CNP Options History — June 2018

In June 2018, CNP traded between $25.20 and $27.78. ATM implied volatility averaged 16.5%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.6% (HV 20d: 18.2%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2018-06-15: Highest Volume — 2,251 contracts
  • 2018-06-06: Largest IV spike — 21.7% change
  • 2018-06-11: Highest IV Rank — 49.1%
  • 2018-06-06: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.25$25.20$27.78$25.67$27.78
Max Pain$26.00$26.00$26.00$26.00$26.00
ATM IV16.5%14.1%20.4%16.2%14.6%
Expected Move4.6%4.0%5.0%4.6%4.2%
HV 20d18.2%16.6%23.1%23.1%16.6%
HV 60d20.1%19.4%20.7%19.6%20.4%
IV Rank26.9%12.9%49.1%24.8%16.2%
IV Percentile48.1%18.3%86.1%46.4%25.8%
Term Structure1.9%0.2%3.4%0.2%2.3%
VWIV16.4%15.4%18.5%17.3%15.4%
Skew 25d2.9%-0.3%4.5%-0.3%1.3%
Skew 10d7.3%-2.9%12.2%-2.9%5.4%
Call IV 25d14.6%13.0%17.3%17.3%15.2%
Put IV 25d17.6%16.0%19.5%17.0%16.6%
Bid-Ask Spread %22.2610.6058.2424.0427.95
Gamma HHI0.220.170.310.180.20
Net GEX272.8K8.1K480.8K252.9K430.5K
Net DEX-1.8M-7.2M1.6M-427.6K-7.2M
Net VEX-35.3K-43.3K-25.4K-31.5K-43.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.592.720.750.79
Total Volume1,631.191,0052,2511,0491,091
Total OI10,511.0489,19211,7229,33011,722

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$25.67$26.0016.2%4.6%23.1%24.8%17.3%-0.3%0.2%252.9K-427.6K-31.5K0.7524.04N/AN/A6014486,5292,801
2018-06-04$25.69$26.0017.0%4.6%17.0%29.3%17.2%3.5%1.9%263.0K-487.3K-31.2K0.8619.77N/AN/A7886816,5332,836
2018-06-05$25.73$26.0015.4%4.7%16.7%20.5%16.9%3.0%0.7%257.7K-393.9K-28.6K0.5937.39N/AN/A8555086,4332,759
2018-06-06$25.20$26.0018.8%5.0%18.1%39.5%17.5%3.9%1.3%131.1K804.9K-25.4K0.7112.43N/AN/A7085046,4942,737
2018-06-07$25.38$26.0018.1%4.9%18.2%35.6%16.5%2.9%1.2%79.8K1.1M-28.6K0.8617.21N/AN/A5414646,6393,546
2018-06-08$25.32$26.0018.6%4.7%17.4%38.9%16.2%4.0%1.9%21.1K1.5M-27.6K0.8619.47N/AN/A5804996,6943,543
2018-06-11$25.29$26.0020.4%4.9%17.3%49.1%16.3%4.4%1.8%8.1K1.6M-26.8K1.0013.59N/AN/A5275276,7193,558
2018-06-12$25.87$26.0017.3%4.5%19.3%31.2%16.5%1.7%1.9%324.9K-569.6K-30.2K0.7320.94N/AN/A8205976,7603,606
2018-06-13$25.74$26.0016.5%4.7%18.6%26.6%18.5%3.2%1.5%288.6K-277.0K-31.1K2.3058.24N/AN/A6301,4476,8073,657
2018-06-14$26.14$26.0016.3%4.7%17.9%25.5%16.8%2.7%2.4%387.1K-1.0M-37.7K2.2128.31N/AN/A6051,3396,8504,310
2018-06-15$25.86$26.0015.5%4.4%18.0%21.1%15.6%1.9%2.9%480.8K79.6K-36.1K1.7113.98N/AN/A8321,4196,9184,291
2018-06-18$26.06$26.0015.7%4.5%18.1%22.2%15.4%3.2%3.4%160.9K-501.2K-37.4K1.7114.62N/AN/A7381,2636,4193,885
2018-06-19$26.31$26.0016.3%4.7%18.2%25.5%16.1%3.9%2.4%211.1K-1.3M-38.4K2.5721.40N/AN/A4911,2646,6033,948
2018-06-20$26.30$26.0016.3%4.7%18.1%25.6%16.0%4.4%2.6%231.8K-1.6M-39.1K2.4312.43N/AN/A4971,2106,6963,959
2018-06-21$26.46$26.0017.0%4.9%17.2%29.5%16.7%4.5%1.7%253.9K-1.9M-39.3K2.7233.33N/AN/A4531,2346,7353,987
2018-06-22$26.55$26.0014.1%4.0%16.9%12.9%15.8%1.8%2.9%290.3K-2.4M-39.4K1.8910.60N/AN/A6611,2526,7554,023
2018-06-25$27.27$26.0017.1%4.9%19.0%30.1%17.0%3.0%1.2%370.5K-4.9M-41.0K1.8029.65N/AN/A7941,4266,8114,063
2018-06-26$27.40$26.0016.1%4.6%18.8%24.3%15.6%3.8%1.8%414.0K-5.9M-42.6K2.3213.02N/AN/A6171,4327,0804,230
2018-06-27$27.55$26.0014.4%4.1%18.4%14.7%16.0%2.6%1.8%433.6K-6.4M-42.2K2.2218.29N/AN/A5881,3057,1304,229
2018-06-28$27.62$26.0015.7%4.5%18.4%22.3%15.9%1.7%2.2%438.0K-6.9M-43.0K2.3420.88N/AN/A6041,4157,1634,274
2018-06-29$27.78$26.0014.6%4.2%16.6%16.2%15.4%1.3%2.3%430.5K-7.2M-43.3K0.7927.95N/AN/A6104817,2914,431