CNP Options History — May 2016

In May 2016, CNP traded between $21.46 and $22.53. ATM implied volatility averaged 23.0%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.9% (HV 20d: 16.1%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2016-05-11: Highest Volume — 9,648 contracts
  • 2016-05-10: Largest IV drop — 22.1% change
  • 2016-05-04: Highest IV Rank — 68.6%
  • 2016-05-04: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.97$21.46$22.53$21.70$22.53
Max Pain$20.86$20.00$21.00$20.00$21.00
ATM IV23.0%18.1%32.5%28.3%18.1%
Expected Move6.3%5.2%9.3%8.1%5.2%
HV 20d16.1%14.3%17.8%17.2%16.2%
HV 60d19.3%16.8%22.1%22.0%16.8%
IV Rank27.7%6.7%68.6%50.5%6.7%
IV Percentile34.6%3.2%92.9%76.2%3.2%
Term Structure0.0%-6.8%2.6%-4.8%1.0%
VWIV22.1%18.2%33.0%29.2%18.4%
Skew 25d4.0%1.5%8.9%1.5%2.8%
Skew 10d9.1%0.9%23.4%1.7%0.9%
Call IV 25d20.0%16.2%28.7%28.7%16.8%
Put IV 25d24.0%19.6%32.1%30.2%19.6%
Bid-Ask Spread %40.8714.97103.8256.8123.37
Gamma HHI0.340.260.490.270.33
Net GEX838.4K455.0K1.4M653.1K1.1M
Net DEX-36.9M-47.5M-28.3M-42.0M-35.5M
Net VEX-110.1K-129.8K-98.0K-128.4K-98.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.051.520.610.28
Total Volume2,731.6678569,6488561,388
Total OI33,955.23823,98941,56740,74625,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$21.70$20.0028.3%8.1%17.2%50.5%29.2%1.5%-4.8%653.1K-42.0M-128.4K0.6156.81N/AN/A53332331,0149,732
2016-05-03$21.46$20.0030.9%8.9%15.8%61.9%29.2%6.5%-6.8%658.9K-39.2M-129.8K0.5843.47N/AN/A58633831,1959,753
2016-05-04$21.68$20.0032.5%9.3%15.9%68.6%33.0%8.9%-4.5%690.5K-41.7M-129.4K0.5299.04N/AN/A72237231,2889,749
2016-05-05$21.64$21.0028.4%6.7%15.9%51.3%23.7%3.9%0.5%688.6K-42.5M-127.4K0.2323.49N/AN/A1,54936031,4699,774
2016-05-06$21.64$21.0029.8%6.5%15.8%57.0%23.2%4.5%-0.6%641.2K-41.6M-124.3K0.6523.71N/AN/A53134731,0339,797
2016-05-09$21.73$21.0030.5%6.6%15.8%60.2%23.7%4.6%-0.3%629.6K-42.6M-122.8K1.5225.70N/AN/A44667731,0619,838
2016-05-10$22.06$21.0023.8%6.0%15.2%31.0%22.1%4.4%1.5%466.5K-47.4M-112.8K0.3645.41N/AN/A92132931,08410,210
2016-05-11$22.03$21.0020.4%5.9%15.1%16.6%21.1%2.2%1.7%603.0K-47.5M-113.1K0.0537.22N/AN/A9,22042831,36510,202
2016-05-12$22.10$21.0020.3%5.8%14.3%16.0%20.4%4.4%1.9%524.7K-34.8M-106.7K0.0522.82N/AN/A8,26044323,90510,261
2016-05-13$22.00$21.0020.7%5.9%14.5%17.7%20.7%2.5%1.1%585.4K-33.9M-105.3K0.0636.80N/AN/A6,74841023,51910,242
2016-05-16$22.21$21.0021.3%6.1%14.7%20.5%21.5%4.3%1.1%1.3M-34.9M-103.3K0.1132.13N/AN/A3,64541023,34410,329
2016-05-17$22.19$21.0020.1%5.8%14.7%15.1%20.1%4.3%1.4%1.4M-34.8M-104.7K0.1014.97N/AN/A3,25632623,45310,344
2016-05-18$21.52$21.0019.8%5.7%17.1%14.1%20.8%2.6%1.5%455.0K-28.3M-106.8K0.1250.21N/AN/A2,46130223,44810,421
2016-05-19$21.87$21.0019.6%5.6%17.8%12.9%21.1%2.7%2.6%1.4M-31.3M-100.1K0.2733.42N/AN/A1,52740622,99310,452
2016-05-20$22.04$21.0019.5%5.6%17.5%12.4%20.1%2.8%2.3%926.0K-33.9M-100.9K0.2224.05N/AN/A1,48732423,04010,581
2016-05-23$21.99$21.0019.6%5.6%17.3%12.9%18.9%3.5%0.7%938.5K-31.2M-98.3K0.2620.26N/AN/A1,32434221,6482,341
2016-05-24$22.02$21.0020.0%5.7%17.3%14.5%20.1%3.4%0.1%959.9K-31.3M-99.4K0.2955.00N/AN/A1,01729521,9422,429
2016-05-25$22.12$21.0019.1%5.5%16.5%10.7%18.2%5.5%0.5%989.8K-31.8M-100.5K0.2120.92N/AN/A1,61333721,9652,433
2016-05-26$22.32$21.0020.0%5.7%16.5%14.5%20.2%3.9%-0.4%1.0M-33.7M-99.8K0.19103.82N/AN/A1,65231922,5672,463
2016-05-27$22.51$21.0020.4%5.8%16.6%16.3%18.5%4.6%0.5%1.1M-34.9M-99.7K0.3065.63N/AN/A1,06732422,7122,463
2016-05-31$22.53$21.0018.1%5.2%16.2%6.7%18.4%2.8%1.0%1.1M-35.5M-98.0K0.2823.37N/AN/A1,08430422,7442,457