CNP Options History — August 2016

In August 2016, CNP traded between $22.13 and $23.63. ATM implied volatility averaged 19.3%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.2% (HV 20d: 19.5%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.26.

Notable Days

  • 2016-08-11: Highest Volume — 10,369 contracts
  • 2016-08-09: Largest IV drop — 30.8% change
  • 2016-08-03: Highest IV Rank — 38.6%
  • 2016-08-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.79$22.13$23.63$23.63$22.50
Max Pain$22.87$21.00$24.00$21.00$23.00
ATM IV19.3%16.1%25.3%21.7%20.0%
Expected Move5.4%4.6%7.3%6.2%5.7%
HV 20d19.5%16.1%21.1%17.9%20.1%
HV 60d16.8%15.5%17.7%15.7%17.3%
IV Rank13.3%0.0%38.6%23.3%16.6%
IV Percentile17.1%0.0%62.3%33.3%21.4%
Term Structure0.6%-7.0%4.1%-2.0%-0.6%
VWIV18.3%16.0%22.7%22.7%16.0%
Skew 25d3.8%-0.4%6.9%-0.4%2.5%
Skew 10d4.3%-2.9%12.7%-2.9%1.0%
Call IV 25d16.6%12.5%21.8%21.8%16.4%
Put IV 25d20.4%17.0%27.6%21.4%18.9%
Bid-Ask Spread %37.1717.9094.0494.0457.94
Gamma HHI0.280.170.490.340.20
Net GEX638.1K125.3K1.3M1.1M306.4K
Net DEX-15.5M-46.3M-2.7M-46.3M-3.9M
Net VEX-46.7K-62.2K-37.5K-49.6K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.080.810.080.81
Total Volume4,928.30418710,3697,1881,386
Total OI20,021.78311,09331,20731,06413,323

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$23.63$21.0021.7%6.2%17.9%23.3%22.7%-0.4%-2.0%1.1M-46.3M-49.6K0.0894.04N/AN/A6,64054826,8254,239
2016-08-02$23.46$21.0024.9%7.2%18.0%37.1%21.9%6.6%-4.4%1.2M-44.5M-49.5K0.0823.64N/AN/A7,00858826,9174,290
2016-08-03$23.47$21.0025.3%7.3%18.0%38.6%22.5%6.8%-6.8%1.1M-44.3M-48.9K0.0849.20N/AN/A7,00056626,7784,347
2016-08-04$23.59$24.0024.3%5.5%16.1%34.5%19.0%4.1%1.4%1.1M-45.2M-48.0K0.0931.69N/AN/A7,59367926,7884,359
2016-08-05$22.65$24.0019.6%5.0%20.6%14.4%18.7%2.6%3.1%1.3M-23.6M-60.7K0.6034.67N/AN/A1,8601,10921,7294,413
2016-08-08$22.73$24.0024.1%5.1%20.7%33.4%18.6%3.7%2.4%1.3M-23.3M-62.2K0.4624.55N/AN/A1,69677521,9974,812
2016-08-09$22.74$23.0016.7%5.0%20.7%1.8%18.6%3.2%2.7%1.2M-23.7M-60.7K0.5033.77N/AN/A1,58779522,0944,850
2016-08-10$22.64$23.0017.9%5.1%20.3%6.9%18.4%3.5%2.5%1.2M-23.5M-59.1K0.4721.46N/AN/A1,66678622,0824,915
2016-08-11$22.67$23.0018.1%5.2%20.1%7.9%17.2%5.4%1.5%1.3M-22.2M-58.8K0.0822.93N/AN/A9,57579422,0984,946
2016-08-12$22.61$23.0017.2%4.9%18.8%4.1%18.3%2.1%2.3%218.0K-4.4M-39.6K0.1130.72N/AN/A6,26768211,8735,032
2016-08-15$22.44$23.0019.1%5.5%18.9%12.4%18.9%2.0%0.8%210.1K-4.2M-38.8K0.1039.73N/AN/A6,32964112,0155,076
2016-08-16$22.13$23.0017.9%5.1%19.2%7.1%17.3%1.8%2.4%125.3K-2.7M-37.5K0.1120.78N/AN/A6,25566112,1065,088
2016-08-17$22.59$23.0017.1%4.9%20.8%3.7%18.2%5.6%4.1%199.7K-3.0M-38.5K0.5051.12N/AN/A22111011,3494,983
2016-08-18$22.82$23.0016.7%4.8%21.1%2.1%16.7%4.3%3.1%188.4K-3.7M-38.9K0.4143.02N/AN/A1335411,3575,028
2016-08-19$22.82$23.0016.9%4.8%19.6%2.7%16.2%5.1%3.4%310.6K-4.6M-38.6K0.1122.36N/AN/A6,26771012,2055,130
2016-08-22$22.95$23.0016.1%4.6%19.8%0.0%16.7%6.9%1.4%346.1K-5.7M-38.7K0.1823.03N/AN/A4,7428607,8343,259
2016-08-23$22.85$23.0016.3%4.7%19.8%1.1%17.6%5.6%1.4%332.2K-5.5M-40.5K0.1937.90N/AN/A4,7068868,0393,653
2016-08-24$22.76$23.0016.9%4.8%19.2%3.4%16.6%5.4%0.4%295.2K-4.6M-42.5K0.4724.48N/AN/A6142888,0824,003
2016-08-25$22.70$23.0016.5%4.7%19.1%2.0%16.6%4.4%1.1%335.9K-5.0M-44.6K0.1517.90N/AN/A4,6016748,6844,261
2016-08-26$22.32$23.0017.9%5.1%19.4%7.7%17.3%-0.4%1.0%270.0K-3.8M-44.6K0.1574.53N/AN/A4,4106508,7234,431
2016-08-29$22.66$23.0020.0%5.7%20.1%16.5%18.0%1.0%-0.8%305.2K-4.4M-44.7K0.1121.57N/AN/A4,4775088,7474,432
2016-08-30$22.48$23.0022.8%6.5%20.1%28.4%18.6%5.3%-7.0%309.7K-4.2M-44.1K0.1053.89N/AN/A4,5244308,8514,458
2016-08-31$22.50$23.0020.0%5.7%20.1%16.6%16.0%2.5%-0.6%306.4K-3.9M-43.7K0.8157.94N/AN/A7646228,8754,448