CNP Options History — May 2017

In May 2017, CNP traded between $27.23 and $28.64. ATM implied volatility averaged 16.5%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 6.0% (HV 20d: 10.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-05-11: Highest Volume — 2,025 contracts
  • 2017-05-05: Largest IV drop — 26.7% change
  • 2017-05-01: Highest IV Rank — 24.6%
  • 2017-05-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.81$27.23$28.64$28.36$28.64
Max Pain$27.27$27.00$28.00$27.00$27.00
ATM IV16.5%14.3%21.1%21.1%14.4%
Expected Move4.6%3.9%6.1%6.1%4.1%
HV 20d10.4%9.1%11.5%9.1%10.8%
HV 60d13.5%12.8%14.4%13.9%12.9%
IV Rank9.3%2.2%24.6%24.6%2.4%
IV Percentile18.9%1.6%73.8%73.8%2.0%
Term Structure0.2%-4.0%2.7%-4.0%-0.5%
VWIV16.2%13.8%24.4%19.7%16.0%
Skew 25d3.8%2.3%5.4%5.0%4.0%
Skew 10d5.8%1.5%11.7%3.9%3.9%
Call IV 25d13.7%10.2%17.6%17.1%12.5%
Put IV 25d17.5%15.6%22.1%22.1%16.5%
Bid-Ask Spread %23.8514.3843.5443.5419.93
Gamma HHI0.370.190.770.370.29
Net GEX160.9K-1.4M706.8K691.3K283.2K
Net DEX-7.3M-12.9M-3.9M-12.9M-8.2M
Net VEX-31.7K-35.9K-28.3K-35.9K-32.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.261.490.531.13
Total Volume1,181.0916202,025851973
Total OI9,894.0455,90611,57411,5137,728

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$28.36$27.0021.1%6.1%9.1%24.6%19.7%5.0%-4.0%691.3K-12.9M-35.9K0.5343.54N/AN/A5552967,9433,570
2017-05-02$28.16$27.0021.0%6.0%9.4%24.1%21.2%3.1%-3.7%672.2K-11.9M-35.6K0.5826.07N/AN/A5183027,9563,592
2017-05-03$28.11$27.0021.0%6.0%9.2%24.2%24.4%3.9%-3.9%696.7K-11.7M-35.4K0.7834.53N/AN/A6705227,9723,602
2017-05-04$27.97$28.0021.0%4.8%9.4%23.9%18.1%4.0%0.3%613.7K-10.0M-34.8K0.9624.69N/AN/A3973817,7463,507
2017-05-05$28.05$28.0015.4%4.4%9.4%5.7%14.9%3.0%1.0%706.8K-10.1M-33.9K0.8831.07N/AN/A3893427,7583,572
2017-05-08$27.92$28.0015.3%3.9%9.6%5.3%14.4%2.8%2.7%683.6K-9.7M-32.0K0.9321.28N/AN/A3222987,7553,592
2017-05-09$27.44$28.0015.4%4.3%11.3%6.0%14.6%3.2%2.2%189.6K-7.1M-30.7K0.3029.80N/AN/A1,1083317,7753,600
2017-05-10$27.54$28.0014.7%4.2%11.4%3.5%13.8%3.3%1.6%207.8K-7.8M-31.0K0.4134.81N/AN/A7813217,6643,629
2017-05-11$27.45$28.0015.6%4.5%11.3%6.4%15.4%4.1%1.6%94.9K-6.2M-30.3K0.2623.05N/AN/A1,6084177,6643,635
2017-05-12$27.28$27.0016.0%4.6%11.4%7.7%15.7%4.2%1.4%-96.9K-4.5M-30.1K0.3416.70N/AN/A1,4344926,8653,603
2017-05-15$27.40$27.0016.0%4.6%11.5%7.7%15.9%3.5%1.5%-565.9K-5.1M-28.7K0.5020.55N/AN/A1,2686386,9713,724
2017-05-16$27.23$27.0016.7%4.8%11.0%9.9%16.2%4.0%0.7%-626.0K-3.9M-29.8K0.2915.58N/AN/A1,2773727,0133,994
2017-05-17$27.24$27.0017.7%5.1%10.3%13.4%17.4%4.4%0.1%-489.7K-4.0M-29.8K0.3519.85N/AN/A9353247,0754,019
2017-05-18$27.25$27.0016.9%4.8%10.3%10.7%16.3%3.4%0.6%-1.4M-4.2M-29.5K0.3914.38N/AN/A8853467,2324,083
2017-05-19$27.42$27.0016.7%4.8%9.9%10.1%15.9%4.5%1.0%262.7K-6.1M-28.3K0.6217.74N/AN/A8265147,2424,078
2017-05-22$27.72$27.0014.4%4.1%10.6%2.5%14.3%5.1%0.3%246.9K-5.4M-28.3K0.8016.07N/AN/A6164954,2301,676
2017-05-23$27.71$27.0014.4%4.1%10.6%2.6%14.3%5.1%0.9%261.8K-5.6M-30.6K0.7318.40N/AN/A5874294,5331,954
2017-05-24$27.92$27.0014.7%4.2%11.0%3.4%14.2%5.4%0.3%297.5K-6.2M-31.7K1.0623.35N/AN/A5515834,7052,048
2017-05-25$28.19$27.0014.3%4.1%10.8%2.2%14.3%2.3%0.8%292.5K-6.7M-32.8K1.1825.83N/AN/A4725594,8172,360
2017-05-26$28.32$27.0014.5%4.2%10.8%2.9%14.3%3.5%-0.4%262.1K-7.0M-33.8K1.4928.27N/AN/A4526724,8602,637
2017-05-30$28.40$27.0015.3%4.4%10.7%5.6%15.3%2.5%-0.0%236.4K-7.3M-32.2K0.5619.10N/AN/A4642624,9032,787
2017-05-31$28.64$27.0014.4%4.1%10.8%2.4%16.0%4.0%-0.5%283.2K-8.2M-32.4K1.1319.93N/AN/A4575164,9972,731