CNP Options History — December 2016

In December 2016, CNP traded between $23.76 and $24.82. ATM implied volatility averaged 19.8%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.6% (HV 20d: 14.2%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2016-12-05: Highest Volume — 1,335 contracts
  • 2016-12-14: Largest IV drop — 18.0% change
  • 2016-12-12: Highest IV Rank — 35.9%
  • 2016-12-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.38$23.76$24.82$23.76$24.62
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV19.8%16.8%25.1%21.3%18.0%
Expected Move5.4%4.8%6.1%6.1%5.2%
HV 20d14.2%12.4%18.0%17.9%13.9%
HV 60d18.1%15.8%21.2%21.2%15.9%
IV Rank18.3%8.2%35.9%23.4%12.3%
IV Percentile25.3%3.2%61.5%40.1%12.3%
Term Structure1.4%-1.6%3.1%-1.4%2.6%
VWIV19.4%16.8%24.1%21.7%21.7%
Skew 25d3.4%-1.3%10.0%0.6%1.0%
Skew 10d4.9%-4.4%13.8%-4.4%5.3%
Call IV 25d17.5%13.0%23.1%23.1%19.7%
Put IV 25d20.9%18.5%23.7%23.7%20.8%
Bid-Ask Spread %42.8721.54104.7842.4193.59
Gamma HHI0.340.300.380.300.37
Net GEX708.8K500.7K814.1K500.7K798.4K
Net DEX-11.5M-13.7M-8.0M-8.0M-12.0M
Net VEX-44.5K-50.7K-39.0K-50.7K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.641.390.721.39
Total Volume1,157.3819091,3351,1871,171
Total OI17,936.61916,30319,14118,28617,112

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$23.76$23.0021.3%6.1%17.9%23.4%21.7%0.6%-1.4%500.7K-8.0M-50.7K0.7242.41N/AN/A69049710,8107,476
2016-12-02$24.14$23.0021.0%6.0%18.0%22.3%20.0%10.0%-1.6%606.8K-10.3M-50.2K0.7523.96N/AN/A69952110,9037,531
2016-12-05$23.96$23.0021.7%5.6%17.5%24.5%19.3%3.1%1.9%606.5K-9.6M-49.1K0.8039.89N/AN/A74159410,9917,701
2016-12-06$23.77$23.0021.5%5.6%14.6%24.0%19.5%3.8%1.4%581.1K-8.9M-49.5K0.9436.57N/AN/A63059311,0067,734
2016-12-07$24.07$23.0020.6%5.7%15.0%21.1%18.5%5.2%1.2%683.3K-10.3M-47.7K0.9624.19N/AN/A58355711,0487,734
2016-12-08$24.01$23.0021.0%5.8%12.4%22.3%19.6%4.0%0.8%656.4K-10.2M-48.0K0.7021.54N/AN/A53437511,0607,744
2016-12-09$24.40$23.0022.4%5.6%12.9%27.1%20.2%2.9%1.5%731.6K-12.4M-46.9K0.9626.47N/AN/A53851411,0667,753
2016-12-12$24.48$23.0025.1%5.9%12.4%35.9%19.8%3.4%1.2%706.0K-12.8M-45.7K0.7721.63N/AN/A68252211,0877,883
2016-12-13$24.60$23.0023.9%5.4%12.4%31.9%18.0%3.6%0.8%741.2K-13.7M-44.8K0.8723.32N/AN/A56449211,1477,902
2016-12-14$24.24$23.0019.6%5.6%13.8%17.5%22.3%3.1%1.0%715.6K-11.9M-45.6K0.8827.75N/AN/A56449411,1787,907
2016-12-15$24.25$23.0019.1%5.5%13.8%15.9%19.8%2.7%1.7%731.5K-11.9M-44.9K0.9724.62N/AN/A50348911,2057,929
2016-12-16$24.29$23.0018.8%5.4%13.7%15.0%18.7%3.5%1.6%639.9K-12.3M-44.6K0.7724.21N/AN/A62347711,2067,935
2016-12-19$24.44$23.0018.1%5.2%13.8%12.8%17.7%4.5%1.7%723.4K-10.6M-42.4K0.6430.84N/AN/A65942310,1166,187
2016-12-20$24.69$23.0017.7%5.1%14.0%11.3%19.3%2.5%1.7%763.1K-12.3M-42.0K0.6529.45N/AN/A75749210,2336,205
2016-12-21$24.67$23.0017.5%5.0%14.0%10.8%18.1%2.7%1.7%763.2K-12.5M-41.7K1.0141.70N/AN/A59560210,2666,220
2016-12-22$24.82$23.0016.8%4.8%14.0%8.2%17.2%2.5%2.5%798.7K-13.0M-41.1K0.9331.86N/AN/A56753010,3156,378
2016-12-23$24.81$23.0017.0%4.9%13.4%9.1%17.4%5.5%2.4%788.5K-12.8M-40.8K1.3128.90N/AN/A54671710,3326,397
2016-12-27$24.73$23.0017.8%5.1%13.2%11.5%18.0%5.8%3.1%773.5K-12.6M-39.9K1.1098.33N/AN/A60466610,3716,607
2016-12-28$24.45$23.0018.9%5.4%13.9%15.4%24.1%2.0%2.2%760.8K-10.8M-40.5K1.18104.78N/AN/A54363810,3956,608
2016-12-29$24.73$23.0018.0%5.2%14.1%12.2%16.8%-1.3%1.8%814.1K-12.4M-39.0K1.16104.34N/AN/A61170810,3996,592
2016-12-30$24.62$23.0018.0%5.2%13.9%12.3%21.7%1.0%2.6%798.4K-12.0M-40.2K1.3993.59N/AN/A48968210,4586,654