CNP Options History — September 2018

In September 2018, CNP traded between $27.42 and $28.97. ATM implied volatility averaged 15.9%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.7% (HV 20d: 17.6%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-09-25: Highest Volume — 13,851 contracts
  • 2018-09-25: Largest IV spike — 20.9% change
  • 2018-09-25: Highest IV Rank — 40.5%
  • 2018-09-25: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.30$27.42$28.97$27.82$27.66
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV15.9%14.1%19.0%14.2%18.5%
Expected Move4.6%4.0%5.4%4.1%5.3%
HV 20d17.6%9.6%19.3%9.6%19.2%
HV 60d16.7%15.7%17.3%15.7%16.9%
IV Rank23.2%12.8%40.5%13.4%38.0%
IV Percentile36.7%13.5%73.8%17.1%65.5%
Term Structure1.1%-1.1%3.1%1.2%0.6%
VWIV16.8%15.0%20.3%15.0%19.1%
Skew 25d4.0%2.5%8.2%5.9%2.5%
Skew 10d10.5%4.0%15.7%6.4%4.3%
Call IV 25d14.7%11.1%19.0%11.1%18.8%
Put IV 25d18.7%16.8%21.9%16.9%21.3%
Bid-Ask Spread %19.809.8739.1811.6330.54
Gamma HHI0.410.210.630.210.60
Net GEX626.4K-462.8K1.6M145.6K1.5M
Net DEX-7.2M-10.6M-1.4M-3.4M-8.9M
Net VEX-39.4K-50.5K-32.2K-35.1K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.222.440.600.90
Total Volume3,123.4741,24213,8511,2426,917
Total OI12,031.2118,57817,6509,28916,002

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$27.82$28.0014.2%4.1%9.6%13.4%15.0%5.9%1.2%145.6K-3.4M-35.1K0.6011.63N/AN/A7764665,6483,641
2018-09-05$28.89$28.0016.4%4.7%16.7%26.1%20.3%8.2%-1.1%332.4K-8.0M-35.2K0.6024.29N/AN/A2,1171,2785,7163,658
2018-09-06$28.97$28.0014.9%4.5%16.7%17.1%18.9%4.6%0.5%679.1K-10.3M-42.4K0.3316.69N/AN/A1,9706477,4484,445
2018-09-07$28.53$28.0015.8%4.4%17.7%22.3%16.9%3.4%0.2%508.2K-7.7M-42.7K0.2416.92N/AN/A1,3673287,4644,440
2018-09-10$28.74$28.0015.4%4.5%17.8%20.1%16.8%3.3%1.0%626.2K-9.1M-41.4K0.2213.30N/AN/A1,4083107,4544,434
2018-09-11$28.78$28.0015.1%4.4%17.8%18.3%16.6%3.5%1.3%682.0K-9.3M-40.9K0.2213.20N/AN/A1,3863087,4354,442
2018-09-12$28.65$28.0016.0%4.6%17.9%23.6%17.5%2.9%1.0%663.2K-8.7M-40.7K0.2718.87N/AN/A1,1153027,4954,450
2018-09-13$28.72$28.0014.9%4.3%17.4%17.6%15.8%4.5%1.1%720.2K-9.0M-39.6K0.2616.04N/AN/A1,1412997,5014,450
2018-09-14$28.92$28.0015.3%4.4%16.9%19.5%15.5%4.2%1.1%969.5K-10.6M-38.7K0.2816.12N/AN/A1,1683247,5254,471
2018-09-17$28.80$28.0014.1%4.0%17.0%12.8%15.2%3.7%2.0%1.0M-9.8M-37.1K0.2620.19N/AN/A1,2613237,5784,451
2018-09-18$28.59$28.0014.6%4.2%17.3%15.8%15.5%3.8%0.9%828.3K-8.7M-37.2K0.259.87N/AN/A1,2733227,7334,467
2018-09-19$27.95$28.0015.6%4.5%18.8%21.1%15.1%3.5%1.2%-462.8K-3.2M-35.5K0.6732.63N/AN/A1,2368337,7354,468
2018-09-20$28.05$28.0015.4%4.4%18.5%20.3%16.7%5.5%1.6%-385.2K-4.6M-34.4K0.6718.86N/AN/A1,1827897,7664,026
2018-09-21$28.20$28.0014.9%4.3%18.6%17.2%15.2%3.5%2.2%533.2K-7.3M-33.3K0.2316.43N/AN/A1,4473397,7933,564
2018-09-24$27.82$28.0015.7%4.5%19.2%21.8%16.4%2.5%2.2%485.9K-4.9M-32.2K0.2315.51N/AN/A1,3433146,1112,467
2018-09-25$27.73$28.0019.0%5.4%19.0%40.5%19.1%2.9%0.0%450.2K-5.0M-34.6K0.5235.49N/AN/A9,1334,7186,1152,490
2018-09-26$27.42$28.0018.4%5.3%19.3%37.5%17.3%2.9%3.1%1.0M-1.4M-50.4K2.1539.18N/AN/A2,0854,47711,1816,469
2018-09-27$27.49$28.0018.6%5.3%19.1%38.5%17.1%5.8%1.3%1.6M-6.3M-47.5K2.4410.53N/AN/A1,3503,29411,6354,425
2018-09-28$27.66$28.0018.5%5.3%19.2%38.0%19.1%2.5%0.6%1.5M-8.9M-50.5K0.9030.54N/AN/A3,6493,26811,6714,331