CNP Options History — October 2017

In October 2017, CNP traded between $28.69 and $29.73. ATM implied volatility averaged 17.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.8% (HV 20d: 14.2%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-10-12: Highest Volume — 2,362 contracts
  • 2017-10-30: Largest IV spike — 19.2% change
  • 2017-10-30: Highest IV Rank — 39.6%
  • 2017-10-30: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.35$28.69$29.73$28.93$29.60
Max Pain$28.14$28.00$29.00$29.00$28.00
ATM IV17.0%14.1%20.8%15.0%18.5%
Expected Move5.0%4.3%6.0%4.3%5.3%
HV 20d14.2%11.4%16.3%15.9%11.6%
HV 60d12.5%12.1%12.7%12.2%12.6%
IV Rank22.8%10.2%39.6%14.3%29.4%
IV Percentile46.9%13.1%86.9%23.8%65.5%
Term Structure-1.4%-4.2%1.7%1.7%-2.7%
VWIV18.7%15.0%20.8%15.0%19.5%
Skew 25d4.3%1.8%8.7%2.0%5.5%
Skew 10d7.3%-3.7%13.9%0.4%8.8%
Call IV 25d15.5%10.7%17.5%16.2%15.5%
Put IV 25d19.8%18.2%22.3%18.2%21.0%
Bid-Ask Spread %14.9411.6918.6518.3912.65
Gamma HHI0.540.240.780.740.26
Net GEX-1.6M-3.7M847.2K-2.7M837.1K
Net DEX-6.8M-15.4M7.9M3.6M-14.6M
Net VEX-54.3K-73.1K-38.3K-73.1K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.581.500.581.11
Total Volume1,664.5451,4082,3621,6791,545
Total OI18,158.95510,61322,03021,11110,701

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$28.93$29.0015.0%4.3%15.9%14.3%15.0%2.0%1.7%-2.7M3.6M-73.1K0.5818.39N/AN/A1,0606198,41112,700
2017-10-03$28.74$29.0015.5%4.5%16.0%16.4%15.8%1.8%0.8%-2.7M6.2M-72.6K1.0712.90N/AN/A8008538,83412,705
2017-10-04$28.99$29.0015.5%4.4%16.3%16.1%16.3%8.7%1.7%-2.9M2.6M-72.8K0.7612.84N/AN/A8026138,81512,700
2017-10-05$29.05$28.0014.3%4.9%14.8%11.0%17.9%3.5%-1.0%-3.3M1.4M-70.3K0.7514.34N/AN/A8156128,76012,657
2017-10-06$28.87$28.0014.1%4.8%14.9%10.2%17.5%3.6%-1.2%-3.4M5.1M-68.4K0.7214.52N/AN/A8205888,77812,658
2017-10-09$28.69$28.0014.5%4.9%13.7%11.8%17.9%3.6%-0.6%-3.6M7.9M-63.9K1.3716.02N/AN/A7961,0898,76712,679
2017-10-10$29.12$28.0016.1%5.0%14.3%18.7%18.2%3.9%-2.1%-3.6M403.3K-66.7K1.3514.45N/AN/A8061,0918,78412,955
2017-10-11$29.31$28.0017.3%5.0%14.6%24.2%19.6%2.6%-1.5%-3.4M-3.2M-63.0K1.5013.54N/AN/A7271,0918,79012,952
2017-10-12$29.69$28.0016.8%4.8%15.2%21.7%18.0%5.2%-0.7%-2.4M-10.2M-57.0K0.9115.68N/AN/A1,2341,1288,83812,952
2017-10-13$29.35$28.0018.3%5.2%15.6%28.5%19.9%3.4%-2.1%-2.8M-6.6M-61.0K1.0416.98N/AN/A8408749,11212,918
2017-10-16$29.47$28.0018.6%5.3%15.4%29.9%20.8%3.0%-2.4%-3.0M-6.7M-55.2K1.0217.30N/AN/A8428629,04612,718
2017-10-17$29.52$28.0016.6%4.8%15.5%21.1%19.3%6.7%-0.6%-3.7M-7.9M-52.8K1.0414.25N/AN/A8248619,06612,719
2017-10-18$29.58$28.0017.6%5.0%15.3%25.4%19.6%3.2%-1.8%-2.2M-12.7M-47.4K1.1718.65N/AN/A7388619,05512,721
2017-10-19$29.72$28.0016.8%4.8%15.0%22.0%19.5%4.6%-1.4%-1.6M-13.3M-46.1K1.1916.18N/AN/A7228629,06812,721
2017-10-20$29.69$28.0017.3%5.0%14.6%24.4%19.2%3.3%-1.7%785.4K-15.4M-43.1K0.9014.39N/AN/A1,0479469,07212,732
2017-10-23$29.71$28.0017.2%4.9%13.7%23.8%18.7%3.9%-1.3%781.6K-14.8M-40.8K1.0816.33N/AN/A7938588,2782,335
2017-10-24$29.61$28.0017.9%5.1%13.8%27.0%19.7%3.0%-1.4%789.5K-14.5M-40.9K1.2215.40N/AN/A7328928,3462,300
2017-10-25$29.36$28.0018.8%5.4%11.6%30.8%20.5%5.3%-3.0%802.8K-13.2M-41.0K1.1215.86N/AN/A7097928,3712,320
2017-10-26$29.46$28.0019.0%5.4%11.4%31.5%20.7%5.3%-2.8%841.3K-13.9M-40.8K1.2311.69N/AN/A6427928,4012,331
2017-10-27$29.73$28.0017.5%5.0%11.8%24.9%17.7%6.4%-2.1%847.2K-14.8M-40.0K1.1114.42N/AN/A7308138,3952,331
2017-10-30$29.46$28.0020.8%6.0%11.8%39.6%20.5%6.4%-4.2%832.4K-13.9M-38.9K1.1811.88N/AN/A6888118,3792,326
2017-10-31$29.60$28.0018.5%5.3%11.6%29.4%19.5%5.5%-2.7%837.1K-14.6M-38.3K1.1112.65N/AN/A7338128,3752,326