CNP Options History — September 2017

In September 2017, CNP traded between $29.01 and $30.43. ATM implied volatility averaged 14.0%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.7% (HV 20d: 12.3%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.68.

Notable Days

  • 2017-09-06: Highest Volume — 12,586 contracts
  • 2017-09-06: Largest IV spike — 30.8% change
  • 2017-09-22: Highest IV Rank — 16.9%
  • 2017-09-22: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.72$29.01$30.43$29.60$29.20
Max Pain$29.40$29.00$30.00$29.00$29.00
ATM IV14.0%12.0%15.7%12.7%15.0%
Expected Move4.0%3.6%4.5%3.6%4.3%
HV 20d12.3%9.1%15.6%9.4%15.6%
HV 60d11.5%11.0%12.1%11.0%12.0%
IV Rank8.7%0.6%16.9%2.7%13.9%
IV Percentile12.9%0.4%29.0%2.8%22.6%
Term Structure1.6%0.2%2.6%0.2%1.8%
VWIV14.6%12.9%15.7%14.8%14.9%
Skew 25d2.9%1.2%5.5%2.6%3.3%
Skew 10d4.6%-0.9%11.7%1.8%5.1%
Call IV 25d13.0%10.5%14.9%12.2%14.0%
Put IV 25d15.9%14.4%18.3%14.8%17.3%
Bid-Ask Spread %14.878.9422.5816.3022.58
Gamma HHI0.570.250.710.260.70
Net GEX-1.3M-2.4M532.5K532.5K-2.4M
Net DEX-7.9M-15.1M2.0M-15.1M-367.6K
Net VEX-71.2K-84.6K-48.1K-49.2K-75.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.5515.091.170.93
Total Volume1,778.984112,5861,8411,282
Total OI19,595.410,90821,89910,90821,101

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$29.60$29.0012.7%3.6%9.4%2.7%14.8%2.6%0.2%532.5K-15.1M-49.2K1.1716.30N/AN/A8489938,3622,546
2017-09-05$29.62$30.0012.0%3.9%9.3%0.6%14.8%2.2%1.4%520.9K-15.1M-48.1K1.6215.51N/AN/A6891,1138,3412,576
2017-09-06$29.44$29.0015.7%4.5%9.1%12.0%15.7%2.9%0.5%495.7K-14.3M-49.8K15.0912.55N/AN/A78211,8048,4192,676
2017-09-07$29.97$30.0013.2%4.1%10.9%4.3%15.6%2.6%1.0%-1.2M-8.4M-84.6K1.0211.69N/AN/A5946078,59713,200
2017-09-08$30.00$30.0012.8%4.0%10.9%3.0%15.3%3.0%1.2%-1.2M-9.3M-80.5K0.8511.95N/AN/A6135208,61813,257
2017-09-11$30.43$30.0014.7%4.0%10.8%8.9%14.6%4.9%1.8%-831.3K-13.1M-71.9K0.709.74N/AN/A7315098,63313,257
2017-09-12$29.99$30.0014.8%4.1%12.2%9.4%14.0%1.7%1.4%-1.2M-10.4M-76.0K0.8912.21N/AN/A5795178,60813,260
2017-09-13$29.96$30.0014.0%4.0%12.3%6.8%15.0%1.2%1.7%-1.2M-9.7M-76.1K0.9216.27N/AN/A5725258,60813,281
2017-09-14$30.15$30.0013.5%3.9%12.3%7.3%13.5%2.0%2.1%-1.1M-12.0M-71.2K0.8410.88N/AN/A5544648,60813,291
2017-09-15$30.25$30.0013.0%3.7%12.0%5.5%13.5%2.8%2.0%-1.0M-13.0M-69.1K0.5512.96N/AN/A8584698,60413,278
2017-09-18$29.97$29.0014.1%4.0%12.6%10.1%14.9%3.1%1.2%-1.3M-8.4M-73.7K0.5920.34N/AN/A5763428,06612,306
2017-09-19$29.95$29.0013.2%3.8%12.1%6.3%12.9%2.8%2.4%-1.4M-9.0M-71.0K0.7914.73N/AN/A4803818,09612,310
2017-09-20$29.72$29.0013.2%3.8%12.4%6.0%13.2%1.5%2.1%-1.7M-6.5M-75.8K0.848.94N/AN/A4573848,10512,349
2017-09-21$29.45$29.0015.2%4.4%12.5%15.1%14.6%2.1%1.4%-2.0M-3.6M-77.0K1.0713.59N/AN/A4594908,10512,349
2017-09-22$29.21$29.0015.6%4.5%12.8%16.9%15.7%2.9%1.1%-2.0M-459.1K-79.2K1.0812.24N/AN/A5045458,13512,403
2017-09-25$29.64$29.0013.2%3.8%13.8%6.4%14.5%4.7%2.6%-1.8M-5.3M-72.8K0.9316.41N/AN/A5835438,14312,452
2017-09-26$29.65$29.0013.3%3.8%13.7%6.4%14.3%5.5%1.8%-1.8M-6.5M-71.0K0.9216.16N/AN/A4444078,11912,452
2017-09-27$29.01$29.0015.4%4.4%15.6%16.0%15.4%3.4%2.4%-2.3M2.0M-76.1K2.0622.42N/AN/A6461,3318,12012,449
2017-09-28$29.20$29.0015.5%4.4%15.6%16.4%15.3%3.4%1.7%-2.3M-208.8K-75.2K0.8219.91N/AN/A7606238,32612,502
2017-09-29$29.20$29.0015.0%4.3%15.6%13.9%14.9%3.3%1.8%-2.4M-367.6K-75.5K0.9322.58N/AN/A6656178,41012,691