CNP Options History — August 2017

In August 2017, CNP traded between $28.13 and $29.95. ATM implied volatility averaged 14.6%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 4.8% (HV 20d: 9.8%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2017-08-02: Highest Volume — 12,702 contracts
  • 2017-08-03: Largest IV drop — 18.1% change
  • 2017-08-02: Highest IV Rank — 27.3%
  • 2017-08-02: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.12$28.13$29.95$28.22$29.64
Max Pain$28.78$27.00$29.00$27.00$29.00
ATM IV14.6%11.8%21.6%21.4%12.4%
Expected Move4.0%3.4%6.2%6.1%3.5%
HV 20d9.8%9.1%10.6%9.8%9.3%
HV 60d11.3%11.1%11.5%11.5%11.2%
IV Rank6.2%0.0%27.3%26.6%1.8%
IV Percentile14.4%0.0%82.9%81.3%1.2%
Term Structure1.0%-5.3%3.2%-5.3%1.0%
VWIV14.4%10.9%24.2%22.6%14.4%
Skew 25d2.8%-0.4%5.3%4.3%2.8%
Skew 10d5.0%-0.6%13.1%13.1%3.6%
Call IV 25d12.9%8.9%23.7%17.1%11.6%
Put IV 25d15.7%12.8%23.3%21.5%14.4%
Bid-Ask Spread %16.948.7041.9014.0517.03
Gamma HHI0.580.210.920.520.26
Net GEX2.6M538.6K10.6M730.0K538.6K
Net DEX-15.2M-22.8M-7.3M-7.6M-15.2M
Net VEX-45.9K-54.9K-37.0K-38.2K-49.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.061.240.901.15
Total Volume2,830.7391,14712,7021,6281,803
Total OI13,228.3489,30422,52710,80610,943

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$28.22$27.0021.4%6.1%9.8%26.6%22.6%4.3%-5.3%730.0K-7.6M-38.2K0.9014.05N/AN/A8587707,8063,000
2017-08-02$28.13$27.0021.6%6.2%9.8%27.3%24.2%-0.4%-3.8%664.4K-7.3M-37.0K0.0641.90N/AN/A11,9287747,8222,996
2017-08-03$28.51$28.0017.7%4.2%10.2%14.7%14.5%4.4%1.7%2.5M-14.2M-49.0K0.9725.52N/AN/A1,1031,06914,2283,021
2017-08-04$28.56$29.0017.5%4.0%10.1%14.1%14.1%5.1%1.8%4.5M-16.4M-54.9K0.9818.74N/AN/A98796319,4023,125
2017-08-07$28.70$29.0016.6%3.9%10.2%11.0%13.4%1.1%1.9%3.5M-15.3M-48.0K0.1818.20N/AN/A5,18091714,5303,056
2017-08-08$29.00$29.0015.4%3.7%10.0%7.3%14.3%2.2%2.1%2.8M-17.0M-44.2K0.1718.32N/AN/A5,19488911,9873,062
2017-08-09$29.07$29.0012.8%3.7%9.5%0.0%12.9%2.4%2.5%4.5M-22.8M-51.0K0.8831.20N/AN/A87877015,8853,064
2017-08-10$29.17$29.0013.7%3.9%9.4%3.1%12.9%1.2%2.2%3.0M-18.2M-42.5K1.2414.03N/AN/A63478611,6013,058
2017-08-11$28.86$29.0014.6%4.2%10.4%6.0%13.8%1.3%1.7%2.1M-14.3M-43.2K0.2920.78N/AN/A2,78279711,7313,074
2017-08-14$28.75$29.0014.4%4.1%10.6%5.2%14.8%1.4%1.4%3.5M-11.9M-39.0K0.3115.80N/AN/A2,79485810,4733,077
2017-08-15$28.81$29.0013.6%3.9%10.6%2.6%14.4%1.8%2.1%4.3M-12.6M-38.6K0.4615.37N/AN/A1,87785810,5193,145
2017-08-16$28.95$29.0013.9%4.0%10.2%3.6%13.4%1.4%2.7%5.8M-15.3M-38.2K0.2417.11N/AN/A3,31180710,5903,145
2017-08-17$28.80$29.0014.4%4.1%9.4%5.3%14.0%2.1%1.1%4.9M-15.7M-46.7K0.5016.24N/AN/A1,55578112,1633,199
2017-08-18$29.01$29.0013.2%3.8%9.7%1.4%13.4%2.1%3.2%10.6M-20.9M-47.9K0.5519.51N/AN/A1,62988912,9183,201
2017-08-21$29.34$29.0013.8%3.9%10.3%3.2%13.7%2.8%0.8%653.5K-14.3M-49.4K0.2412.00N/AN/A1,0392497,7671,537
2017-08-22$29.49$29.0013.9%4.0%9.1%3.6%13.4%3.4%1.1%667.5K-14.9M-49.6K0.369.61N/AN/A8423057,9281,591
2017-08-23$29.71$29.0012.2%3.5%9.2%0.0%10.9%3.1%1.0%673.9K-15.7M-49.3K0.3411.13N/AN/A9633327,9671,659
2017-08-24$29.65$29.0012.4%3.6%9.4%0.7%12.5%2.5%0.3%715.7K-15.8M-47.9K0.419.33N/AN/A8523488,1411,653
2017-08-25$29.75$29.0011.8%3.4%9.3%0.0%11.7%4.5%1.0%715.4K-16.2M-48.0K0.509.66N/AN/A8124078,1601,674
2017-08-28$29.93$29.0012.1%3.5%9.4%1.1%12.9%5.3%1.2%711.2K-16.6M-47.6K0.5512.39N/AN/A8174498,2181,723
2017-08-29$29.95$29.0012.5%3.6%9.4%2.2%13.4%5.3%0.4%682.1K-16.7M-47.9K0.518.70N/AN/A9194708,2651,835
2017-08-30$29.70$29.0012.6%3.6%10.0%2.6%15.0%4.1%0.4%701.5K-15.8M-48.7K1.0812.93N/AN/A8949688,3671,946
2017-08-31$29.64$29.0012.4%3.5%9.3%1.8%14.4%2.8%1.0%538.6K-15.2M-49.7K1.1517.03N/AN/A8379668,4002,543