CNP Options History — September 2016

In September 2016, CNP traded between $22.40 and $24.26. ATM implied volatility averaged 20.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 3.2% (HV 20d: 23.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-09-23: Highest Volume — 18,306 contracts
  • 2016-09-13: Largest IV spike — 89.4% change
  • 2016-09-13: Highest IV Rank — 100.0%
  • 2016-09-13: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.30$22.40$24.26$22.40$23.29
Max Pain$23.05$23.00$24.00$23.00$23.00
ATM IV20.1%14.3%44.3%20.8%19.5%
Expected Move5.5%4.1%6.6%6.0%5.6%
HV 20d23.4%14.5%27.2%20.0%27.2%
HV 60d20.3%17.2%21.7%17.2%21.5%
IV Rank20.2%0.0%100.0%20.2%17.4%
IV Percentile21.1%0.0%100.0%29.0%19.4%
Term Structure2.9%-1.7%5.6%-1.7%5.4%
VWIV19.4%14.7%22.3%17.1%21.8%
Skew 25d3.7%0.4%10.0%2.9%7.0%
Skew 10d8.4%-1.9%17.2%2.0%8.7%
Call IV 25d17.9%14.3%21.3%16.7%19.3%
Put IV 25d21.6%17.4%26.3%19.6%26.3%
Bid-Ask Spread %53.3423.48108.9273.0358.64
Gamma HHI0.450.200.650.200.38
Net GEX1.3M276.2K2.2M276.2K1.6M
Net DEX-12.3M-25.3M-3.6M-3.6M-12.8M
Net VEX-68.3K-103.1K-43.3K-43.5K-88.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.031.060.790.51
Total Volume3,237.0951,27718,3061,4051,695
Total OI22,803.33313,47132,11013,47132,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$22.40$23.0020.8%6.0%20.0%20.2%17.1%2.9%-1.7%276.2K-3.6M-43.5K0.7973.03N/AN/A7836228,8734,598
2016-09-02$22.63$23.0014.3%4.1%14.5%0.0%14.7%2.9%4.2%321.7K-4.2M-44.0K0.7848.94N/AN/A7615928,8764,598
2016-09-06$22.81$23.0018.2%5.1%14.8%15.3%19.9%3.2%2.5%360.6K-5.1M-43.3K0.8823.48N/AN/A6815968,9004,598
2016-09-07$23.29$23.0018.2%5.1%16.5%15.5%21.4%6.0%3.0%458.5K-7.1M-43.9K1.0636.17N/AN/A7057448,9304,602
2016-09-08$23.63$23.0017.0%5.7%17.0%10.7%19.9%3.7%1.5%471.9K-8.3M-45.3K0.0747.39N/AN/A8,6995818,9864,760
2016-09-09$22.64$23.0022.1%6.0%23.3%30.5%21.0%1.7%1.0%990.2K-8.4M-60.2K0.8924.64N/AN/A1,3221,18115,9164,939
2016-09-12$23.01$23.0023.4%5.8%24.0%35.7%19.9%3.4%1.6%1.2M-8.9M-64.2K0.2737.98N/AN/A2,06855816,2265,588
2016-09-13$22.40$23.0044.3%6.6%25.8%100.0%21.0%3.9%1.1%835.3K-5.3M-59.6K0.6341.21N/AN/A1,12370517,1765,707
2016-09-14$22.40$23.0022.8%6.5%25.3%28.4%22.3%2.9%0.4%800.5K-4.9M-58.6K0.9128.30N/AN/A78170917,0195,766
2016-09-15$22.65$23.0020.4%5.8%24.5%20.3%20.6%4.3%1.9%1.0M-6.1M-58.7K0.8033.00N/AN/A81865417,0285,756
2016-09-16$23.07$23.0019.3%5.5%25.1%16.5%18.6%2.4%2.0%1.3M-10.1M-63.6K0.1838.36N/AN/A2,34941717,0975,766
2016-09-19$23.30$23.0019.6%5.6%25.3%17.7%18.0%5.0%2.5%1.5M-11.9M-69.5K0.27100.13N/AN/A2,21758917,7335,545
2016-09-20$23.51$23.0018.5%5.3%25.4%14.1%18.6%10.0%2.5%1.6M-14.0M-72.5K0.2484.97N/AN/A2,94170617,7375,778
2016-09-21$24.07$23.0016.8%4.8%26.5%8.2%17.0%0.9%3.6%1.9M-19.9M-73.0K0.52108.92N/AN/A1,82093817,7205,899
2016-09-22$24.19$23.0017.2%4.9%26.4%9.8%17.3%3.1%3.8%1.8M-21.3M-74.6K0.5168.56N/AN/A1,50676817,6316,211
2016-09-23$24.16$23.0018.1%5.2%26.4%12.8%18.4%3.5%5.1%1.7M-20.5M-75.9K0.0367.74N/AN/A17,79950717,7286,486
2016-09-26$24.26$23.0018.9%5.4%25.3%15.2%18.9%3.2%5.0%2.2M-25.3M-103.1K0.3863.36N/AN/A1,47855724,7946,594
2016-09-27$23.92$23.0017.7%5.1%25.8%11.4%17.9%2.4%5.6%2.1M-21.2M-98.7K0.3236.29N/AN/A1,82858624,8066,657
2016-09-28$24.08$23.0017.6%5.0%25.5%11.0%21.7%4.9%5.1%2.2M-22.7M-99.4K0.9026.22N/AN/A1,4881,34124,9866,708
2016-09-29$23.65$24.0018.4%5.3%26.6%13.6%21.7%0.4%5.5%1.9M-17.0M-93.8K0.3872.70N/AN/A1,27649024,9367,106
2016-09-30$23.29$23.0019.5%5.6%27.2%17.4%21.8%7.0%5.4%1.6M-12.8M-88.7K0.5158.64N/AN/A1,12357224,9877,123