CNP Options History — November 2016

In November 2016, CNP traded between $22.18 and $24.17. ATM implied volatility averaged 23.9%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.8% (HV 20d: 19.1%). 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 4 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-11-11: Highest Volume — 2,872 contracts
  • 2016-11-09: Largest IV drop — 31.1% change
  • 2016-11-01: Highest IV Rank — 67.7%
  • 2016-11-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.33$22.18$24.17$22.50$23.93
Max Pain$22.90$22.00$23.00$22.00$23.00
ATM IV23.9%18.8%34.6%34.6%20.5%
Expected Move6.5%5.4%9.9%9.9%5.9%
HV 20d19.1%15.0%20.4%15.0%18.6%
HV 60d21.6%20.4%22.2%20.4%21.5%
IV Rank32.0%15.1%67.7%67.7%20.8%
IV Percentile50.3%13.9%96.4%96.4%32.1%
Term Structure-1.6%-11.1%0.4%-11.1%-0.1%
VWIV22.9%16.3%33.4%33.4%21.5%
Skew 25d4.1%1.3%7.9%3.9%1.9%
Skew 10d9.3%0.3%25.2%25.2%0.3%
Call IV 25d20.5%13.8%30.1%29.8%22.0%
Put IV 25d24.6%21.0%33.7%33.7%23.9%
Bid-Ask Spread %60.4124.53115.8193.7748.67
Gamma HHI0.280.220.360.270.33
Net GEX484.9K-45.8K1.5M425.7K553.3K
Net DEX-7.3M-15.1M788.9K-3.0M-9.0M
Net VEX-51.4K-61.9K-44.5K-59.4K-51.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.481.121.091.12
Total Volume1,858.2861,1792,8721,9431,273
Total OI28,030.95215,36434,59932,25518,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$22.50$22.0034.6%9.9%15.0%67.7%33.4%3.9%-11.1%425.7K-3.0M-59.4K1.0993.77N/AN/A9311,01223,1929,063
2016-11-02$22.18$22.0031.6%9.1%15.8%57.8%31.8%2.3%-6.6%56.6K788.9K-56.3K0.99102.72N/AN/A99998923,4469,772
2016-11-03$22.52$23.0029.4%6.8%16.7%50.2%25.7%5.2%-2.3%191.8K-1.9M-58.7K0.8624.53N/AN/A1,00286023,7529,782
2016-11-04$22.93$23.0025.4%6.7%16.5%36.9%26.1%5.1%-1.6%549.8K-7.0M-61.2K0.8731.65N/AN/A63254724,1099,862
2016-11-07$23.61$23.0032.4%6.0%18.9%60.3%25.7%5.7%-0.6%1.2M-12.6M-60.8K0.9640.44N/AN/A72269424,1769,909
2016-11-08$23.79$23.0031.0%5.9%17.8%55.6%23.7%4.3%-0.6%1.5M-15.1M-61.9K0.7325.30N/AN/A1,27693124,2339,839
2016-11-09$23.26$23.0021.3%6.1%19.9%23.5%23.6%3.6%-1.3%428.9K-8.7M-53.0K0.6633.42N/AN/A1,30987024,38310,216
2016-11-10$23.07$23.0020.3%5.8%19.8%19.9%23.9%4.1%-0.3%8.4K-5.7M-50.9K0.9337.21N/AN/A95989023,94910,188
2016-11-11$22.93$23.0021.9%6.3%20.0%25.3%22.3%1.9%-0.3%70.7K-4.8M-51.1K0.6229.12N/AN/A1,7731,09923,91910,238
2016-11-14$23.04$23.0023.9%6.8%20.0%32.0%21.9%5.4%-1.6%-45.8K-4.7M-47.8K0.5029.08N/AN/A1,81591122,58810,541
2016-11-15$23.24$23.0023.4%6.7%20.2%30.3%23.8%1.3%-0.6%596.6K-7.3M-47.6K0.4828.19N/AN/A1,59176522,69210,702
2016-11-16$23.28$23.0022.4%6.4%20.2%26.8%22.2%2.0%-1.2%642.2K-7.0M-46.4K0.54100.43N/AN/A1,43377022,80810,712
2016-11-17$23.25$23.0022.3%6.4%20.2%26.6%23.0%2.3%-0.9%598.9K-7.1M-45.8K0.48105.23N/AN/A1,42769222,81010,732
2016-11-18$23.36$23.0022.2%6.4%20.2%26.2%19.1%7.0%-1.7%362.4K-8.6M-45.3K0.4897.33N/AN/A1,48170722,84510,775
2016-11-21$23.50$23.0020.5%5.9%20.2%20.6%18.5%5.0%0.1%416.3K-6.8M-44.5K0.4997.83N/AN/A1,0435089,3825,982
2016-11-22$23.63$23.0019.0%5.5%20.2%15.8%18.3%4.8%0.0%480.8K-7.6M-45.8K1.00115.81N/AN/A6506519,8626,130
2016-11-23$23.62$23.0018.8%5.4%20.2%15.1%18.3%6.2%0.2%458.8K-7.3M-46.9K0.93101.66N/AN/A68163110,0686,346
2016-11-25$23.95$23.0019.4%5.6%20.3%17.1%16.3%7.9%0.4%543.0K-9.1M-47.8K0.9940.68N/AN/A67566610,2336,556
2016-11-28$24.17$23.0020.9%6.0%20.4%21.9%20.1%4.5%-1.4%573.0K-10.6M-48.1K0.7344.25N/AN/A86963810,3246,818
2016-11-29$24.08$23.0020.9%6.0%19.8%22.1%21.4%1.6%-1.7%585.1K-10.4M-48.8K0.7341.35N/AN/A95569710,5457,037
2016-11-30$23.93$23.0020.5%5.9%18.6%20.8%21.5%1.9%-0.1%553.3K-9.0M-51.7K1.1248.67N/AN/A60167210,8137,321