CNP Options History — June 2017

In June 2017, CNP traded between $27.48 and $28.89. ATM implied volatility averaged 15.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.3% (HV 20d: 11.1%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-06-30: Highest Volume — 1,876 contracts
  • 2017-06-12: Largest IV spike — 40.3% change
  • 2017-06-12: Highest IV Rank — 31.1%
  • 2017-06-29: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.28$27.48$28.89$28.87$27.48
Max Pain$27.91$27.00$28.00$27.00$28.00
ATM IV15.4%13.1%23.1%14.2%15.4%
Expected Move4.1%3.8%4.5%4.1%4.4%
HV 20d11.1%9.3%13.2%11.0%13.1%
HV 60d11.1%10.1%12.9%12.9%11.4%
IV Rank6.6%0.0%31.1%2.0%7.3%
IV Percentile13.0%0.0%87.7%1.2%12.7%
Term Structure2.0%-0.4%3.1%-0.4%2.1%
VWIV13.8%12.2%15.8%15.7%13.1%
Skew 25d3.0%1.3%5.6%5.4%1.8%
Skew 10d4.3%-0.5%10.4%7.1%1.5%
Call IV 25d12.7%10.2%14.3%10.9%12.3%
Put IV 25d15.8%14.1%17.3%16.3%14.1%
Bid-Ask Spread %19.0210.7164.0420.7014.57
Gamma HHI0.360.230.470.360.23
Net GEX281.8K180.9K364.4K250.1K237.6K
Net DEX-6.7M-9.7M-3.5M-8.4M-3.5M
Net VEX-35.2K-41.5K-31.7K-31.7K-41.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.241.301.300.73
Total Volume942.6366871,8761,1201,876
Total OI8,421.2737,8169,3757,9399,042

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$28.87$27.0014.2%4.1%11.0%2.0%15.7%5.4%-0.4%250.1K-8.4M-31.7K1.3020.70N/AN/A4866344,9572,982
2017-06-02$28.89$27.0013.6%3.9%10.7%0.0%15.8%5.6%-0.0%241.0K-8.6M-32.5K0.9318.08N/AN/A4814455,0363,215
2017-06-05$28.57$28.0015.3%3.9%11.6%5.6%13.5%2.9%3.1%225.6K-7.7M-32.7K0.4819.08N/AN/A5792795,0473,238
2017-06-06$28.50$28.0016.5%4.2%11.5%9.5%13.7%2.3%1.6%236.7K-7.4M-33.1K0.4518.37N/AN/A5662575,1583,279
2017-06-07$28.37$28.0016.4%4.2%9.5%9.0%13.2%1.9%1.8%224.0K-6.9M-34.0K0.5312.69N/AN/A4622475,1583,281
2017-06-08$28.16$28.0016.1%4.2%10.0%8.2%14.8%3.1%2.5%200.4K-6.2M-33.6K0.6316.38N/AN/A4392785,1873,283
2017-06-09$28.15$28.0016.5%4.2%9.9%9.4%14.6%3.9%1.7%193.0K-6.1M-33.9K0.6814.58N/AN/A4222875,2103,307
2017-06-12$28.08$28.0023.1%4.2%9.6%31.1%15.2%3.2%2.6%180.9K-5.8M-33.6K0.5420.61N/AN/A5242855,2133,332
2017-06-13$28.17$28.0019.5%4.2%9.6%19.2%13.8%2.3%2.3%258.5K-7.0M-37.7K0.2412.78N/AN/A1,1732875,9073,367
2017-06-14$28.36$28.0014.7%4.2%9.3%3.6%13.5%3.5%2.2%290.5K-7.6M-36.5K0.4564.04N/AN/A5992725,8953,371
2017-06-15$28.60$28.0013.2%3.8%9.6%0.0%14.0%4.6%1.9%346.6K-8.8M-35.9K0.4916.16N/AN/A5602755,8953,364
2017-06-16$28.86$28.0013.6%3.9%9.8%1.3%14.0%2.2%1.6%350.8K-9.7M-36.5K0.4216.42N/AN/A6512756,0073,368
2017-06-19$28.70$28.0013.1%3.8%10.2%0.0%12.5%1.4%2.5%352.6K-7.8M-35.0K0.5510.71N/AN/A4442435,3912,425
2017-06-20$28.41$28.0015.0%4.3%10.5%6.1%13.8%3.7%1.4%343.0K-6.9M-36.6K0.5719.75N/AN/A5262995,4432,450
2017-06-21$27.93$28.0015.2%4.4%12.4%6.6%13.5%2.8%1.4%315.1K-5.5M-36.5K0.6019.73N/AN/A4802905,5062,490
2017-06-22$28.12$28.0014.2%4.1%12.3%3.4%12.7%3.9%2.7%335.6K-6.0M-36.5K0.6721.48N/AN/A4803215,5402,501
2017-06-23$28.00$28.0013.7%3.9%11.9%1.9%12.4%2.5%2.6%318.9K-5.6M-36.1K0.7016.13N/AN/A4443125,5382,537
2017-06-26$28.34$28.0014.9%4.3%12.6%5.6%13.0%3.0%2.2%352.2K-6.7M-35.4K0.5813.81N/AN/A5213035,5332,537
2017-06-27$28.22$28.0014.3%4.1%12.6%3.8%13.0%2.8%2.7%364.4K-6.4M-35.4K0.6121.21N/AN/A4312635,6232,532
2017-06-28$27.85$28.0014.1%4.1%13.0%3.2%12.2%2.2%2.1%322.8K-5.1M-35.8K0.3815.88N/AN/A6972665,6342,531
2017-06-29$27.48$28.0015.6%4.5%13.2%8.0%14.6%1.3%3.1%259.0K-3.8M-33.9K0.8715.32N/AN/A9528275,4302,528
2017-06-30$27.48$28.0015.4%4.4%13.1%7.3%13.1%1.8%2.1%237.6K-3.5M-41.5K0.7314.57N/AN/A1,0877895,9353,107