CNP Options History — October 2018

In October 2018, CNP traded between $27.10 and $28.09. ATM implied volatility averaged 21.1%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.2% (HV 20d: 18.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.98.

Notable Days

  • 2018-10-03: Highest Volume — 6,937 contracts
  • 2018-10-02: Largest IV drop — 19.5% change
  • 2018-10-30: Highest IV Rank — 86.2%
  • 2018-10-30: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.62$27.10$28.09$27.49$27.10
Max Pain$27.35$27.00$28.00$28.00$28.00
ATM IV21.1%16.0%27.0%19.9%24.9%
Expected Move6.1%4.6%7.7%5.7%7.1%
HV 20d18.9%16.4%20.6%19.3%17.9%
HV 60d16.6%15.3%17.1%16.9%16.9%
IV Rank52.7%23.8%86.2%46.0%74.5%
IV Percentile81.6%36.5%99.6%81.7%96.8%
Term Structure-2.6%-5.3%2.1%1.0%-4.5%
VWIV21.3%16.2%25.2%17.3%24.2%
Skew 25d4.4%1.7%6.8%1.7%6.8%
Skew 10d8.2%-0.8%15.4%0.8%7.1%
Call IV 25d19.1%16.2%23.9%18.2%21.3%
Put IV 25d23.4%19.4%28.7%19.9%28.1%
Bid-Ask Spread %20.209.0249.009.0221.58
Gamma HHI0.500.220.840.680.24
Net GEX1.6M308.5K4.5M2.2M309.9K
Net DEX-6.6M-14.6M-1.3M-9.6M-1.3M
Net VEX-37.6K-53.8K-29.7K-51.8K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.153.962.010.60
Total Volume2,574.3911,3636,9374,9371,788
Total OI14,468.6529,92518,85618,33211,302

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$27.49$28.0019.9%5.7%19.3%46.0%17.3%1.7%1.0%2.2M-9.6M-51.8K2.019.02N/AN/A1,6423,29514,0574,275
2018-10-02$27.92$28.0016.0%4.6%20.2%23.8%16.2%3.1%2.1%2.8M-14.6M-53.8K3.9611.63N/AN/A9043,57814,2314,331
2018-10-03$27.26$28.0019.0%5.4%16.5%40.8%17.4%2.6%0.5%1.9M-6.5M-47.7K0.8912.59N/AN/A3,6803,25714,1984,658
2018-10-04$27.25$27.0018.8%5.9%16.4%39.7%20.7%5.0%-3.2%1.4M-4.4M-42.2K1.1917.76N/AN/A2,7633,28612,3194,635
2018-10-05$27.72$27.0016.3%5.4%17.2%25.4%21.7%4.7%-1.7%1.9M-8.8M-44.2K0.5512.05N/AN/A1,06658711,8204,642
2018-10-08$28.05$27.0019.1%5.6%17.5%41.3%20.9%3.6%-2.7%2.1M-13.6M-44.2K0.1515.94N/AN/A3,67953411,9504,622
2018-10-09$28.09$27.0017.9%5.6%17.5%34.6%20.7%2.9%-2.0%1.9M-12.4M-41.3K0.4818.35N/AN/A1,11453510,8914,644
2018-10-10$28.04$27.0020.4%5.8%17.5%48.7%22.0%4.6%-2.3%1.7M-11.4M-41.4K0.6022.39N/AN/A1,24975210,7024,644
2018-10-11$27.28$27.0022.7%6.5%19.8%61.8%22.5%5.1%-3.7%1.0M-3.8M-36.3K2.0549.00N/AN/A8231,68410,3304,775
2018-10-12$27.30$27.0021.9%6.3%19.5%57.3%21.5%4.7%-3.8%1.0M-3.4M-37.1K1.0625.87N/AN/A82286810,3175,225
2018-10-15$27.65$27.0021.7%6.2%20.3%56.0%21.3%5.1%-3.8%1.7M-6.4M-36.9K1.0120.19N/AN/A86887610,3195,524
2018-10-16$27.78$27.0021.2%6.1%20.3%53.2%20.5%5.0%-3.4%2.4M-8.1M-34.2K0.7919.52N/AN/A86267910,3495,529
2018-10-17$27.53$27.0020.7%5.9%18.9%50.3%21.1%5.2%-2.8%1.6M-4.8M-34.1K0.9217.75N/AN/A82776010,3515,586
2018-10-18$27.85$27.0020.8%6.0%19.4%51.2%21.2%5.9%-3.2%4.4M-7.1M-33.7K0.8318.36N/AN/A83168810,3535,736
2018-10-19$28.07$27.0020.3%5.8%19.5%47.9%19.9%3.6%-2.8%4.5M-11.9M-29.7K0.5713.40N/AN/A1,21069310,3405,739
2018-10-22$27.78$27.0020.5%5.9%19.3%49.3%20.6%3.6%-2.0%543.6K-4.8M-31.0K0.6015.86N/AN/A8505136,3463,579
2018-10-23$27.76$27.0020.9%6.0%19.2%51.3%21.4%5.2%-2.8%528.7K-5.0M-32.6K0.6418.03N/AN/A8595526,4083,707
2018-10-24$27.99$27.0022.3%6.4%18.9%59.5%22.4%2.8%-3.1%567.5K-5.4M-31.5K0.9419.87N/AN/A1,3091,2286,4193,710
2018-10-25$27.71$28.0022.1%6.3%19.3%58.2%22.0%4.6%-3.2%445.3K-3.7M-33.9K0.7628.34N/AN/A1,1448726,6894,302
2018-10-26$27.14$28.0024.8%7.1%20.6%73.5%24.6%4.4%-3.7%308.5K-1.4M-32.4K0.8121.34N/AN/A1,0088206,6894,314
2018-10-29$27.14$28.0026.0%7.5%20.5%80.6%24.3%5.6%-4.4%332.0K-1.8M-31.5K0.6623.88N/AN/A1,1847846,7094,325
2018-10-30$27.25$28.0027.0%7.7%19.7%86.2%25.2%4.4%-5.3%345.5K-1.8M-32.5K0.5831.86N/AN/A1,1976916,8614,327
2018-10-31$27.10$28.0024.9%7.1%17.9%74.5%24.2%6.8%-4.5%309.9K-1.3M-31.3K0.6021.58N/AN/A1,1206686,8584,444