CNP Options History — November 2017

In November 2017, CNP traded between $28.99 and $29.98. ATM implied volatility averaged 14.1%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.3% (HV 20d: 11.8%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-11-14: Highest Volume — 3,471 contracts
  • 2017-11-03: Largest IV drop — 37.3% change
  • 2017-11-02: Highest IV Rank — 34.6%
  • 2017-11-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.52$28.99$29.98$29.68$29.98
Max Pain$29.81$28.00$30.00$28.00$30.00
ATM IV14.1%11.8%18.9%18.6%12.8%
Expected Move4.0%3.5%5.3%5.3%3.7%
HV 20d11.8%8.9%13.9%11.3%13.9%
HV 60d13.0%12.3%13.8%12.4%13.8%
IV Rank14.6%0.3%34.6%29.8%7.6%
IV Percentile18.3%0.4%72.6%66.7%6.3%
Term Structure-0.0%-2.8%1.3%-2.8%0.4%
VWIV14.3%12.8%19.8%19.8%12.8%
Skew 25d3.5%1.4%6.6%6.6%6.1%
Skew 10d5.2%-1.9%12.2%9.8%8.0%
Call IV 25d12.6%9.0%15.1%15.1%9.0%
Put IV 25d16.2%14.6%21.8%21.8%15.1%
Bid-Ask Spread %15.0710.9319.5813.0613.32
Gamma HHI0.310.230.390.280.39
Net GEX612.0K-20.4K886.2K870.3K566.9K
Net DEX-9.1M-15.1M-4.8M-15.0M-8.3M
Net VEX-31.5K-37.4K-27.9K-37.4K-28.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.351.121.020.69
Total Volume1,975.6191,4643,4711,5611,905
Total OI9,020.817,06610,86110,7597,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$29.68$28.0018.6%5.3%11.3%29.8%19.8%6.6%-2.8%870.3K-15.0M-37.4K1.0213.06N/AN/A7747878,4322,327
2017-11-02$29.72$29.0018.9%4.4%11.2%34.6%15.6%4.0%-0.8%886.2K-15.1M-37.2K1.1217.91N/AN/A9091,0148,4342,332
2017-11-03$29.60$29.0011.8%4.1%11.1%0.3%14.6%2.7%-0.1%865.7K-13.9M-35.5K0.6716.49N/AN/A1,7491,1678,3292,532
2017-11-06$29.69$30.0012.0%3.8%10.7%1.2%13.9%5.6%0.8%844.0K-12.0M-33.9K1.0811.92N/AN/A1,0441,1267,5692,630
2017-11-07$29.97$30.0014.7%3.8%10.0%14.2%13.7%2.4%0.1%879.3K-12.9M-33.6K1.1017.29N/AN/A9791,0807,4422,621
2017-11-08$29.94$30.0013.1%3.8%9.8%6.9%13.3%2.2%0.5%882.8K-12.5M-32.8K0.9816.99N/AN/A1,0199987,3152,623
2017-11-09$29.82$30.0013.7%3.9%8.9%14.1%14.2%3.5%0.7%865.3K-11.5M-32.6K0.9211.13N/AN/A1,0961,0057,2322,645
2017-11-10$29.40$30.0015.1%4.3%9.4%24.6%14.7%3.5%-0.7%776.2K-9.4M-32.9K1.0910.93N/AN/A9221,0087,2672,652
2017-11-13$29.62$30.0013.0%3.7%9.7%9.1%13.8%4.8%1.3%828.4K-10.3M-32.0K1.0412.54N/AN/A9569967,2942,699
2017-11-14$29.94$30.0012.8%3.7%10.4%7.6%13.5%5.1%0.8%834.8K-11.7M-32.3K0.3814.98N/AN/A2,5149577,3212,705
2017-11-15$29.37$30.0016.2%4.7%12.5%33.5%15.5%1.8%-1.4%474.7K-7.5M-31.5K0.5011.19N/AN/A1,4337146,4802,926
2017-11-16$29.04$30.0013.7%3.9%13.0%14.7%13.9%1.4%0.5%206.8K-6.1M-29.9K0.4919.57N/AN/A1,2586146,4962,926
2017-11-17$28.99$30.0014.4%4.1%13.0%19.6%13.7%2.7%-0.1%-20.4K-5.1M-29.7K0.4318.10N/AN/A1,6917356,1932,991
2017-11-20$29.11$30.0014.3%4.1%13.1%19.3%13.4%3.8%-0.4%372.7K-4.8M-28.8K0.3515.62N/AN/A1,3254584,8262,240
2017-11-21$29.09$30.0013.4%3.8%13.1%12.0%13.3%1.6%1.0%404.4K-4.9M-29.8K0.4417.53N/AN/A1,0504585,0832,262
2017-11-22$29.13$30.0014.4%4.1%12.8%19.9%14.1%2.5%-0.5%412.6K-5.2M-28.9K0.4319.58N/AN/A1,0684595,0552,263
2017-11-24$29.03$30.0014.2%4.1%12.7%18.1%13.9%1.9%-0.1%410.4K-4.9M-27.9K0.4318.24N/AN/A1,0644625,0792,263
2017-11-27$29.53$30.0012.3%3.5%13.8%4.1%14.0%4.6%0.6%477.8K-6.3M-28.8K0.4112.48N/AN/A1,0744425,0952,273
2017-11-28$29.54$30.0012.3%3.5%13.4%3.5%14.2%3.3%0.3%508.1K-6.7M-28.8K0.4313.33N/AN/A1,0224425,1922,275
2017-11-29$29.67$30.0013.4%3.8%13.4%12.2%13.9%4.0%-0.1%505.5K-7.0M-28.7K0.4314.23N/AN/A1,1955195,2032,275
2017-11-30$29.98$30.0012.8%3.7%13.9%7.6%12.8%6.1%0.4%566.9K-8.3M-28.8K0.6913.32N/AN/A1,1267795,2852,355