CNP Options History — January 2018

In January 2018, CNP traded between $27.27 and $28.43. ATM implied volatility averaged 17.3%, placing in the 48.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.1% (HV 20d: 13.2%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-01-22: Highest Volume — 1,806 contracts
  • 2018-01-10: Largest IV spike — 18.2% change
  • 2018-01-30: Highest IV Rank — 71.2%
  • 2018-01-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.87$27.27$28.43$28.02$28.17
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV17.3%14.3%19.9%15.0%19.0%
Expected Move5.0%4.3%5.7%4.3%5.4%
HV 20d13.2%12.0%15.2%13.1%14.9%
HV 60d13.2%12.6%14.3%13.2%14.3%
IV Rank48.5%22.3%71.2%28.3%63.3%
IV Percentile66.2%25.4%92.9%36.9%87.3%
Term Structure0.2%-1.9%1.7%1.4%-0.8%
VWIV18.5%15.1%25.1%15.1%25.1%
Skew 25d3.7%1.8%9.1%2.1%9.1%
Skew 10d6.7%-0.6%15.7%2.5%15.7%
Call IV 25d15.6%11.5%18.6%15.1%11.5%
Put IV 25d19.3%17.2%22.7%17.2%20.6%
Bid-Ask Spread %21.079.6762.5424.3962.54
Gamma HHI0.250.190.400.190.25
Net GEX54.4K-105.4K167.0K114.5K143.3K
Net DEX-268.5K-1.9M1.5M-893.7K-1.4M
Net VEX-24.4K-36.7K-18.5K-19.4K-36.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.281.480.631.35
Total Volume1,338.0957671,8067671,454
Total OI7,819.8575,1629,1957,9487,408

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$28.02$28.0015.0%4.3%13.1%28.3%15.1%2.1%1.4%114.5K-893.7K-19.4K0.6324.39N/AN/A4712965,2362,712
2018-01-03$27.98$28.0014.9%4.3%13.1%27.8%15.3%1.8%1.5%97.1K-746.1K-18.8K0.4933.77N/AN/A5982965,2272,726
2018-01-04$27.99$28.0014.3%4.7%12.1%22.3%17.8%3.1%1.1%93.4K-824.5K-18.6K0.4414.18N/AN/A6702965,3242,738
2018-01-05$27.87$28.0014.6%4.6%12.0%24.9%17.8%3.4%1.7%56.4K-414.0K-18.6K0.5612.20N/AN/A5803275,2862,738
2018-01-08$28.05$28.0016.1%5.0%12.3%37.5%18.7%3.5%0.2%75.3K-737.1K-18.7K0.7614.70N/AN/A6024585,3612,805
2018-01-09$27.76$28.0015.5%4.8%12.7%33.0%18.6%2.9%1.0%6.0K282.1K-19.7K0.4116.07N/AN/A6902835,3593,035
2018-01-10$27.27$28.0018.4%5.3%13.9%58.0%18.7%2.0%0.2%-89.8K1.5M-18.6K0.4320.24N/AN/A7313165,4833,064
2018-01-11$27.44$28.0018.1%5.2%13.4%55.6%19.8%2.7%0.1%-56.2K996.2K-19.7K0.4418.26N/AN/A6973085,5233,017
2018-01-12$27.35$28.0018.0%5.2%13.4%55.1%20.3%2.5%0.3%-105.4K1.1M-18.5K1.0018.75N/AN/A6836845,5503,062
2018-01-16$27.50$28.0019.7%5.6%13.4%69.5%20.7%3.9%-1.5%-91.7K1.0M-19.8K0.9218.49N/AN/A7496905,6043,237
2018-01-17$27.88$28.0017.0%4.9%14.2%45.7%18.3%3.5%0.8%56.4K34.4K-20.6K0.7614.12N/AN/A7595795,6163,281
2018-01-18$27.82$28.0017.1%4.9%13.8%46.6%17.6%2.9%-1.1%65.4K234.1K-20.4K1.4822.36N/AN/A6549675,6703,300
2018-01-19$27.80$28.0017.8%5.1%12.7%52.7%18.6%3.4%0.6%14.9K845.3K-21.4K0.8713.02N/AN/A7146195,7113,484
2018-01-22$27.79$28.0017.0%4.9%12.7%45.4%17.5%2.5%1.3%10.0K156.3K-21.0K0.2814.80N/AN/A1,4064003,0012,161
2018-01-23$28.10$28.0017.5%5.0%12.8%50.7%17.4%4.0%0.1%106.8K-1.1M-27.6K0.8115.34N/AN/A9507743,8812,173
2018-01-24$28.15$28.0018.4%5.3%12.3%58.6%18.0%3.1%-1.9%127.7K-1.2M-35.3K0.8214.84N/AN/A9217544,3992,562
2018-01-25$28.35$28.0018.1%5.2%12.5%55.4%17.0%4.4%-0.0%149.5K-1.6M-35.4K0.8126.06N/AN/A9417664,4202,584
2018-01-26$28.43$28.0018.3%5.2%12.5%57.2%17.5%4.2%-0.4%167.0K-1.9M-36.7K0.8117.65N/AN/A9327574,4822,601
2018-01-29$27.74$28.0018.6%5.3%15.0%59.6%20.5%3.4%-0.3%91.6K-366.5K-33.2K0.8340.94N/AN/A9778074,5012,637
2018-01-30$27.88$28.0019.9%5.7%15.2%71.2%18.4%8.7%-0.3%109.7K-649.1K-33.9K1.219.67N/AN/A6988464,5942,664
2018-01-31$28.17$28.0019.0%5.4%14.9%63.3%25.1%9.1%-0.8%143.3K-1.4M-36.0K1.3562.54N/AN/A6198354,6952,713