CNP Options History — June 2016

In June 2016, CNP traded between $22.57 and $24.03. ATM implied volatility averaged 19.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 6.3% (HV 20d: 13.5%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.43.

Notable Days

  • 2016-06-06: Highest Volume — 2,477 contracts
  • 2016-06-29: Largest IV drop — 22.9% change
  • 2016-06-27: Highest IV Rank — 28.5%
  • 2016-06-27: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.22$22.57$24.03$22.57$24.03
Max Pain$21.91$21.00$23.00$21.00$23.00
ATM IV19.8%17.2%23.4%21.5%18.0%
Expected Move5.6%4.9%6.7%6.2%5.2%
HV 20d13.5%9.5%16.1%15.4%13.8%
HV 60d16.0%14.7%16.8%16.7%14.7%
IV Rank13.4%2.4%28.5%21.1%4.7%
IV Percentile14.3%0.8%43.3%26.2%2.0%
Term Structure1.5%-1.3%3.7%-0.2%3.7%
VWIV20.0%17.1%33.0%19.6%18.2%
Skew 25d4.5%1.4%8.7%3.3%6.4%
Skew 10d7.7%1.8%14.6%9.9%8.1%
Call IV 25d17.5%12.8%21.1%18.5%15.5%
Put IV 25d22.0%19.9%26.0%21.7%22.0%
Bid-Ask Spread %72.2517.90126.5458.2561.00
Gamma HHI0.280.240.340.330.29
Net GEX1.2M820.7K1.8M1.1M820.7K
Net DEX-40.5M-47.2M-35.7M-35.7M-47.2M
Net VEX-87.2K-95.3K-51.6K-93.8K-51.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.130.770.280.62
Total Volume1,848.2271,3122,4771,3792,070
Total OI26,456.77325,32427,30225,32427,302

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$22.57$21.0021.5%6.2%15.4%21.1%19.6%3.3%-0.2%1.1M-35.7M-93.8K0.2858.25N/AN/A1,07530422,8672,457
2016-06-02$22.60$21.0018.8%5.1%15.2%9.5%18.2%3.3%1.8%1.1M-35.8M-93.9K0.2720.26N/AN/A1,03028222,8752,457
2016-06-03$22.92$21.0018.7%5.3%15.7%9.0%18.4%3.0%1.4%1.1M-38.3M-92.9K0.1322.53N/AN/A2,15428622,9252,464
2016-06-06$23.05$21.0017.9%5.2%15.6%5.9%18.4%3.0%2.8%1.4M-40.6M-89.1K0.1720.85N/AN/A2,11236524,0612,469
2016-06-07$23.07$21.0019.5%5.3%15.7%12.4%18.9%3.1%2.1%1.3M-41.1M-88.7K0.2623.61N/AN/A1,30834424,0792,610
2016-06-08$23.25$21.0018.4%5.3%15.1%8.1%18.3%3.4%2.5%1.3M-42.2M-89.7K0.2127.41N/AN/A1,50831024,3142,637
2016-06-09$23.39$21.0019.1%5.5%15.1%11.0%18.9%5.1%1.4%1.2M-43.4M-88.5K0.2417.90N/AN/A1,27031024,3262,649
2016-06-10$23.14$21.0020.1%5.8%15.9%15.1%20.3%4.8%0.6%1.4M-41.7M-89.1K0.2893.43N/AN/A1,30636024,3412,650
2016-06-13$22.96$21.0020.7%5.9%16.1%17.6%20.3%3.6%0.9%1.4M-40.5M-87.6K0.3065.02N/AN/A1,21036024,3502,696
2016-06-14$23.06$22.0020.5%5.9%15.9%16.8%20.6%3.4%2.3%1.4M-40.8M-88.4K0.3396.51N/AN/A1,13937824,3502,718
2016-06-15$22.93$22.0020.9%6.0%16.1%18.5%33.0%1.4%0.7%1.5M-39.9M-90.8K0.37126.54N/AN/A1,07739824,3922,737
2016-06-16$23.04$21.0019.8%5.7%10.6%13.7%20.1%4.3%1.0%1.8M-40.6M-86.9K0.37102.38N/AN/A1,13941724,3932,757
2016-06-17$23.05$21.0019.1%5.5%9.5%10.8%19.0%3.2%2.2%1.2M-42.2M-85.7K0.7794.91N/AN/A1,10184424,4352,795
2016-06-20$23.22$23.0019.8%5.7%9.5%14.0%19.5%2.7%1.4%930.7K-37.8M-95.3K0.5696.16N/AN/A1,33073922,5122,903
2016-06-21$23.51$23.0017.2%4.9%9.9%2.8%18.6%6.9%2.3%933.9K-41.0M-80.4K0.5751.55N/AN/A1,29874422,7952,933
2016-06-22$23.28$23.0019.3%5.5%11.0%11.6%19.9%3.3%3.2%985.7K-38.8M-91.6K0.7079.48N/AN/A1,08075223,0442,972
2016-06-23$23.48$23.0019.1%5.5%11.1%9.5%17.9%5.1%0.9%1.0M-39.8M-89.7K0.74117.14N/AN/A1,07479523,0693,010
2016-06-24$23.40$23.0023.1%6.6%11.1%27.3%22.7%7.1%-1.3%968.7K-39.9M-87.2K0.69110.49N/AN/A1,18082023,0903,111
2016-06-27$23.20$23.0023.4%6.7%11.5%28.5%20.2%8.5%-1.1%994.5K-38.6M-90.5K0.63102.68N/AN/A1,18575023,0633,182
2016-06-28$23.62$23.0022.6%6.5%12.9%25.1%21.4%4.8%1.1%966.6K-40.8M-85.9K0.51100.83N/AN/A1,46274923,1823,256
2016-06-29$24.01$23.0017.4%5.0%13.8%2.4%17.1%8.7%3.7%960.1K-44.0M-80.3K0.54100.55N/AN/A1,46178523,5633,258
2016-06-30$24.03$23.0018.0%5.2%13.8%4.7%18.2%6.4%3.7%820.7K-47.2M-51.6K0.6261.00N/AN/A1,27679423,9893,313