CNP Options History — January 2017

In January 2017, CNP traded between $24.58 and $26.18. ATM implied volatility averaged 18.8%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.1% (HV 20d: 15.6%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2017-01-31: Highest Volume — 1,551 contracts
  • 2017-01-23: Largest IV spike — 13.7% change
  • 2017-01-12: Highest IV Rank — 21.5%
  • 2017-01-06: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.45$24.58$26.18$24.58$26.18
Max Pain$23.80$23.00$24.00$23.00$24.00
ATM IV18.8%17.3%20.8%18.8%18.0%
Expected Move5.5%5.0%6.0%5.4%5.2%
HV 20d15.6%12.6%16.7%12.9%16.6%
HV 60d16.3%15.4%16.8%15.9%16.0%
IV Rank14.9%9.9%21.5%15.1%12.4%
IV Percentile20.5%7.1%41.3%17.9%15.5%
Term Structure1.1%-0.5%3.5%1.9%1.1%
VWIV20.2%17.9%23.5%21.3%18.3%
Skew 25d5.5%2.3%9.3%6.3%9.3%
Skew 10d8.8%-0.2%17.7%17.7%9.3%
Call IV 25d15.5%11.2%18.5%16.3%11.2%
Put IV 25d20.9%17.8%22.7%22.7%20.5%
Bid-Ask Spread %37.2917.26105.7993.0528.61
Gamma HHI0.430.370.560.370.38
Net GEX738.2K479.2K994.0K810.8K513.3K
Net DEX-14.0M-18.8M-8.7M-11.4M-11.9M
Net VEX-33.7K-38.9K-28.7K-38.2K-28.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.331.150.760.50
Total Volume1,129.758331,5518481,551
Total OI15,079.159,57218,20517,09610,558

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$24.58$23.0018.8%5.4%12.9%15.1%21.3%6.3%1.9%810.8K-11.4M-38.2K0.7693.05N/AN/A48136710,4626,634
2017-01-04$24.87$23.0019.0%5.4%13.0%15.6%19.5%5.3%1.4%872.0K-13.3M-36.8K0.33105.79N/AN/A98032510,4856,652
2017-01-05$24.80$23.0017.6%5.7%12.6%11.0%21.9%4.4%1.5%936.3K-13.4M-38.9K0.4224.94N/AN/A75331710,8966,666
2017-01-06$25.43$23.0018.5%6.0%14.6%14.0%21.6%3.0%-0.5%907.7K-16.9M-36.3K0.5225.58N/AN/A72337810,9056,687
2017-01-09$24.94$24.0018.7%5.9%16.6%14.7%23.5%3.6%0.8%968.0K-14.4M-37.5K0.4821.37N/AN/A74035510,9736,745
2017-01-10$24.96$24.0018.1%5.9%15.7%12.8%21.4%4.2%0.5%994.0K-14.4M-37.9K0.5030.70N/AN/A69835211,0386,754
2017-01-11$25.40$24.0020.3%5.8%16.7%20.2%20.6%5.5%0.7%902.6K-17.0M-35.4K0.6730.83N/AN/A68846310,9876,779
2017-01-12$25.36$24.0020.8%5.9%16.7%21.5%20.8%5.9%0.2%901.7K-16.6M-35.4K0.6821.35N/AN/A71948610,9646,932
2017-01-13$25.46$24.0019.9%5.7%15.6%18.7%20.0%7.2%0.4%911.6K-17.5M-35.4K0.6732.67N/AN/A76751111,0916,937
2017-01-17$25.45$24.0020.7%5.9%15.6%21.3%21.0%4.0%0.4%844.5K-17.7M-33.7K0.5117.26N/AN/A84843311,0856,966
2017-01-18$25.67$24.0017.9%5.1%15.7%12.0%21.9%8.6%2.8%778.1K-18.8M-33.3K0.5833.45N/AN/A81847111,1407,003
2017-01-19$25.41$24.0020.1%5.8%16.3%19.3%20.9%6.0%1.3%860.0K-17.7M-33.6K0.5921.41N/AN/A96757211,1897,016
2017-01-20$25.56$24.0017.8%5.1%16.1%11.5%19.6%6.1%3.5%479.2K-18.3M-29.4K0.4323.03N/AN/A94240311,0547,096
2017-01-23$25.47$24.0020.2%5.8%16.2%19.6%20.0%4.5%0.0%504.9K-8.7M-33.1K0.8618.94N/AN/A4864186,3463,226
2017-01-24$25.66$24.0018.9%5.4%16.3%15.3%19.0%4.9%1.3%520.1K-9.4M-33.0K1.1557.16N/AN/A3884456,4163,356
2017-01-25$26.00$24.0017.3%5.0%16.7%9.9%18.8%7.4%1.2%494.4K-10.8M-28.7K0.8025.06N/AN/A5184156,4563,413
2017-01-26$25.95$24.0017.5%5.0%16.7%10.7%18.6%4.0%1.5%511.8K-10.6M-29.9K0.8168.19N/AN/A5004066,5853,521
2017-01-27$26.03$24.0017.7%5.1%15.9%11.2%18.3%6.9%1.4%495.6K-11.1M-29.5K0.8039.06N/AN/A5104066,6213,636
2017-01-30$25.78$24.0017.8%5.1%16.2%11.7%17.9%2.3%1.5%557.4K-10.2M-29.2K0.9227.27N/AN/A5174786,6773,636
2017-01-31$26.18$24.0018.0%5.2%16.6%12.4%18.3%9.3%1.1%513.3K-11.9M-28.8K0.5028.61N/AN/A1,0365156,8293,729