CNP Options History — March 2018

In March 2018, CNP traded between $26.52 and $27.42. ATM implied volatility averaged 18.7%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.9% (HV 20d: 21.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2018-03-15: Highest Volume — 1,203 contracts
  • 2018-03-13: Largest IV spike — 23.4% change
  • 2018-03-13: Highest IV Rank — 56.4%
  • 2018-03-28: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.98$26.52$27.42$26.79$27.41
Max Pain$27.24$27.00$28.00$27.00$27.00
ATM IV18.7%16.6%21.7%19.7%19.4%
Expected Move5.3%4.8%5.8%5.7%5.6%
HV 20d21.7%14.7%27.6%27.2%15.4%
HV 60d19.6%19.2%19.8%19.2%19.8%
IV Rank39.3%27.5%56.4%45.0%43.1%
IV Percentile78.4%59.5%96.0%88.1%84.1%
Term Structure1.3%-0.5%2.7%-0.5%2.7%
VWIV19.1%16.3%21.6%20.4%20.4%
Skew 25d4.4%2.5%7.5%3.5%5.8%
Skew 10d9.6%-1.3%16.6%-1.3%15.2%
Call IV 25d16.5%14.4%19.5%19.5%15.4%
Put IV 25d20.9%18.2%23.6%23.0%21.2%
Bid-Ask Spread %22.1110.2657.1718.2514.47
Gamma HHI0.200.180.230.190.21
Net GEX165.7K104.1K227.6K115.9K226.1K
Net DEX-661.4K-1.9M376.1K-100.5K-1.9M
Net VEX-32.8K-35.2K-30.1K-32.9K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.351.170.350.88
Total Volume995.8578181,2031,069962
Total OI7,540.5247,0688,2427,1497,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$26.79$27.0019.7%5.7%27.2%45.0%20.4%3.5%-0.5%115.9K-100.5K-32.9K0.3518.25N/AN/A7932764,5652,584
2018-03-02$26.69$27.0019.2%5.5%26.7%41.9%20.9%7.5%0.9%128.3K-3.4K-33.3K0.4047.97N/AN/A7613034,7762,607
2018-03-05$27.18$28.0018.6%5.6%27.6%38.9%20.6%4.5%0.6%199.9K-1.2M-34.3K0.3530.38N/AN/A7652714,8592,664
2018-03-06$26.76$28.0019.7%5.5%27.3%44.8%20.3%4.0%0.9%150.7K-293.5K-33.1K0.4320.09N/AN/A7593234,8832,665
2018-03-07$26.75$28.0019.9%5.3%25.6%45.7%19.8%3.2%1.2%141.7K-59.5K-31.8K0.4519.38N/AN/A7143234,9002,705
2018-03-08$27.06$28.0018.7%5.4%25.9%39.3%19.5%2.5%1.5%184.3K-831.2K-33.4K0.4720.09N/AN/A6953254,9062,705
2018-03-09$27.12$28.0018.1%5.2%24.7%36.0%19.5%4.2%1.2%190.7K-866.5K-33.1K0.6217.97N/AN/A6153814,9102,705
2018-03-12$27.42$27.0017.6%5.2%23.5%33.0%19.9%4.0%1.2%227.4K-1.7M-34.4K0.6318.92N/AN/A5873684,9602,781
2018-03-13$27.32$27.0021.7%5.2%23.5%56.4%18.3%3.3%1.4%224.4K-1.6M-34.0K0.6020.10N/AN/A5813485,0662,779
2018-03-14$27.09$27.0017.7%5.1%23.7%33.7%16.3%3.6%1.5%200.4K-899.2K-32.8K0.5116.77N/AN/A7673935,0762,782
2018-03-15$26.93$27.0017.7%5.1%22.2%33.5%17.5%4.3%0.5%227.6K-556.3K-32.5K0.7610.26N/AN/A6855185,2982,802
2018-03-16$27.18$27.0017.6%5.1%21.3%33.1%17.1%3.9%1.3%158.4K-1.6M-32.8K0.6119.45N/AN/A7144375,3332,909
2018-03-19$26.94$27.0017.6%5.1%21.4%33.2%17.9%4.9%2.2%137.0K-288.8K-32.2K0.7918.98N/AN/A5704524,6482,420
2018-03-20$26.83$27.0016.6%4.8%21.3%27.5%16.9%4.2%2.3%122.3K-184.1K-33.0K0.8317.24N/AN/A5334444,7132,531
2018-03-21$26.87$27.0017.3%5.0%20.1%31.5%17.7%3.7%2.2%137.1K-341.7K-32.5K0.6957.17N/AN/A5223624,7462,526
2018-03-22$26.73$27.0018.7%5.4%17.7%39.4%18.6%5.3%0.5%120.5K-84.8K-31.6K0.9019.02N/AN/A4313874,7632,535
2018-03-23$26.52$27.0019.3%5.5%14.7%42.7%19.4%4.3%1.2%104.1K376.1K-30.1K1.0126.79N/AN/A4264304,8042,541
2018-03-26$26.88$27.0017.7%5.1%15.7%33.5%18.3%5.6%2.1%149.8K-293.7K-31.3K1.1713.54N/AN/A3964644,8582,538
2018-03-27$27.12$27.0019.7%5.7%14.8%45.1%20.8%4.7%0.7%169.0K-847.9K-32.9K0.8921.85N/AN/A4694174,8702,563
2018-03-28$26.95$27.0020.3%5.8%14.8%48.2%21.6%5.3%1.0%163.0K-646.2K-31.2K0.8115.66N/AN/A5234234,9452,538
2018-03-29$27.41$27.0019.4%5.6%15.4%43.1%20.4%5.8%2.7%226.1K-1.9M-35.2K0.8814.47N/AN/A5134495,0132,579