CNP Options History — April 2017

In April 2017, CNP traded between $27.51 and $28.66. ATM implied volatility averaged 17.8%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.8% (HV 20d: 12.0%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-04-21: Highest Volume — 914 contracts
  • 2017-04-12: Largest IV spike — 42.4% change
  • 2017-04-28: Highest IV Rank — 22.3%
  • 2017-04-28: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.06$27.51$28.66$27.51$28.49
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV17.8%13.6%20.5%15.6%20.5%
Expected Move5.3%4.2%5.9%4.5%5.9%
HV 20d12.0%8.8%17.6%17.4%8.8%
HV 60d14.8%14.1%16.4%16.4%14.1%
IV Rank13.0%0.0%22.3%4.6%22.3%
IV Percentile32.0%0.0%65.1%1.6%65.1%
Term Structure-0.5%-3.3%3.8%3.8%-2.9%
VWIV19.3%14.6%22.2%15.0%19.2%
Skew 25d3.9%1.1%6.1%1.1%6.1%
Skew 10d9.9%-0.5%14.2%-0.5%7.0%
Call IV 25d16.1%13.9%18.4%13.9%15.4%
Put IV 25d20.0%15.0%23.4%15.0%21.5%
Bid-Ask Spread %43.5122.56108.84108.8432.77
Gamma HHI0.460.370.700.400.37
Net GEX902.2K524.6K2.1M524.6K699.2K
Net DEX-12.2M-15.4M-8.5M-8.5M-13.6M
Net VEX-43.8K-51.2K-36.0K-51.2K-36.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.511.200.790.66
Total Volume696.579544914757840
Total OI12,923.68410,99713,69213,26711,513

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$27.51$27.0015.6%4.5%17.4%4.6%15.0%1.1%3.8%524.6K-8.5M-51.2K0.79108.84N/AN/A4223358,6744,593
2017-04-04$27.70$27.0014.8%4.2%17.6%1.8%14.7%1.8%3.8%661.1K-10.1M-50.7K0.7576.30N/AN/A4173138,7754,597
2017-04-05$27.79$27.0014.8%4.2%15.4%1.9%14.6%2.2%3.6%698.5K-10.4M-50.4K0.8269.04N/AN/A3522878,8314,549
2017-04-06$27.84$27.0014.1%5.2%15.4%0.0%18.6%5.3%-0.3%819.0K-11.2M-49.2K0.8545.09N/AN/A3583048,8564,584
2017-04-07$27.91$27.0014.8%5.1%15.0%2.2%19.5%3.6%0.9%861.0K-12.0M-48.9K1.0643.26N/AN/A2853028,9014,595
2017-04-10$27.97$27.0014.8%5.3%15.0%2.3%19.7%4.0%-0.5%951.2K-12.2M-47.9K1.0037.00N/AN/A3043058,9404,597
2017-04-11$27.87$27.0013.6%5.2%14.9%0.0%21.2%3.8%0.4%955.9K-11.5M-46.9K1.2036.16N/AN/A2472978,9504,600
2017-04-12$28.00$27.0019.4%5.6%12.2%18.8%18.2%3.9%-1.4%973.3K-12.5M-46.9K1.1232.75N/AN/A2572898,9514,600
2017-04-13$27.96$27.0018.9%5.4%9.4%17.3%21.3%4.7%0.2%1.0M-12.2M-46.3K0.8938.37N/AN/A3262908,9724,602
2017-04-17$28.05$27.0020.5%5.9%9.2%22.3%20.7%5.0%-1.7%1.1M-12.9M-43.8K0.9440.45N/AN/A3102908,9844,588
2017-04-18$28.29$27.0020.4%5.8%9.1%22.0%22.2%4.3%-2.0%1.2M-15.0M-41.3K0.7544.93N/AN/A3852909,0354,604
2017-04-19$27.93$27.0019.5%5.6%10.3%19.2%21.9%4.3%-0.8%1.4M-12.2M-42.4K0.8332.43N/AN/A3492889,0384,615
2017-04-20$27.92$27.0019.0%5.5%9.7%17.6%20.7%3.3%-0.8%2.1M-12.0M-40.5K0.5526.71N/AN/A5422979,0344,616
2017-04-21$28.17$27.0019.2%5.5%9.8%18.2%20.6%3.1%-1.5%593.5K-15.4M-39.4K0.5130.59N/AN/A6053099,0664,626
2017-04-24$28.33$27.0019.0%5.4%9.8%17.4%19.5%3.6%-2.4%650.7K-12.0M-37.7K0.8835.63N/AN/A3883427,5703,427
2017-04-25$28.33$27.0020.2%5.8%9.7%21.4%20.2%2.7%-3.3%613.6K-12.2M-38.2K0.9338.01N/AN/A3793547,6873,449
2017-04-26$28.34$27.0020.3%5.8%9.5%21.9%19.3%6.0%-3.2%661.7K-12.7M-37.8K0.7722.56N/AN/A4153187,7333,514
2017-04-27$28.66$27.0018.2%5.2%9.9%14.9%20.4%5.0%-1.9%651.2K-13.8M-36.0K0.6535.82N/AN/A5113337,7703,514
2017-04-28$28.49$27.0020.5%5.9%8.8%22.3%19.2%6.1%-2.9%699.2K-13.6M-36.7K0.6632.77N/AN/A5053357,9453,568