CNP Options History — February 2018

In February 2018, CNP traded between $25.89 and $27.76. ATM implied volatility averaged 21.0%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.4% (HV 20d: 22.4%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.98.

Notable Days

  • 2018-02-14: Highest Volume — 1,763 contracts
  • 2018-02-05: Largest IV spike — 61.7% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-06: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.89$25.89$27.76$27.73$27.07
Max Pain$27.21$27.00$28.00$28.00$27.00
ATM IV21.0%14.5%29.4%18.4%18.8%
Expected Move6.0%4.3%7.2%5.4%5.4%
HV 20d22.4%16.0%28.1%16.0%27.4%
HV 60d17.0%14.6%19.5%14.6%19.4%
IV Rank55.5%17.8%100.0%58.1%39.5%
IV Percentile84.8%30.6%100.0%80.2%81.7%
Term Structure-1.4%-3.6%1.7%-1.1%-0.1%
VWIV21.7%16.2%26.0%19.5%20.2%
Skew 25d5.0%1.1%7.5%3.5%1.1%
Skew 10d11.2%1.4%17.3%10.3%1.4%
Call IV 25d18.9%12.0%23.0%17.7%18.6%
Put IV 25d23.9%17.6%29.9%21.2%19.7%
Bid-Ask Spread %28.6214.6670.6818.5128.15
Gamma HHI0.190.150.240.230.21
Net GEX77.7K11.4K185.1K99.4K140.9K
Net DEX745.4K-2.0M3.0M-343.9K-631.1K
Net VEX-31.2K-35.7K-26.3K-33.8K-33.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.321.501.210.60
Total Volume1,317.9477781,7631,4611,033
Total OI7,508.8426,3668,4757,4317,102

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$27.73$28.0018.4%5.4%16.0%58.1%19.5%3.5%-1.1%99.4K-343.9K-33.8K1.2118.51N/AN/A6618004,7092,722
2018-02-02$27.57$28.0014.5%5.4%16.1%24.2%20.3%4.5%-1.1%112.3K-315.7K-34.5K1.3422.32N/AN/A5697654,8762,804
2018-02-05$27.05$28.0023.5%6.3%17.3%100.0%21.4%4.9%-2.5%71.9K1.0M-31.9K1.3570.68N/AN/A6028154,8852,828
2018-02-06$26.35$28.0029.4%7.2%19.1%100.0%24.6%7.5%-3.6%36.6K2.3M-28.7K1.1433.16N/AN/A6997974,9162,900
2018-02-07$26.41$27.0023.5%6.7%19.0%66.4%23.5%4.3%-3.0%37.1K2.2M-29.1K1.1423.99N/AN/A6997954,8942,981
2018-02-08$25.89$27.0024.7%7.1%19.2%73.2%26.0%6.9%-2.6%19.9K3.0M-26.3K1.2132.32N/AN/A6517894,8972,992
2018-02-09$26.53$27.0022.3%6.4%21.3%59.7%25.4%7.3%-1.8%27.2K2.3M-28.0K1.0144.49N/AN/A7567664,8823,001
2018-02-12$26.74$27.0022.4%6.4%21.6%60.4%24.4%5.1%-1.7%58.7K1.9M-28.5K1.5018.72N/AN/A6459674,9923,015
2018-02-13$26.81$27.0022.5%6.5%21.5%60.9%23.4%5.7%-1.7%63.2K1.5M-29.9K1.3816.73N/AN/A6639135,1253,066
2018-02-14$26.21$27.0024.7%7.1%22.0%73.1%23.2%4.5%-2.1%11.4K2.4M-29.6K1.1118.31N/AN/A8349295,0163,157
2018-02-15$26.75$27.0021.6%6.2%23.5%55.7%23.1%5.9%-1.3%29.4K1.2M-30.4K1.1020.06N/AN/A7047755,2903,119
2018-02-16$26.96$27.0020.5%5.9%23.8%49.5%22.6%5.1%-0.7%70.5K1.1M-32.6K0.8718.90N/AN/A6795895,3113,164
2018-02-20$26.77$27.0021.6%6.2%23.8%55.5%22.7%5.6%-1.8%60.1K346.3K-30.7K0.7223.20N/AN/A6184483,8512,515
2018-02-21$26.28$27.0022.3%6.4%24.0%59.8%22.5%3.2%-2.8%56.1K795.1K-29.0K0.8365.68N/AN/A4263523,9442,517
2018-02-22$27.00$27.0018.9%5.4%26.3%40.4%19.9%3.7%-0.1%81.6K-101.3K-32.0K0.6630.32N/AN/A5483643,9482,573
2018-02-23$27.73$27.0014.9%4.3%28.1%17.8%16.2%6.7%0.9%154.9K-1.5M-33.9K0.6119.10N/AN/A6473954,0642,568
2018-02-26$27.76$27.0015.2%4.4%28.0%19.5%16.3%5.2%1.7%185.1K-2.0M-35.7K0.3214.66N/AN/A8812854,2952,591
2018-02-27$27.27$27.0019.0%5.4%27.4%40.7%17.3%3.8%-1.5%160.6K-1.0M-34.9K0.4824.44N/AN/A7963864,5192,639
2018-02-28$27.07$27.0018.8%5.4%27.4%39.5%20.2%1.1%-0.1%140.9K-631.1K-33.4K0.6028.15N/AN/A6443894,5242,578