CNP Options History — April 2018

In April 2018, CNP traded between $24.92 and $27.49. ATM implied volatility averaged 21.6%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.6% (HV 20d: 18.1%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2018-04-19: Highest Volume — 1,784 contracts
  • 2018-04-23: Largest IV spike — 21.1% change
  • 2018-04-30: Highest IV Rank — 79.9%
  • 2018-04-30: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.52$24.92$27.49$26.97$25.31
Max Pain$27.48$26.00$28.00$27.00$26.00
ATM IV21.6%18.2%25.9%20.9%25.9%
Expected Move6.3%5.5%7.4%6.0%7.4%
HV 20d18.1%14.2%21.9%16.6%20.7%
HV 60d20.8%20.1%22.0%20.1%21.5%
IV Rank55.8%36.5%79.9%51.6%79.9%
IV Percentile91.1%71.0%99.6%92.1%99.6%
Term Structure-2.6%-5.6%1.8%1.8%-5.6%
VWIV22.2%19.5%24.9%21.7%24.7%
Skew 25d5.0%3.1%7.0%5.0%6.9%
Skew 10d11.1%2.9%17.7%7.6%17.7%
Call IV 25d19.3%16.5%22.4%18.3%20.7%
Put IV 25d24.3%21.5%27.9%23.3%27.6%
Bid-Ask Spread %26.6114.2782.4621.4919.50
Gamma HHI0.200.160.300.190.16
Net GEX102.3K-69.5K258.1K163.1K93.4K
Net DEX13.1K-2.2M2.4M-642.0K1.8M
Net VEX-34.8K-41.5K-25.6K-32.2K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.212.100.820.36
Total Volume1,309.2868281,7849801,404
Total OI9,282.9057,69310,9657,6939,045

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$26.97$27.0020.9%6.0%16.6%51.6%21.7%5.0%1.8%163.1K-642.0K-32.2K0.8221.49N/AN/A5394415,0682,625
2018-04-03$27.10$27.0021.4%6.1%15.3%54.4%22.2%3.1%0.6%181.4K-948.5K-32.3K0.9014.27N/AN/A4754295,1142,639
2018-04-04$27.17$27.0019.5%5.6%14.2%43.7%19.6%4.5%1.6%202.5K-1.3M-32.8K0.5215.05N/AN/A7193725,1482,644
2018-04-05$27.49$28.0018.2%6.0%14.7%36.5%20.8%4.8%-3.6%258.1K-2.2M-34.7K0.3817.08N/AN/A7873015,1752,645
2018-04-06$26.86$28.0021.2%6.5%16.6%53.5%23.2%4.5%-3.3%110.6K-629.4K-38.8K0.2128.05N/AN/A1,4543115,9553,100
2018-04-09$27.18$28.0020.8%6.3%17.1%51.3%22.6%4.2%-3.5%143.1K-1.5M-38.5K0.4721.90N/AN/A6803225,9893,114
2018-04-10$27.10$28.0020.1%6.3%16.6%46.9%22.8%4.6%-3.2%123.0K-1.2M-37.9K0.7222.12N/AN/A8616215,9963,127
2018-04-11$26.80$28.0021.7%6.2%17.0%56.1%22.7%4.3%-2.6%86.4K-255.8K-41.3K1.1618.65N/AN/A5746656,2943,410
2018-04-12$26.54$28.0021.3%6.1%17.1%53.7%22.0%5.6%-2.2%36.4K879.7K-38.6K1.0717.96N/AN/A5906296,3223,462
2018-04-13$26.61$28.0021.4%6.1%17.1%54.4%22.6%4.5%-3.0%21.3K779.3K-38.2K1.0315.99N/AN/A6056216,3743,476
2018-04-16$27.08$28.0020.8%6.0%17.9%51.4%22.0%5.9%-3.4%34.1K-929.6K-40.2K1.8915.04N/AN/A5831,1046,4053,485
2018-04-17$27.20$28.0019.9%5.7%17.7%45.8%21.1%6.7%-2.7%57.8K-1.7M-41.5K1.9626.31N/AN/A5441,0656,4773,982
2018-04-18$27.18$28.0019.9%5.7%17.6%45.9%19.5%5.1%-2.1%41.1K-1.5M-40.3K1.6321.71N/AN/A6471,0526,4974,382
2018-04-19$27.03$28.0020.3%5.8%17.7%48.0%20.6%3.2%-1.8%-69.5K-772.1K-39.2K1.4382.46N/AN/A7341,0506,5194,382
2018-04-20$26.70$27.0019.3%5.5%18.2%42.8%20.2%5.2%-1.7%225.2K1.5M-36.5K2.1031.30N/AN/A5261,1076,5754,390
2018-04-23$25.92$27.0023.4%6.7%20.9%65.9%22.6%4.7%-3.7%137.6K853.9K-30.9K0.4253.52N/AN/A7203056,0802,508
2018-04-24$25.32$27.0025.3%7.3%21.6%76.9%23.4%5.1%-4.0%90.9K1.7M-29.0K0.4552.70N/AN/A6522926,2342,622
2018-04-25$24.92$27.0024.4%7.0%21.5%71.4%23.1%5.4%-3.7%52.4K2.4M-25.6K0.3523.45N/AN/A9903506,3922,697
2018-04-26$25.09$27.0024.2%6.9%21.9%70.2%24.9%7.0%-3.6%77.5K2.1M-27.1K0.5016.31N/AN/A5512776,4912,792
2018-04-27$25.37$27.0024.3%7.0%21.2%70.8%24.1%4.6%-4.5%82.7K1.9M-27.5K0.3124.01N/AN/A1,1793676,5102,799
2018-04-30$25.31$26.0025.9%7.4%20.7%79.9%24.7%6.9%-5.6%93.4K1.8M-27.6K0.3619.50N/AN/A1,0353696,1452,900