CNP Options History — April 2016

In April 2016, CNP traded between $20.53 and $21.44. ATM implied volatility averaged 25.6%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 6.8% (HV 20d: 18.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-04-15: Highest Volume — 1,202 contracts
  • 2016-04-08: Largest IV drop — 17.6% change
  • 2016-04-29: Highest IV Rank — 48.8%
  • 2016-04-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.98$20.53$21.44$21.21$21.43
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV25.6%21.2%27.9%23.0%27.9%
Expected Move7.5%6.6%8.0%6.6%8.0%
HV 20d18.8%17.3%20.5%20.2%17.4%
HV 60d26.3%22.0%28.9%28.9%22.0%
IV Rank40.2%20.0%48.8%33.1%48.8%
IV Percentile62.9%23.0%75.0%42.5%75.0%
Term Structure-3.0%-7.4%3.4%3.4%-5.1%
VWIV26.6%22.7%28.7%22.7%27.3%
Skew 25d5.5%2.3%13.4%13.4%5.8%
Skew 10d11.7%2.8%19.5%19.4%7.3%
Call IV 25d23.6%14.9%26.1%14.9%23.5%
Put IV 25d29.0%27.1%31.2%28.3%29.3%
Bid-Ask Spread %25.2816.2843.8923.7228.62
Gamma HHI0.240.220.280.220.25
Net GEX776.9K611.7K1.3M752.1K651.9K
Net DEX-36.4M-43.9M-29.1M-41.0M-38.5M
Net VEX-146.5K-162.5K-131.0K-159.6K-131.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.582.281.020.92
Total Volume905.7146791,202976748
Total OI43,128.23839,34446,10645,27440,675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$21.21$20.0023.0%6.6%20.2%33.1%22.7%13.4%3.4%752.1K-41.0M-159.6K1.0223.72N/AN/A48249433,74911,525
2016-04-04$20.96$20.0024.9%7.6%17.6%40.5%25.5%5.6%-3.7%794.9K-39.3M-158.6K0.9636.47N/AN/A44642933,99311,494
2016-04-05$20.53$20.0023.8%7.6%19.3%36.1%26.7%4.0%-3.8%865.2K-33.4M-162.5K1.6123.75N/AN/A40465134,07411,545
2016-04-06$20.73$20.0025.6%7.4%19.4%43.3%26.6%5.1%-2.2%822.6K-34.8M-157.6K1.6731.81N/AN/A35559334,07011,725
2016-04-07$20.74$20.0025.8%7.4%19.4%44.0%25.4%3.8%-1.9%840.8K-35.4M-160.2K1.1423.91N/AN/A39444834,06011,731
2016-04-08$20.90$20.0021.2%7.3%19.0%20.0%25.7%4.8%-2.3%805.7K-38.8M-153.5K0.8018.50N/AN/A57746134,08211,740
2016-04-11$20.89$20.0024.6%7.5%19.0%34.8%26.2%4.5%-2.5%810.3K-38.5M-150.5K0.8424.87N/AN/A44337333,99911,744
2016-04-12$21.30$20.0026.3%7.6%19.9%42.0%26.7%4.7%-2.9%811.2K-43.9M-147.2K0.8222.68N/AN/A45637534,13711,756
2016-04-13$21.19$20.0026.9%7.7%20.1%44.5%27.2%3.5%-3.9%907.7K-42.6M-147.8K0.8730.79N/AN/A42737034,18211,770
2016-04-14$20.96$20.0025.8%7.4%20.5%39.6%26.7%5.8%-2.9%976.3K-39.6M-145.6K0.9424.21N/AN/A44141434,27011,765
2016-04-15$20.99$20.0025.7%7.4%18.6%39.2%26.5%5.1%-2.4%1.3M-39.5M-149.6K0.7327.99N/AN/A69350934,23211,874
2016-04-18$21.00$20.0025.3%7.3%17.5%37.8%26.7%4.9%-2.3%657.4K-32.9M-142.2K0.9616.28N/AN/A51849930,2949,050
2016-04-19$20.99$20.0025.7%7.4%17.3%39.5%28.4%5.4%-3.5%660.1K-33.3M-141.5K2.2819.71N/AN/A24255130,5009,285
2016-04-20$20.57$20.0025.3%7.2%18.7%37.5%26.5%6.6%-0.9%695.8K-29.2M-145.8K1.2925.48N/AN/A35145430,5819,346
2016-04-21$20.55$20.0026.1%7.5%18.7%40.9%25.9%5.0%-3.0%684.1K-29.1M-141.0K0.9826.44N/AN/A43242530,6809,470
2016-04-22$20.81$20.0026.0%7.5%19.3%40.8%26.1%5.0%-3.3%663.9K-31.4M-141.4K0.5817.92N/AN/A66438630,7429,492
2016-04-25$21.05$20.0026.4%7.6%19.4%42.6%28.7%6.4%-3.7%668.0K-33.2M-138.0K0.8019.96N/AN/A55044130,7869,570
2016-04-26$21.10$20.0027.7%7.9%17.8%47.9%27.0%5.8%-4.7%637.0K-34.7M-136.4K0.7919.18N/AN/A55544130,8779,647
2016-04-27$21.44$20.0027.1%7.8%17.6%45.6%27.2%7.4%-4.9%663.6K-38.7M-132.8K0.6443.89N/AN/A51833130,9059,647
2016-04-28$21.31$20.0027.1%7.8%17.8%45.2%28.1%2.3%-7.4%611.7K-37.4M-134.4K0.9824.62N/AN/A34333630,9329,697
2016-04-29$21.43$20.0027.9%8.0%17.4%48.8%27.3%5.8%-5.1%651.9K-38.5M-131.0K0.9228.62N/AN/A39035830,9709,705