CNP Options History — December 2017

In December 2017, CNP traded between $27.75 and $29.51. ATM implied volatility averaged 14.7%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.1% (HV 20d: 14.6%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-12-01: Highest Volume — 1,839 contracts
  • 2017-12-11: Largest IV spike — 32.8% change
  • 2017-12-11: Highest IV Rank — 45.9%
  • 2017-12-12: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.54$27.75$29.51$29.51$28.40
Max Pain$27.90$27.00$30.00$30.00$28.00
ATM IV14.7%13.1%17.9%13.1%14.1%
Expected Move4.1%3.8%4.6%3.8%4.0%
HV 20d14.6%13.2%15.9%15.0%13.4%
HV 60d13.4%12.9%13.7%13.7%12.9%
IV Rank23.7%10.0%45.9%10.0%20.4%
IV Percentile28.7%7.5%68.3%7.5%21.0%
Term Structure1.6%0.4%3.2%0.8%3.2%
VWIV12.5%9.7%15.0%13.5%12.9%
Skew 25d2.7%0.5%4.6%4.5%0.5%
Skew 10d6.6%1.0%12.1%12.1%1.0%
Call IV 25d13.3%11.7%14.5%12.6%12.5%
Put IV 25d16.0%13.1%17.7%17.1%13.1%
Bid-Ask Spread %17.3012.8240.7316.7712.82
Gamma HHI0.290.200.390.350.26
Net GEX267.3K114.4K467.8K467.8K215.8K
Net DEX-2.4M-6.0M-645.1K-6.0M-2.1M
Net VEX-24.1K-29.7K-20.8K-29.7K-21.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.131.010.740.51
Total Volume1,235.158571,8391,839857
Total OI8,051.37,6278,4747,9757,915

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$29.51$30.0013.1%3.8%15.0%10.0%13.5%4.5%0.8%467.8K-6.0M-29.7K0.7416.77N/AN/A1,0597805,3802,595
2017-12-04$29.41$27.0017.4%4.3%15.0%42.2%13.6%2.9%0.8%433.5K-5.4M-29.2K0.4218.21N/AN/A1,1124725,4342,708
2017-12-05$28.94$27.0016.9%4.1%15.9%38.6%10.4%2.1%1.3%363.8K-3.6M-27.2K0.4813.00N/AN/A1,0384965,4912,757
2017-12-06$29.01$27.0015.0%4.2%15.5%24.2%9.7%1.9%0.8%373.5K-3.8M-27.5K0.4214.88N/AN/A1,0894595,5082,784
2017-12-07$28.86$27.0014.7%4.1%15.6%21.8%10.6%2.9%0.7%352.7K-3.1M-26.3K0.4414.62N/AN/A1,0764755,5892,794
2017-12-08$28.88$28.0013.5%4.0%15.6%12.7%10.0%3.8%1.0%339.9K-3.0M-24.4K0.1313.60N/AN/A1,0551365,5472,805
2017-12-11$28.85$28.0017.9%4.0%14.8%45.9%10.6%2.1%1.7%328.5K-3.0M-25.7K0.1314.89N/AN/A1,1821495,5462,815
2017-12-12$28.41$28.0013.6%4.6%15.3%13.4%14.8%3.3%0.4%274.0K-1.6M-24.5K0.1914.10N/AN/A1,0732055,5022,813
2017-12-13$28.43$28.0015.1%4.3%14.6%27.5%15.0%2.6%2.6%266.6K-1.4M-23.5K0.2240.73N/AN/A1,0562375,4992,860
2017-12-14$28.57$28.0013.5%3.9%13.4%15.1%12.5%2.1%2.1%291.3K-1.6M-23.6K0.3415.54N/AN/A1,0443505,4982,874
2017-12-15$28.76$28.0013.4%3.8%13.2%14.4%12.3%2.2%2.1%383.5K-2.2M-25.0K0.5419.80N/AN/A1,0555715,5202,954
2017-12-18$28.45$28.0015.3%4.4%13.7%30.8%13.8%2.1%0.7%265.7K-2.5M-24.1K0.6517.50N/AN/A6214065,0702,557
2017-12-19$28.02$28.0013.7%3.9%14.4%16.5%13.5%2.0%2.1%171.7K-1.3M-21.8K0.8818.01N/AN/A5264615,1192,565
2017-12-20$28.03$28.0013.9%4.0%14.4%18.7%10.8%2.6%1.9%160.9K-1.3M-21.8K0.9216.09N/AN/A4734375,0882,615
2017-12-21$27.75$28.0014.9%4.3%14.7%27.2%11.2%2.1%1.3%124.3K-645.1K-21.4K0.7318.60N/AN/A6084465,0852,652
2017-12-22$28.05$28.0014.1%4.0%15.4%20.0%12.9%3.6%2.0%125.5K-1.0M-21.3K0.8517.04N/AN/A5394575,0772,653
2017-12-26$28.04$28.0014.8%4.2%13.7%26.4%14.9%3.6%2.0%114.4K-945.7K-21.1K1.0115.52N/AN/A4504535,0792,672
2017-12-27$28.17$28.0014.4%4.1%13.9%23.3%14.5%2.8%2.4%122.1K-1.3M-20.8K0.8615.34N/AN/A5024345,0992,689
2017-12-28$28.36$28.0014.5%4.2%14.1%24.1%13.4%4.6%2.1%171.3K-1.8M-21.1K0.5018.84N/AN/A5752895,1252,693
2017-12-29$28.40$28.0014.1%4.0%13.4%20.4%12.9%0.5%3.2%215.8K-2.1M-21.4K0.5112.82N/AN/A5682895,2032,712