CNP Options History — May 2018

In May 2018, CNP traded between $25.18 and $26.68. ATM implied volatility averaged 18.3%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 4.6% (HV 20d: 23.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-05-07: Highest Volume — 1,845 contracts
  • 2018-05-04: Largest IV drop — 23.5% change
  • 2018-05-03: Highest IV Rank — 83.2%
  • 2018-05-01: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.93$25.18$26.68$25.36$26.15
Max Pain$25.82$25.00$26.00$26.00$26.00
ATM IV18.3%14.5%26.5%25.8%17.5%
Expected Move5.1%4.2%7.4%7.4%5.0%
HV 20d23.0%19.9%25.1%20.6%22.0%
HV 60d20.6%19.2%22.4%21.5%19.2%
IV Rank37.1%15.3%83.2%79.3%32.3%
IV Percentile62.3%27.4%99.6%99.2%58.3%
Term Structure0.0%-5.5%2.4%-5.5%-0.9%
VWIV18.4%14.5%24.3%22.9%19.8%
Skew 25d4.2%1.9%6.4%4.9%3.2%
Skew 10d7.5%-3.4%15.9%15.9%3.6%
Call IV 25d15.7%11.2%23.5%21.3%16.2%
Put IV 25d19.9%16.5%26.9%26.1%19.4%
Bid-Ask Spread %18.9211.0260.1114.8315.57
Gamma HHI0.170.150.190.160.18
Net GEX201.3K73.7K337.4K107.0K337.4K
Net DEX-271.0K-1.9M1.7M1.6M-1.9M
Net VEX-31.6K-35.3K-26.5K-29.0K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.290.850.300.56
Total Volume1,461.8648971,8451,4051,262
Total OI9,291.57,87410,0989,1909,309

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$25.36$26.0025.8%7.4%20.6%79.3%22.9%4.9%-5.5%107.0K1.6M-29.0K0.3014.83N/AN/A1,0803256,2252,965
2018-05-02$25.44$26.0025.2%7.2%20.6%76.3%24.3%3.4%-5.1%117.1K1.4M-29.1K0.3060.11N/AN/A1,0983266,2712,977
2018-05-03$25.33$25.0026.5%5.8%19.9%83.2%21.1%5.0%-0.7%99.1K1.7M-27.3K0.3025.99N/AN/A1,0593226,2592,985
2018-05-04$26.43$25.0020.2%5.4%24.6%47.9%17.5%5.3%-0.1%233.5K-612.4K-32.7K0.3014.19N/AN/A1,3704166,2672,988
2018-05-07$26.61$25.0017.9%4.5%24.3%34.7%18.1%4.3%1.8%262.1K-1.1M-34.5K0.3615.62N/AN/A1,3594866,3843,043
2018-05-08$26.56$25.0018.6%4.6%24.3%38.8%19.6%6.3%1.1%273.1K-1.3M-34.2K0.3916.30N/AN/A1,2134776,6453,042
2018-05-09$26.30$26.0018.0%5.2%24.3%35.3%17.6%3.2%1.2%239.8K-787.3K-33.5K0.2920.58N/AN/A1,3994046,6883,083
2018-05-10$26.62$26.0015.4%4.4%24.4%20.5%18.7%5.3%2.1%301.2K-1.6M-35.3K0.3815.88N/AN/A1,1614456,7223,108
2018-05-11$26.68$26.0016.0%4.6%24.4%23.6%17.8%5.6%1.1%310.7K-1.7M-34.4K0.3921.14N/AN/A1,1174416,7343,122
2018-05-14$26.45$26.0017.5%5.0%23.7%32.7%18.9%4.2%1.2%276.3K-1.2M-32.9K0.4212.36N/AN/A1,1564906,7603,105
2018-05-15$26.02$26.0017.6%5.0%24.2%32.8%18.5%3.0%0.5%182.3K194.2K-30.3K0.4024.70N/AN/A1,2795066,8033,155
2018-05-16$25.51$26.0017.4%5.0%25.0%31.9%18.5%3.5%0.8%125.7K918.1K-30.9K0.3611.69N/AN/A1,2994636,8213,277
2018-05-17$25.26$26.0019.2%5.5%25.1%42.1%18.3%1.9%0.8%103.0K956.6K-28.9K0.3013.05N/AN/A1,3604066,8323,129
2018-05-18$25.27$26.0017.4%5.0%24.9%31.7%16.9%3.4%2.4%81.5K869.0K-27.7K0.2917.11N/AN/A1,3533956,8453,126
2018-05-21$25.18$26.0017.0%4.9%22.8%29.8%16.5%3.7%-0.2%73.7K959.5K-26.5K0.5213.96N/AN/A7874095,3062,568
2018-05-22$25.39$26.0016.8%4.8%21.5%28.1%16.3%4.5%-0.6%117.4K562.8K-29.1K0.5719.74N/AN/A6613795,5652,681
2018-05-23$25.84$26.0014.7%4.2%21.5%16.7%15.4%5.3%0.9%193.3K-513.6K-32.0K0.6811.02N/AN/A6564495,7202,729
2018-05-24$26.12$26.0014.5%4.2%21.6%15.3%14.5%3.1%0.6%246.8K-1.3M-33.9K0.5521.76N/AN/A7824285,8332,736
2018-05-25$25.98$26.0015.5%4.4%21.5%21.1%16.5%3.2%-0.1%262.7K-1.2M-33.7K0.8219.42N/AN/A5174246,0802,755
2018-05-29$25.82$26.0017.6%5.0%21.6%33.0%19.3%6.4%-0.4%213.9K-521.3K-31.5K0.8514.39N/AN/A4844136,0952,785
2018-05-30$26.15$26.0017.0%4.9%22.0%29.5%16.9%3.8%-0.5%270.4K-1.3M-33.1K0.5216.78N/AN/A8574486,0962,794
2018-05-31$26.15$26.0017.5%5.0%22.0%32.3%19.8%3.2%-0.9%337.4K-1.9M-35.0K0.5615.57N/AN/A8104526,5252,784