CNP Options History — July 2018

In July 2018, CNP traded between $26.86 and $28.39. ATM implied volatility averaged 18.7%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.1% (HV 20d: 18.8%). Max pain ranged from $26.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-07-02: Highest Volume — 2,099 contracts
  • 2018-07-09: Largest IV spike — 31.7% change
  • 2018-07-31: Highest IV Rank — 61.4%
  • 2018-07-31: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.76$26.86$28.39$27.57$28.39
Max Pain$26.43$26.00$27.00$26.00$27.00
ATM IV18.7%13.6%22.6%15.3%22.6%
Expected Move5.5%4.4%6.5%4.4%6.5%
HV 20d18.8%14.5%20.8%17.1%19.0%
HV 60d20.0%17.7%21.2%19.9%17.7%
IV Rank39.2%10.0%61.4%20.2%61.4%
IV Percentile68.9%13.1%94.4%34.1%94.4%
Term Structure-2.2%-5.0%2.6%2.6%-5.0%
VWIV19.8%14.1%26.5%15.8%26.5%
Skew 25d4.2%2.5%5.2%2.5%5.0%
Skew 10d10.9%1.7%14.1%5.2%14.1%
Call IV 25d17.0%14.2%19.2%16.2%18.2%
Put IV 25d21.3%16.9%23.5%18.7%23.2%
Bid-Ask Spread %20.9010.2733.0525.9413.57
Gamma HHI0.270.190.320.190.25
Net GEX524.4K421.0K601.6K421.0K485.4K
Net DEX-8.3M-10.7M-4.8M-6.5M-8.6M
Net VEX-42.4K-45.1K-39.6K-42.7K-42.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.270.980.380.51
Total Volume1,213.0488612,0992,0991,320
Total OI12,546.04811,24113,78211,74412,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$27.57$26.0015.3%4.4%17.1%20.2%15.8%2.5%2.6%421.0K-6.5M-42.7K0.3825.94N/AN/A1,5225777,3084,436
2018-07-03$27.61$26.0016.0%4.6%17.1%23.6%17.0%2.8%2.5%477.1K-7.9M-45.1K0.6315.58N/AN/A6504078,1114,527
2018-07-05$27.72$26.0015.9%5.3%14.5%23.5%18.7%5.0%-2.4%498.0K-8.5M-43.7K0.6027.45N/AN/A6854098,1974,537
2018-07-06$27.89$26.0013.6%5.2%14.5%10.0%14.1%5.1%-1.5%532.9K-10.0M-43.1K0.6830.09N/AN/A5843988,3074,557
2018-07-09$26.86$26.0017.9%6.0%20.8%34.4%20.1%4.3%-2.8%453.9K-4.8M-41.5K0.4015.67N/AN/A9363758,2744,564
2018-07-10$27.10$26.0017.2%5.6%20.8%30.7%18.4%5.2%-2.1%533.9K-6.2M-42.8K0.4423.18N/AN/A8353718,5384,593
2018-07-11$27.41$26.0020.4%5.8%19.8%48.6%18.3%4.1%-3.2%551.0K-7.8M-43.5K0.5218.72N/AN/A7944098,6024,629
2018-07-12$27.88$26.0018.0%5.2%20.2%35.4%18.4%4.8%-1.6%551.4K-10.1M-43.1K0.4930.93N/AN/A8023978,6134,686
2018-07-13$27.72$26.0018.7%5.4%20.0%39.1%18.1%4.7%-2.1%531.8K-9.2M-42.8K0.7016.39N/AN/A5663988,5714,699
2018-07-16$27.74$26.0018.8%5.4%19.3%39.8%19.1%3.6%-1.9%538.0K-9.4M-41.3K0.6919.46N/AN/A5964108,5774,702
2018-07-17$27.75$26.0018.7%5.4%19.3%39.4%18.0%4.5%-1.7%519.1K-9.2M-39.6K0.5414.47N/AN/A7263898,5714,721
2018-07-18$27.58$26.0018.8%5.4%19.4%39.7%17.6%4.9%-2.3%515.7K-8.5M-40.3K0.5210.27N/AN/A8584458,5994,731
2018-07-19$28.00$27.0019.5%5.6%19.9%43.7%20.1%4.2%-2.9%518.5K-10.7M-43.0K0.7413.52N/AN/A6014468,9014,794
2018-07-20$27.83$27.0018.7%5.4%20.1%39.0%20.4%4.7%-2.0%507.2K-9.9M-42.5K0.7620.50N/AN/A5764378,9884,794
2018-07-23$27.67$27.0020.1%5.8%20.3%47.4%19.3%3.8%-2.8%524.5K-7.2M-41.7K0.8633.05N/AN/A4643977,9693,272
2018-07-24$27.91$27.0019.5%5.6%18.3%43.7%23.1%4.3%-2.3%548.0K-7.8M-41.2K0.5320.54N/AN/A7483977,9933,289
2018-07-25$28.07$27.0020.1%5.8%18.4%47.2%20.1%4.0%-3.3%589.4K-8.4M-42.5K0.8119.21N/AN/A4923988,0433,326
2018-07-26$28.20$27.0020.7%5.9%18.3%50.4%23.8%3.4%-3.0%601.6K-8.7M-42.3K0.2719.61N/AN/A1,2723488,0603,361
2018-07-27$28.19$27.0020.6%5.9%18.3%50.3%25.3%3.5%-3.3%584.0K-8.3M-42.3K0.5032.42N/AN/A8874437,9343,415
2018-07-30$27.97$27.0021.6%6.2%18.5%55.8%23.7%4.3%-4.1%530.4K-7.4M-41.6K0.9818.33N/AN/A8618488,0133,550
2018-07-31$28.39$27.0022.6%6.5%19.0%61.4%26.5%5.0%-5.0%485.4K-8.6M-42.7K0.5113.57N/AN/A8764448,0394,076