CNP Options History — November 2018

In November 2018, CNP traded between $26.96 and $28.29. ATM implied volatility averaged 20.2%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.5% (HV 20d: 17.7%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2018-11-14: Highest Volume — 2,244 contracts
  • 2018-11-08: Largest IV drop — 25.7% change
  • 2018-11-05: Highest IV Rank — 84.7%
  • 2018-11-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.79$26.96$28.29$27.12$28.00
Max Pain$28.05$28.00$29.00$28.00$28.00
ATM IV20.2%17.0%26.7%24.8%17.3%
Expected Move5.4%4.9%7.1%7.1%4.9%
HV 20d17.7%16.4%19.6%17.9%16.9%
HV 60d18.0%16.9%18.7%16.9%17.1%
IV Rank46.1%26.8%84.7%73.7%26.8%
IV Percentile65.6%36.9%99.2%96.4%36.9%
Term Structure-0.9%-3.9%0.3%-3.9%-0.2%
VWIV18.7%16.6%25.7%24.8%17.2%
Skew 25d3.4%2.2%4.9%4.0%2.4%
Skew 10d10.1%4.9%14.8%14.8%9.9%
Call IV 25d17.3%15.0%23.9%22.9%16.0%
Put IV 25d20.7%18.4%28.7%26.9%18.4%
Bid-Ask Spread %20.9915.5835.0031.0718.68
Gamma HHI0.250.200.420.250.22
Net GEX335.3K-35.8K718.8K286.0K290.6K
Net DEX-3.0M-6.2M-238.9K-1.1M-3.4M
Net VEX-28.4K-31.5K-25.6K-30.6K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.301.190.650.72
Total Volume1,594.811,0992,2441,6621,099
Total OI10,862.818,94712,19311,29610,343

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$27.12$28.0024.8%7.1%17.9%73.7%24.8%4.0%-3.9%286.0K-1.1M-30.6K0.6531.07N/AN/A1,0096536,8354,461
2018-11-02$26.96$28.0024.2%6.9%16.8%70.2%25.7%4.8%-3.7%253.8K-544.6K-29.3K0.6530.03N/AN/A9476116,8364,465
2018-11-05$27.50$28.0026.7%6.0%17.8%84.7%21.3%3.8%-1.0%374.4K-2.4M-29.8K0.6220.93N/AN/A9545896,8544,580
2018-11-06$27.71$28.0023.7%5.5%18.0%67.2%21.2%4.0%-1.2%461.0K-3.4M-27.4K0.6117.00N/AN/A8695336,9244,581
2018-11-07$28.29$28.0025.1%5.3%19.6%74.7%19.4%3.7%-0.8%640.3K-6.2M-27.7K0.5423.07N/AN/A9925406,9424,581
2018-11-08$28.00$28.0018.6%4.9%17.1%37.1%18.0%2.9%-0.4%634.1K-5.0M-25.6K0.5235.00N/AN/A9875117,0884,549
2018-11-09$28.23$28.0020.8%4.9%17.3%49.7%17.8%2.9%-0.6%690.7K-5.8M-26.2K0.5819.76N/AN/A9805707,0974,478
2018-11-12$28.19$28.0023.0%5.1%16.8%62.4%17.2%4.9%-1.0%718.8K-6.1M-26.3K1.1916.26N/AN/A8951,0637,1054,458
2018-11-13$28.24$29.0022.0%5.0%16.7%57.0%17.8%4.4%-0.8%653.9K-4.9M-26.2K0.5916.77N/AN/A1,1686897,1375,056
2018-11-14$27.49$28.0018.8%5.4%19.2%38.3%17.8%3.8%-0.8%-10.7K-808.3K-26.3K0.8719.74N/AN/A1,2031,0416,0275,164
2018-11-15$27.47$28.0018.8%5.4%18.7%38.0%18.0%4.3%-1.0%-35.8K-238.9K-28.3K0.4921.86N/AN/A1,1205466,1675,301
2018-11-16$27.70$28.0017.5%5.0%18.7%30.6%17.8%3.8%-1.2%155.5K-1.1M-27.6K0.6516.45N/AN/A1,1417456,1315,272
2018-11-19$27.90$28.0017.3%5.0%18.5%29.4%17.5%3.4%-0.5%188.3K-2.7M-26.6K0.5517.05N/AN/A1,1806514,6444,303
2018-11-20$27.93$28.0018.4%5.3%18.5%35.8%17.6%2.3%-0.3%221.1K-3.0M-28.9K0.4020.42N/AN/A1,3685535,0784,495
2018-11-21$27.76$28.0017.0%4.9%18.4%27.7%16.8%2.2%0.3%236.8K-2.9M-31.5K0.3021.41N/AN/A1,3744135,5214,588
2018-11-23$27.65$28.0017.8%5.1%18.1%32.4%18.2%2.5%0.1%221.5K-2.5M-31.0K0.3620.85N/AN/A1,2684545,5534,590
2018-11-26$27.77$28.0018.2%5.2%16.4%34.7%17.7%3.3%-0.2%223.2K-2.4M-30.8K0.5320.79N/AN/A9054805,5534,621
2018-11-27$27.99$28.0017.4%5.0%16.6%29.9%16.6%2.4%-0.3%291.5K-3.6M-29.9K0.7315.58N/AN/A6654845,6054,564
2018-11-28$27.94$28.0018.2%5.2%16.6%34.9%17.8%2.4%-1.2%286.2K-3.4M-30.0K0.7018.30N/AN/A6574585,6454,624
2018-11-29$27.74$28.0018.4%5.3%16.7%33.8%17.5%4.2%-1.2%259.6K-2.7M-28.1K0.7319.70N/AN/A6524745,6824,621
2018-11-30$28.00$28.0017.3%4.9%16.9%26.8%17.2%2.4%-0.2%290.6K-3.4M-28.7K0.7218.68N/AN/A6404595,7074,636