CNP Options History — March 2016

In March 2016, CNP traded between $18.74 and $21.23. ATM implied volatility averaged 24.1%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.6% (HV 20d: 23.5%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2016-03-30: Highest Volume — 9,687 contracts
  • 2016-03-09: Largest IV drop — 22.1% change
  • 2016-03-08: Highest IV Rank — 69.9%
  • 2016-03-02: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.31$18.74$21.23$18.74$20.94
Max Pain$18.09$18.00$20.00$18.00$20.00
ATM IV24.1%20.0%32.2%27.8%22.7%
Expected Move6.7%5.7%8.0%8.0%6.5%
HV 20d23.5%17.7%30.0%29.3%20.2%
HV 60d29.6%28.5%31.2%30.5%28.9%
IV Rank37.5%20.9%69.9%52.3%31.9%
IV Percentile48.7%16.7%92.5%76.2%40.5%
Term Structure1.2%-3.2%3.4%-3.2%3.4%
VWIV23.7%20.0%32.5%28.1%22.7%
Skew 25d3.8%1.5%9.5%4.4%9.5%
Skew 10d9.0%-2.9%19.5%14.1%9.9%
Call IV 25d22.2%17.8%28.7%26.9%17.8%
Put IV 25d26.0%22.1%32.5%31.3%27.3%
Bid-Ask Spread %38.1414.12116.4337.1932.62
Gamma HHI0.240.200.340.300.22
Net GEX1.2M677.1K1.4M1.2M758.4K
Net DEX-41.8M-55.4M-24.0M-27.0M-37.8M
Net VEX-146.1K-163.8K-129.7K-158.6K-162.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.0810.710.571.87
Total Volume2,598.5919139,6871,6051,083
Total OI44,424.59133,99250,36842,83645,035

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$18.74$18.0027.8%8.0%29.3%52.3%28.1%4.4%-3.2%1.2M-27.0M-158.6K0.5737.19N/AN/A1,02458134,4828,354
2016-03-02$18.80$18.0028.0%8.0%29.1%53.1%32.5%3.8%-2.4%1.2M-27.2M-157.5K8.6838.56N/AN/A7236,27834,7318,478
2016-03-03$18.78$18.0027.0%7.1%26.8%49.0%26.4%5.7%1.5%677.1K-24.0M-163.8K1.0640.67N/AN/A64568334,77213,795
2016-03-04$19.49$18.0028.9%7.1%29.9%56.8%24.2%2.6%0.8%985.7K-34.9M-161.6K0.4042.65N/AN/A1,20347934,80713,809
2016-03-07$19.70$18.0028.4%7.0%30.0%54.7%25.6%3.5%1.4%1.1M-38.3M-156.4K0.3626.10N/AN/A99636134,85313,878
2016-03-08$19.88$18.0032.2%7.1%28.6%69.9%22.9%4.7%1.1%965.4K-40.7M-148.3K0.7026.96N/AN/A95266934,94913,939
2016-03-09$19.92$18.0025.1%7.2%28.5%41.4%26.0%4.2%-0.8%1.2M-41.9M-153.3K0.1020.57N/AN/A5,12353535,12614,188
2016-03-10$20.20$18.0024.6%7.1%28.7%39.4%24.4%1.5%1.0%1.3M-45.3M-147.3K0.2927.44N/AN/A2,27766635,08414,343
2016-03-11$20.26$18.0023.8%6.8%20.4%36.1%23.5%3.2%1.2%1.3M-46.4M-146.4K0.3425.58N/AN/A1,61555735,23214,492
2016-03-14$20.43$18.0023.4%6.7%20.1%34.7%23.4%3.0%1.4%1.4M-48.1M-143.6K1.0614.12N/AN/A49652835,18114,508
2016-03-15$20.50$18.0024.7%7.1%20.1%39.9%20.0%4.8%0.5%1.4M-48.6M-143.4K0.8924.55N/AN/A85476335,24714,555
2016-03-16$20.63$18.0021.7%6.2%19.9%27.7%21.2%2.6%1.9%1.3M-50.4M-139.3K1.1362.30N/AN/A66675235,50814,788
2016-03-17$21.12$18.0022.6%6.5%20.8%31.2%22.2%3.5%0.1%1.1M-55.4M-129.7K1.0228.16N/AN/A65266635,55714,811
2016-03-18$20.75$18.0021.3%6.1%22.1%26.2%22.1%3.5%1.4%1.2M-52.4M-133.3K0.5351.28N/AN/A69336435,31114,936
2016-03-21$20.90$18.0021.1%6.1%22.1%25.5%21.6%4.0%1.3%1.2M-40.4M-133.8K0.3150.78N/AN/A75223429,6524,340
2016-03-22$20.96$18.0020.9%6.0%21.9%24.7%20.9%3.9%1.7%1.2M-42.0M-131.4K0.3453.96N/AN/A68023329,9074,395
2016-03-23$20.98$18.0020.0%5.7%21.7%20.9%20.1%1.6%3.3%1.2M-41.9M-130.8K0.0828.62N/AN/A3,51029529,9194,398
2016-03-24$21.01$18.0020.0%5.7%21.4%21.0%20.5%2.9%2.8%1.4M-44.4M-141.4K0.0923.82N/AN/A3,42630632,6134,462
2016-03-28$20.79$18.0021.8%6.3%17.7%28.3%25.7%1.9%2.2%1.4M-43.1M-141.3K0.1630.80N/AN/A3,25251532,8554,475
2016-03-29$21.23$18.0021.3%6.1%18.5%26.2%21.2%6.0%2.0%1.3M-46.7M-140.0K0.4835.94N/AN/A94445132,9854,668
2016-03-30$20.88$18.0023.4%6.7%20.2%34.6%26.7%2.0%3.3%1.4M-43.0M-150.0K10.71116.43N/AN/A8278,86033,1604,763
2016-03-31$20.94$20.0022.7%6.5%20.2%31.9%22.7%9.5%3.4%758.4K-37.8M-162.5K1.8732.62N/AN/A37770633,57311,462