CNP Options History — March 2017

In March 2017, CNP traded between $27.39 and $28.13. ATM implied volatility averaged 16.5%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.4% (HV 20d: 16.9%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-03-02: Highest Volume — 2,013 contracts
  • 2017-03-15: Largest IV drop — 19.4% change
  • 2017-03-14: Highest IV Rank — 18.8%
  • 2017-03-14: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$27.39$28.13$27.70$27.60
Max Pain$26.87$26.00$27.00$26.00$27.00
ATM IV16.5%14.2%19.9%15.9%14.2%
Expected Move4.7%4.1%5.1%4.6%4.1%
HV 20d16.9%13.5%18.6%15.8%17.4%
HV 60d15.8%14.6%16.6%15.2%16.4%
IV Rank7.3%0.0%18.8%5.3%0.0%
IV Percentile6.3%0.0%45.2%0.4%0.0%
Term Structure2.6%0.1%4.7%0.1%4.7%
VWIV17.7%15.6%19.6%19.6%15.6%
Skew 25d2.5%0.5%5.6%5.1%0.9%
Skew 10d6.4%0.1%13.2%11.5%0.1%
Call IV 25d15.7%12.9%16.9%14.1%16.4%
Put IV 25d18.1%16.9%19.3%19.2%17.3%
Bid-Ask Spread %48.3819.68113.2264.8894.23
Gamma HHI0.380.290.520.300.40
Net GEX471.4K229.2K771.9K280.5K549.2K
Net DEX-11.0M-15.0M-8.4M-11.2M-9.2M
Net VEX-52.3K-56.8K-41.1K-41.1K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.381.430.990.97
Total Volume1,182.2616202,0131,881651
Total OI15,725.60912,86820,18914,33213,187

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$27.70$26.0015.9%4.6%15.8%5.3%19.6%5.1%0.1%280.5K-11.2M-41.1K0.9964.88N/AN/A9449376,9527,380
2017-03-02$27.72$26.0016.5%4.7%14.5%7.3%17.6%3.5%1.0%229.2K-11.5M-46.3K0.9424.90N/AN/A1,0369777,5068,004
2017-03-03$27.88$26.0015.7%4.5%14.1%4.8%18.3%5.6%0.6%263.5K-12.2M-47.4K0.9466.66N/AN/A8187707,8148,616
2017-03-06$27.93$27.0017.3%4.9%14.1%10.1%17.2%3.2%2.4%326.0K-12.1M-47.9K0.6422.60N/AN/A7995137,8388,966
2017-03-07$28.04$27.0016.8%4.7%13.5%8.4%17.7%4.8%3.6%376.3K-13.0M-46.6K0.4219.68N/AN/A1,0404367,9499,125
2017-03-08$27.39$27.0017.4%5.0%16.5%10.4%17.8%2.4%2.4%339.5K-10.6M-50.8K0.6430.31N/AN/A9786238,3489,142
2017-03-09$27.40$27.0018.2%5.0%16.4%12.9%18.3%2.4%2.3%277.3K-10.0M-53.8K0.3825.58N/AN/A1,0824078,6039,436
2017-03-10$27.67$27.0016.5%4.7%16.6%7.4%18.1%3.4%2.9%771.9K-12.4M-52.5K0.5022.76N/AN/A1,0395198,9009,527
2017-03-13$27.63$27.0017.3%4.8%16.6%10.2%19.0%2.2%2.7%519.1K-12.0M-53.0K0.5722.27N/AN/A9595498,9849,680
2017-03-14$27.46$27.0019.9%5.1%16.8%18.8%18.9%2.6%2.8%399.3K-10.8M-54.4K0.5025.62N/AN/A9344659,1359,865
2017-03-15$28.13$27.0016.1%4.6%16.2%5.9%19.0%2.3%2.8%635.9K-15.0M-51.7K0.71113.22N/AN/A9656829,2289,939
2017-03-16$27.54$27.0015.7%4.5%18.4%4.8%17.4%2.3%3.1%580.7K-11.9M-55.7K0.7835.42N/AN/A8316449,51110,213
2017-03-17$27.71$27.0015.7%4.5%18.2%4.5%17.6%3.1%2.4%521.1K-13.2M-56.8K1.0949.92N/AN/A5265739,71510,474
2017-03-20$27.50$27.0017.0%4.9%18.5%8.9%18.1%1.6%3.2%462.4K-8.7M-56.3K0.9730.34N/AN/A3993868,4704,398
2017-03-21$27.60$27.0016.4%4.7%18.4%7.0%17.5%1.3%2.9%501.0K-9.2M-56.0K1.4330.34N/AN/A3084418,4824,422
2017-03-22$27.88$27.0016.4%4.7%18.5%6.9%18.3%3.2%2.9%530.7K-10.3M-56.3K1.1782.21N/AN/A4014718,4964,517
2017-03-23$27.67$27.0015.5%4.4%18.6%4.0%18.2%2.1%3.5%504.7K-10.0M-55.9K1.3784.68N/AN/A3454718,5754,556
2017-03-24$27.83$27.0016.1%4.6%18.6%5.9%16.5%1.5%2.5%541.5K-10.5M-55.0K0.9627.87N/AN/A3473348,5904,566
2017-03-27$27.76$27.0016.4%4.7%18.4%7.1%16.9%0.7%2.5%552.5K-10.0M-54.3K0.8940.51N/AN/A3573198,6014,566
2017-03-28$27.64$27.0015.5%4.4%17.5%4.0%15.9%0.5%3.3%543.3K-9.5M-53.4K0.9663.87N/AN/A3403268,6024,506
2017-03-29$27.85$27.0016.4%4.7%16.9%7.0%16.6%1.3%2.1%600.2K-11.0M-53.0K0.9137.65N/AN/A3303008,6294,510
2017-03-30$27.50$27.0016.5%4.7%17.5%7.2%16.6%1.3%3.2%537.1K-8.4M-53.1K1.0097.29N/AN/A3103108,6554,511
2017-03-31$27.60$27.0014.2%4.1%17.4%0.0%15.6%0.9%4.7%549.2K-9.2M-52.4K0.9794.23N/AN/A3313208,6544,533