CNP Options History — July 2016

In July 2016, CNP traded between $23.49 and $24.67. ATM implied volatility averaged 20.3%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.8% (HV 20d: 16.4%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.16.

Notable Days

  • 2016-07-11: Highest Volume — 8,741 contracts
  • 2016-07-11: Largest IV spike — 28.7% change
  • 2016-07-29: Highest IV Rank — 30.7%
  • 2016-07-29: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.00$23.49$24.67$24.05$23.96
Max Pain$20.65$20.00$23.00$23.00$21.00
ATM IV20.3%16.2%23.4%17.9%23.4%
Expected Move6.0%5.1%6.7%5.1%6.7%
HV 20d16.4%13.2%18.0%13.2%17.2%
HV 60d15.2%14.7%15.6%14.7%15.3%
IV Rank16.7%0.0%30.7%4.4%30.7%
IV Percentile19.9%0.0%47.6%1.6%47.6%
Term Structure-1.0%-5.2%2.6%2.6%-5.2%
VWIV22.0%18.1%26.4%18.1%23.9%
Skew 25d4.3%1.5%7.6%6.8%1.5%
Skew 10d8.2%-6.9%14.7%9.6%9.2%
Call IV 25d19.2%15.2%23.9%15.6%23.9%
Put IV 25d23.5%22.0%25.6%22.4%25.4%
Bid-Ask Spread %47.4419.08103.6361.1452.40
Gamma HHI0.300.220.350.280.33
Net GEX1.0M796.1K1.4M796.1K1.1M
Net DEX-47.5M-52.9M-41.9M-47.3M-47.9M
Net VEX-60.4K-85.4K-49.0K-51.9K-51.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.070.650.650.07
Total Volume7,012.752,0078,7412,0077,586
Total OI29,477.827,57830,99827,57830,953

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$24.05$23.0017.9%5.1%13.2%4.4%18.1%6.8%2.6%796.1K-47.3M-51.9K0.6561.14N/AN/A1,21978824,1373,441
2016-07-05$24.05$20.0019.6%6.1%13.2%12.0%24.2%4.6%-0.7%961.2K-45.3M-80.3K0.5427.53N/AN/A1,40175724,2053,488
2016-07-06$24.04$20.0019.9%6.1%13.2%12.9%22.1%4.3%-0.3%827.5K-47.8M-49.0K0.1230.13N/AN/A6,46175524,3973,508
2016-07-07$23.49$20.0021.5%6.4%15.8%20.2%22.4%3.5%-0.7%1.1M-41.9M-85.4K0.1326.19N/AN/A6,68485724,5133,531
2016-07-08$23.89$20.0016.2%5.8%16.7%0.0%22.4%4.6%-0.8%1.1M-44.1M-84.9K0.1419.86N/AN/A6,46289024,7943,654
2016-07-11$23.78$20.0020.9%5.9%16.3%19.8%20.9%4.2%-0.3%963.6K-46.5M-49.1K0.1119.08N/AN/A7,85189024,8333,700
2016-07-12$23.70$20.0016.9%5.8%16.0%2.8%26.4%3.4%0.6%1.3M-44.5M-83.4K0.1333.99N/AN/A6,79285526,0003,733
2016-07-13$23.92$20.0021.3%6.1%16.2%21.3%25.3%6.1%-0.8%1.4M-45.5M-83.3K0.1345.64N/AN/A6,48286126,0783,748
2016-07-14$23.67$20.0020.1%5.8%16.6%16.4%23.0%5.3%1.4%1.2M-46.9M-51.8K0.1429.52N/AN/A6,44888926,1703,768
2016-07-15$24.07$20.0020.0%5.7%17.4%16.0%20.5%5.3%-0.3%909.8K-50.7M-51.1K0.1579.67N/AN/A7,1611,04826,2073,776
2016-07-18$23.95$21.0019.9%5.7%17.6%15.5%19.6%4.7%-1.1%1.0M-47.6M-50.0K0.1457.40N/AN/A6,59989125,4023,546
2016-07-19$23.92$21.0019.7%5.6%17.5%14.6%23.2%2.1%-0.5%1.0M-47.4M-51.3K0.1595.23N/AN/A6,6101,02225,6193,621
2016-07-20$24.10$21.0019.8%5.7%17.2%15.2%19.5%4.5%-1.1%1.0M-48.4M-51.6K0.1441.78N/AN/A6,64595025,7963,790
2016-07-21$24.23$21.0020.7%5.9%16.7%18.9%21.5%4.1%-2.5%999.2K-49.3M-51.6K0.1161.51N/AN/A6,63572825,8683,833
2016-07-22$24.67$21.0020.7%5.9%17.5%19.0%19.8%7.6%-2.1%866.2K-52.9M-49.2K0.1134.46N/AN/A6,92274326,0094,136
2016-07-25$24.43$21.0021.1%6.0%18.0%20.5%18.9%6.3%-1.6%984.0K-51.9M-51.5K0.0841.41N/AN/A6,82354426,4584,198
2016-07-26$24.32$21.0021.3%6.1%17.7%21.7%21.2%2.1%-2.1%1.0M-51.2M-50.9K0.0852.93N/AN/A6,80757726,5344,172
2016-07-27$23.94$21.0021.9%6.3%17.8%23.9%22.7%2.5%-2.1%1.3M-46.4M-77.0K0.08103.63N/AN/A6,78053526,7474,251
2016-07-28$23.78$21.0022.8%6.5%17.0%28.0%24.5%3.3%-3.1%1.1M-46.5M-53.0K0.0835.31N/AN/A6,78352426,6814,261
2016-07-29$23.96$21.0023.4%6.7%17.2%30.7%23.9%1.5%-5.2%1.1M-47.9M-51.0K0.0752.40N/AN/A7,06252426,7144,239