CNP Options History — October 2016

In October 2016, CNP traded between $21.86 and $22.95. ATM implied volatility averaged 24.8%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.7% (HV 20d: 21.1%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2016-10-11: Highest Volume — 4,052 contracts
  • 2016-10-12: Largest IV spike — 20.3% change
  • 2016-10-28: Highest IV Rank — 54.3%
  • 2016-10-28: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.46$21.86$22.95$22.95$22.90
Max Pain$22.33$22.00$23.00$23.00$22.00
ATM IV24.8%20.2%30.6%20.8%28.1%
Expected Move7.4%6.0%8.8%6.0%8.1%
HV 20d21.1%15.8%29.1%27.7%16.5%
HV 60d21.7%20.1%22.3%21.4%20.1%
IV Rank34.9%19.8%54.3%21.8%46.0%
IV Percentile60.5%29.0%87.3%35.3%78.6%
Term Structure-3.2%-7.1%3.9%3.3%-4.0%
VWIV25.9%16.2%30.1%20.9%29.6%
Skew 25d3.7%-1.4%5.9%2.8%3.3%
Skew 10d8.2%-9.6%23.0%2.4%23.0%
Call IV 25d24.1%20.0%28.7%20.8%28.7%
Put IV 25d27.8%19.3%32.0%23.6%32.0%
Bid-Ask Spread %50.1721.0998.1045.4693.46
Gamma HHI0.310.270.350.350.29
Net GEX443.9K-50.4K1.2M1.2M697.2K
Net DEX-3.2M-7.9M1.2M-7.9M-6.8M
Net VEX-58.5K-76.8K-51.4K-76.8K-60.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.392.800.601.03
Total Volume1,884.3331,2144,0521,9521,482
Total OI32,562.76228,92035,00532,24531,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$22.95$23.0020.8%6.0%27.7%21.8%20.9%2.8%3.3%1.2M-7.9M-76.8K0.6045.46N/AN/A1,21773525,1037,142
2016-10-04$22.36$23.0022.4%6.4%29.1%27.0%22.1%-1.4%3.9%716.6K-3.3M-65.9K0.9727.92N/AN/A1,0501,02325,2486,894
2016-10-05$22.40$23.0022.0%6.3%27.9%25.8%16.2%5.9%3.8%834.6K-4.7M-65.1K1.4438.89N/AN/A9721,39925,3056,351
2016-10-06$22.31$23.0021.1%7.6%27.3%22.8%26.2%4.8%-4.1%756.1K-4.1M-63.2K0.7625.65N/AN/A86765525,3246,374
2016-10-07$21.94$23.0020.2%7.6%23.5%19.8%27.2%3.4%-4.0%454.4K-1.0M-54.0K0.7727.93N/AN/A76559125,3706,391
2016-10-10$22.18$23.0021.5%7.3%23.1%24.1%25.4%5.6%-3.4%454.6K-1.6M-51.4K2.4826.03N/AN/A9182,28025,3566,386
2016-10-11$21.86$23.0022.1%7.7%21.7%26.1%27.3%3.8%-4.7%57.0K1.0M-54.5K2.8026.85N/AN/A1,0672,98525,3577,988
2016-10-12$22.10$22.0026.6%7.6%22.1%41.0%26.8%4.7%-4.7%-50.4K1.2M-57.5K1.9128.31N/AN/A9981,90425,5699,103
2016-10-13$22.40$22.0027.4%7.9%22.3%43.8%27.7%4.0%-5.2%263.3K-2.3M-63.9K0.3935.43N/AN/A1,08341725,5499,133
2016-10-14$22.40$22.0026.9%7.7%21.1%42.1%26.4%3.0%-5.1%182.1K-2.0M-61.2K0.4521.09N/AN/A1,00344925,5579,140
2016-10-17$22.46$22.0026.7%7.7%20.7%41.4%26.9%3.7%-4.8%110.8K-1.7M-56.6K0.4321.09N/AN/A98942925,5539,170
2016-10-18$22.49$22.0026.9%7.7%20.4%41.8%27.0%4.8%-5.6%37.1K-2.2M-55.4K0.4736.68N/AN/A82638825,5499,150
2016-10-19$22.61$22.0025.1%7.2%18.3%36.0%26.4%2.8%-4.2%252.3K-3.4M-56.3K0.5333.12N/AN/A80742725,5709,165
2016-10-20$22.68$22.0026.5%7.6%18.2%40.5%27.1%4.2%-6.0%380.0K-4.5M-58.9K0.6930.65N/AN/A95466325,6339,108
2016-10-21$22.67$22.0024.7%7.1%18.2%34.7%25.2%5.1%-4.3%582.7K-3.6M-55.4K0.4882.04N/AN/A1,08552525,7779,228
2016-10-24$22.58$22.0022.9%6.6%18.0%28.6%24.0%3.3%-1.0%469.6K-3.9M-51.4K0.4793.66N/AN/A1,10852421,9226,998
2016-10-25$22.63$22.0024.6%7.1%17.6%34.5%26.5%3.4%-2.9%536.4K-4.6M-53.3K0.4391.73N/AN/A1,02843822,2227,120
2016-10-26$22.67$22.0026.4%7.6%17.4%40.2%26.8%3.5%-4.8%519.8K-4.5M-52.9K0.6992.38N/AN/A1,04172022,3927,190
2016-10-27$22.51$22.0026.3%7.5%16.5%40.1%27.4%2.8%-1.9%450.5K-3.4M-54.2K1.5198.10N/AN/A8301,25622,7127,574
2016-10-28$22.49$22.0030.6%8.8%15.8%54.3%30.1%3.3%-7.1%443.5K-3.4M-58.7K0.9777.12N/AN/A84882522,9558,510
2016-10-31$22.90$22.0028.1%8.1%16.5%46.0%29.6%3.3%-4.0%697.2K-6.8M-60.7K1.0393.46N/AN/A73175122,9858,695