CNP Options History — February 2017

In February 2017, CNP traded between $25.82 and $27.28. ATM implied volatility averaged 18.7%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 15.3%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.73.

Notable Days

  • 2017-02-14: Highest Volume — 7,238 contracts
  • 2017-02-14: Largest IV spike — 17.3% change
  • 2017-02-27: Highest IV Rank — 21.5%
  • 2017-02-27: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$25.82$27.28$25.82$27.28
Max Pain$25.89$24.00$26.00$24.00$26.00
ATM IV18.7%17.2%20.8%18.7%18.1%
Expected Move5.4%4.9%5.9%5.4%5.2%
HV 20d15.3%13.0%17.7%17.6%15.8%
HV 60d14.8%13.9%16.1%16.1%15.1%
IV Rank14.8%9.8%21.5%14.7%12.8%
IV Percentile24.5%6.3%52.8%21.0%18.3%
Term Structure-0.1%-2.5%1.8%1.4%-0.7%
VWIV20.3%17.5%33.4%19.9%20.0%
Skew 25d4.1%-0.9%7.0%3.3%4.0%
Skew 10d11.0%0.7%15.4%0.7%11.9%
Call IV 25d17.0%14.0%22.4%15.7%17.2%
Put IV 25d21.1%19.0%22.7%19.0%21.3%
Bid-Ask Spread %40.3315.25107.5849.3289.69
Gamma HHI0.420.270.630.340.42
Net GEX72.9K-633.5K638.8K579.7K-173.4K
Net DEX-7.9M-14.6M1.0M-10.9M-7.4M
Net VEX-37.4K-48.2K-29.0K-32.3K-40.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.133.070.460.19
Total Volume1,619.6326107,2381,3561,858
Total OI12,471.5799,79215,10511,21813,182

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$25.82$24.0018.7%5.4%17.6%14.7%19.9%3.3%1.4%579.7K-10.9M-32.3K0.4649.32N/AN/A9304267,4353,783
2017-02-02$26.16$26.0019.3%5.6%17.7%16.7%20.6%4.1%0.6%577.8K-12.1M-31.3K0.9425.17N/AN/A4604337,5143,800
2017-02-03$26.33$26.0018.0%5.4%17.7%12.3%19.5%5.1%1.0%587.6K-12.9M-30.8K0.9550.72N/AN/A5084817,5753,828
2017-02-06$26.12$26.0018.3%5.3%16.0%13.4%20.4%3.1%0.1%631.4K-12.4M-30.6K0.7218.26N/AN/A5513957,6853,957
2017-02-07$26.16$26.0017.8%5.5%14.0%11.8%21.6%5.1%0.4%638.8K-12.6M-29.9K0.8115.25N/AN/A4863927,7673,974
2017-02-08$26.40$26.0018.0%5.2%14.2%12.4%19.1%6.3%1.8%562.6K-13.7M-29.0K0.8931.03N/AN/A5444847,7783,980
2017-02-09$26.43$26.0018.6%5.3%13.1%14.3%19.3%5.1%0.8%533.8K-14.0M-29.1K0.4126.52N/AN/A8103327,9214,112
2017-02-10$26.50$26.0017.5%5.0%13.0%10.6%18.0%4.2%1.5%502.2K-14.3M-29.8K0.4322.02N/AN/A7863368,0144,152
2017-02-13$26.64$26.0017.2%4.9%13.1%9.8%18.5%4.6%0.5%508.4K-14.6M-29.8K0.1323.39N/AN/A3,0824128,0904,227
2017-02-14$26.05$26.0020.2%5.8%15.7%19.7%20.3%3.5%-0.9%396.6K-5.4M-33.0K3.0729.95N/AN/A1,7805,4585,3594,433
2017-02-15$26.03$26.0018.4%5.3%15.5%13.8%19.0%3.6%0.8%-513.6K1.0M-48.2K0.2141.20N/AN/A1,6403395,4249,542
2017-02-16$26.33$26.0018.6%5.3%15.4%14.4%17.7%5.7%0.1%-508.2K-1.2M-46.1K0.2921.59N/AN/A1,1763375,4449,562
2017-02-17$26.48$26.0019.9%5.7%15.4%18.7%17.5%7.0%-1.1%-633.5K-2.5M-45.8K0.1924.52N/AN/A1,7163345,5109,595
2017-02-21$26.66$26.0018.8%5.4%15.3%14.9%18.8%6.9%-1.4%-520.7K-2.4M-44.5K0.6125.58N/AN/A3792315,2546,988
2017-02-22$26.56$26.0018.6%5.3%15.3%14.4%33.4%-0.9%-1.3%-614.9K-1.7M-44.6K0.75107.58N/AN/A5634235,3427,013
2017-02-23$26.84$26.0019.3%5.5%15.1%16.5%19.7%3.6%-0.9%-421.3K-3.9M-44.7K0.8935.82N/AN/A4644115,5887,209
2017-02-24$26.99$26.0019.8%5.7%15.1%18.3%20.3%3.6%-2.5%-350.2K-4.5M-45.8K1.0345.60N/AN/A4204345,7027,225
2017-02-27$26.81$26.0020.8%5.9%15.4%21.5%21.3%-0.4%-2.4%-397.7K-4.4M-44.1K0.9483.15N/AN/A4974655,7427,254
2017-02-28$27.28$26.0018.1%5.2%15.8%12.8%20.0%4.0%-0.7%-173.4K-7.4M-40.0K0.1989.69N/AN/A1,5553035,8407,342