CNP Options History — August 2018

In August 2018, CNP traded between $27.53 and $28.36. ATM implied volatility averaged 16.6%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.9% (HV 20d: 13.7%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2018-08-15: Highest Volume — 2,825 contracts
  • 2018-08-03: Largest IV drop — 24.7% change
  • 2018-08-01: Highest IV Rank — 69.0%
  • 2018-08-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.01$27.53$28.36$27.94$27.77
Max Pain$27.87$27.00$28.00$27.00$28.00
ATM IV16.6%13.1%23.9%23.9%13.1%
Expected Move4.6%3.8%6.9%6.9%3.8%
HV 20d13.7%10.3%20.1%19.9%10.3%
HV 60d17.0%15.7%18.0%18.0%15.7%
IV Rank27.3%7.3%69.0%69.0%7.3%
IV Percentile42.8%5.6%95.6%95.6%5.6%
Term Structure0.1%-5.7%1.6%-5.7%1.6%
VWIV16.2%12.9%24.6%24.6%12.9%
Skew 25d3.4%1.1%5.7%3.6%5.7%
Skew 10d7.2%1.6%14.2%8.4%5.6%
Call IV 25d14.3%10.4%21.3%21.0%10.4%
Put IV 25d17.7%15.5%25.2%24.6%16.1%
Bid-Ask Spread %19.259.6147.3545.6520.86
Gamma HHI0.240.210.290.250.21
Net GEX278.0K-76.6K454.3K394.7K135.3K
Net DEX-5.7M-8.0M-2.5M-6.3M-3.2M
Net VEX-38.0K-43.6K-35.6K-43.6K-35.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.140.960.360.59
Total Volume1,383.6528802,8251,4721,162
Total OI10,708.9138,23112,60512,2459,204

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$27.94$27.0023.9%6.9%19.9%69.0%24.6%3.6%-5.7%394.7K-6.3M-43.6K0.3645.65N/AN/A1,0803928,0694,176
2018-08-02$28.17$27.0023.3%6.7%20.1%65.5%24.6%3.9%-5.7%450.2K-7.5M-42.9K0.5019.03N/AN/A6123088,0404,103
2018-08-03$27.99$27.0017.6%5.0%20.1%32.8%19.1%1.1%-1.6%375.3K-6.4M-40.0K0.5815.13N/AN/A5573238,0454,118
2018-08-06$28.28$28.0019.1%4.6%14.6%41.2%16.6%3.9%1.0%454.3K-7.9M-40.0K0.4827.31N/AN/A7283508,1574,144
2018-08-07$28.27$28.0018.7%4.7%14.5%39.4%16.2%2.5%-0.1%448.1K-7.7M-40.1K0.4611.89N/AN/A7473418,2554,164
2018-08-08$28.24$28.0018.1%4.6%14.1%35.7%16.3%3.7%0.6%445.3K-8.0M-39.2K0.2913.12N/AN/A1,1053258,3084,173
2018-08-09$28.19$28.0017.7%4.5%12.9%33.6%16.3%3.7%0.9%397.4K-7.5M-38.2K0.4714.76N/AN/A6783218,2704,178
2018-08-10$28.14$28.0017.3%4.5%12.7%31.1%15.7%2.9%0.9%370.4K-7.4M-38.2K0.5015.88N/AN/A7603788,2834,178
2018-08-13$28.20$28.0020.9%4.7%12.7%51.7%16.5%3.1%0.6%379.3K-7.7M-37.1K0.5513.78N/AN/A6333468,3714,211
2018-08-14$28.11$28.0016.8%4.6%12.8%28.4%15.5%2.1%1.2%313.8K-6.8M-36.3K0.1415.82N/AN/A2,2393128,3904,215
2018-08-15$27.84$28.0015.4%4.4%13.1%20.3%15.5%3.2%1.5%-76.6K-4.5M-36.5K0.8520.48N/AN/A1,5281,2977,2764,231
2018-08-16$28.23$28.0015.2%4.3%12.9%19.0%15.3%3.1%1.6%-58.5K-6.6M-37.7K0.2811.77N/AN/A1,4934147,3514,603
2018-08-17$28.30$28.0015.1%4.3%12.7%19.0%14.9%3.7%1.2%332.6K-7.7M-37.7K0.229.61N/AN/A1,5443417,4494,560
2018-08-20$28.36$28.0015.8%4.5%12.5%22.5%15.1%4.8%0.0%341.2K-6.2M-37.1K0.2912.13N/AN/A9052615,3452,886
2018-08-21$28.09$28.0015.9%4.6%12.7%23.4%15.1%4.0%-0.3%331.3K-5.4M-37.5K0.3511.98N/AN/A8583025,4082,906
2018-08-22$27.81$28.0015.9%4.6%13.0%23.2%15.7%2.4%-0.6%292.4K-4.3M-37.1K0.3447.35N/AN/A8602945,4162,970
2018-08-23$27.74$28.0014.4%4.1%12.9%14.9%14.3%2.7%0.1%284.8K-3.9M-37.0K0.3615.61N/AN/A7752825,4073,001
2018-08-24$27.88$28.0013.7%3.9%13.1%10.6%13.6%2.6%0.5%295.7K-4.4M-36.1K0.9613.23N/AN/A8007695,4103,015
2018-08-27$27.67$28.0013.6%3.9%13.1%10.1%13.7%2.2%1.4%118.1K-2.9M-37.0K0.9011.98N/AN/A8487615,4173,515
2018-08-28$27.53$28.0013.2%3.8%11.8%7.5%15.8%4.6%1.2%123.3K-2.5M-36.1K0.4932.05N/AN/A8404105,4783,517
2018-08-29$27.77$28.0013.5%3.9%11.0%9.6%15.5%2.5%1.5%127.5K-3.2M-36.6K0.4929.88N/AN/A8454145,4523,590
2018-08-30$27.76$28.0013.8%3.9%10.5%10.9%14.3%5.3%1.3%118.3K-3.0M-35.7K0.4813.53N/AN/A8664205,4583,592
2018-08-31$27.77$28.0013.1%3.8%10.3%7.3%12.9%5.7%1.6%135.3K-3.2M-35.6K0.5920.86N/AN/A7324305,6123,592