CNP Options History — July 2017

In July 2017, CNP traded between $27.16 and $28.21. ATM implied volatility averaged 17.5%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.1% (HV 20d: 12.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-07-20: Highest Volume — 7,169 contracts
  • 2017-07-05: Largest IV spike — 17.9% change
  • 2017-07-31: Highest IV Rank — 26.6%
  • 2017-07-31: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.73$27.16$28.21$27.58$28.21
Max Pain$27.10$27.00$28.00$28.00$27.00
ATM IV17.5%14.3%21.4%14.3%21.4%
Expected Move5.2%4.1%6.1%4.1%6.1%
HV 20d12.4%9.8%13.7%12.9%9.8%
HV 60d11.5%11.2%11.7%11.4%11.5%
IV Rank13.9%3.7%26.6%3.7%26.6%
IV Percentile37.8%4.4%81.3%4.4%81.3%
Term Structure-1.4%-4.6%2.1%2.1%-4.6%
VWIV18.1%14.7%21.3%14.7%21.3%
Skew 25d3.0%0.7%4.5%3.2%2.1%
Skew 10d6.0%-2.7%12.3%2.3%12.3%
Call IV 25d16.3%12.7%19.4%12.7%18.2%
Put IV 25d19.2%15.3%21.4%15.9%20.2%
Bid-Ask Spread %16.9511.1635.2820.3714.79
Gamma HHI0.330.200.550.270.50
Net GEX383.6K219.4K726.4K275.1K689.5K
Net DEX-5.0M-8.0M-2.2M-4.4M-7.5M
Net VEX-39.1K-41.8K-36.4K-41.6K-38.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.150.970.830.97
Total Volume1,983.61,5947,1691,7471,639
Total OI9,875.79,21611,4099,21610,819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$27.58$28.0014.3%4.1%12.9%3.7%14.7%3.2%2.1%275.1K-4.4M-41.6K0.8320.37N/AN/A9577906,0993,117
2017-07-05$27.48$28.0016.8%4.8%12.9%11.9%15.5%0.8%1.0%250.2K-3.5M-40.4K0.8935.28N/AN/A8967936,1043,115
2017-07-06$27.29$27.0016.1%5.3%13.0%9.5%18.5%3.1%-1.1%229.6K-2.8M-40.5K0.8321.11N/AN/A8997476,1033,117
2017-07-07$27.28$27.0015.4%5.2%12.8%7.4%17.4%4.0%-0.8%225.5K-2.7M-38.9K0.7914.51N/AN/A9047166,0993,120
2017-07-10$27.32$27.0015.4%5.2%12.9%7.2%17.3%4.0%-1.2%230.7K-2.9M-38.3K0.8213.83N/AN/A8847296,1153,121
2017-07-11$27.16$27.0015.0%5.1%13.0%5.9%17.5%4.1%-0.8%219.4K-2.2M-36.8K0.9412.15N/AN/A8788256,1233,134
2017-07-12$27.48$27.0017.4%5.0%13.7%13.7%17.2%3.5%-0.4%222.8K-3.4M-38.5K0.9514.18N/AN/A8698256,1303,232
2017-07-13$27.42$27.0018.1%5.2%13.4%15.9%18.6%3.6%-1.2%226.2K-3.2M-37.7K0.9415.69N/AN/A8858296,1723,232
2017-07-14$27.63$27.0016.5%4.7%13.3%10.7%18.2%3.5%-0.3%243.0K-4.0M-38.0K0.8911.16N/AN/A8987986,1763,232
2017-07-17$27.73$27.0016.0%4.6%12.9%9.2%17.1%3.7%0.4%238.8K-4.4M-37.1K0.9314.95N/AN/A8628016,1743,244
2017-07-18$27.77$27.0016.4%4.7%12.9%10.6%17.3%2.9%-0.3%238.3K-4.7M-37.4K0.8617.30N/AN/A9067836,1733,240
2017-07-19$27.61$27.0017.3%5.0%12.6%13.3%18.2%3.5%-0.7%235.4K-4.0M-36.4K0.8712.20N/AN/A9027886,2023,240
2017-07-20$28.02$27.0018.7%5.4%12.4%17.9%19.4%0.7%-2.0%232.7K-5.9M-37.6K0.1516.94N/AN/A6,2439266,2173,242
2017-07-21$28.10$27.0018.3%5.2%12.2%16.5%19.2%1.1%-1.5%577.4K-7.8M-41.6K0.8316.60N/AN/A1,1189328,1703,239
2017-07-24$28.18$27.0018.3%5.3%12.1%16.7%18.1%2.7%-2.7%726.4K-8.0M-41.8K0.8015.42N/AN/A9697767,8092,922
2017-07-25$27.88$27.0019.5%5.6%11.9%20.3%19.7%2.6%-3.5%595.5K-6.3M-40.6K0.8514.22N/AN/A9568107,8182,951
2017-07-26$28.06$27.0018.8%5.4%12.1%18.3%20.1%4.5%-2.9%667.2K-6.9M-40.1K0.8329.03N/AN/A9688037,8153,018
2017-07-27$28.14$27.0019.8%5.7%11.1%21.4%19.1%3.2%-3.8%669.9K-7.3M-40.7K0.8216.94N/AN/A9738017,8403,028
2017-07-28$28.17$27.0019.8%5.7%9.8%21.4%17.7%2.4%-4.0%677.7K-7.5M-39.4K0.9512.43N/AN/A8167787,7923,020
2017-07-31$28.21$27.0021.4%6.1%9.8%26.6%21.3%2.1%-4.6%689.5K-7.5M-38.6K0.9714.79N/AN/A8328077,7993,020