%8.7%36.3%61.9%32.1%5.9%-2.7%3.0M-40.5M-140.9K0.2244.23N/AN/A1,93841942,9878,958
2016-02-19$18.45$18.0030.5%8.7%35.0%63.1%30.4%4.0%-0.4%1.0M-41.6M-134.7K0.0828.35N/AN/A4,88638142,9518,943
2016-02-22$18.60$18.0029.2%8.4%34.6%57.8%28.9%5.3%-2.2%1.2M-24.1M-142.9K0.2329.99N/AN/A1,60136929,0512,549
2016-02-23$18.57$18.0028.9%8.3%31.3%56.7%29.7%3.9%-2.9%1.3M-24.3M-143.7K1.1763.76N/AN/A69280930,1402,659
2016-02-24$18.86$18.0029.5%8.5%31.4%59.0%30.8%5.5%-3.3%1.2M-26.7M-146.3K0.3660.09N/AN/A2,55391430,3493,157
2016-02-25$19.16$18.0031.9%9.2%31.6%68.9%36.6%9.3%-4.0%1.4M-30.5M-154.0K1.6740.62N/AN/A3,2875,50532,2853,225
2016-02-26$18.57$18.0029.0%8.3%33.9%57.0%28.7%5.3%-2.5%1.0M-23.8M-163.1K0.26120.66N/AN/A1,38235934,1408,310
2016-02-29$18.70$18.0029.0%8.3%33.8%57.2%30.7%6.3%-2.3%1.1M-25.9M-160.0K0.4346.47N/AN/A73431234,4828,373