CNP Options History — December 2018

In December 2018, CNP traded between $27.25 and $29.45. ATM implied volatility averaged 20.5%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.5% (HV 20d: 16.0%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.20.

Notable Days

  • 2018-12-24: Highest Volume — 1,411 contracts
  • 2018-12-24: Largest IV spike — 24.6% change
  • 2018-12-24: Highest IV Rank — 81.5%
  • 2018-12-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.35$27.25$29.45$28.31$28.20
Max Pain$27.15$27.00$28.00$28.00$27.00
ATM IV20.5%16.6%26.4%18.2%23.3%
Expected Move5.8%4.7%7.6%5.2%6.7%
HV 20d16.0%11.1%21.2%17.0%21.0%
HV 60d17.5%16.8%19.1%16.9%18.4%
IV Rank45.1%21.0%81.5%30.9%62.7%
IV Percentile67.4%29.4%98.4%51.2%88.5%
Term Structure-0.9%-3.5%0.4%-1.6%-1.4%
VWIV19.6%14.5%25.4%17.9%23.7%
Skew 25d4.7%3.0%6.9%4.3%5.7%
Skew 10d10.1%2.7%20.8%7.6%16.6%
Call IV 25d17.4%12.4%24.1%15.1%19.6%
Put IV 25d22.2%17.4%30.6%19.5%25.2%
Bid-Ask Spread %23.7513.1947.0320.5217.93
Gamma HHI0.230.180.310.240.22
Net GEX423.8K207.3K591.5K397.1K401.2K
Net DEX-5.5M-11.0M-1.3M-4.8M-3.9M
Net VEX-27.2K-29.2K-23.7K-26.8K-26.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.053.980.650.05
Total Volume497.2731,411204140
Total OI10,930.710,11711,97510,27510,290

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$28.31$28.0018.2%5.2%17.0%30.9%17.9%4.3%-1.6%397.1K-4.8M-26.8K0.6520.52N/AN/A124805,6494,626
2018-12-04$28.02$28.0019.0%5.4%16.3%35.8%18.7%5.2%-1.0%344.1K-3.9M-28.4K0.4126.82N/AN/A200835,7614,656
2018-12-05$28.03$28.0019.7%5.6%16.1%40.2%19.4%4.5%-2.4%346.9K-3.8M-27.3K0.4128.69N/AN/A200835,7614,656
2018-12-06$28.16$27.0019.6%4.9%14.3%39.8%21.1%3.8%-0.1%358.2K-4.0M-27.7K2.0324.03N/AN/A921875,8604,661
2018-12-07$28.45$27.0018.4%5.0%14.3%32.4%16.5%3.8%0.4%453.0K-6.1M-27.1K1.6047.03N/AN/A1392235,9424,785
2018-12-10$28.46$27.0020.9%5.4%14.0%47.6%16.2%3.9%-0.3%449.5K-6.0M-27.0K0.3018.94N/AN/A56176,0264,880
2018-12-11$28.76$27.0017.0%4.7%14.4%23.7%16.7%3.8%0.4%518.0K-7.4M-26.7K0.3016.38N/AN/A125386,0514,873
2018-12-12$29.01$27.0016.6%4.7%14.7%21.0%14.5%3.8%0.3%577.0K-8.8M-24.7K0.2516.43N/AN/A353896,1294,867
2018-12-13$29.45$27.0016.6%4.8%11.1%21.4%15.4%3.0%0.4%591.5K-11.0M-23.7K0.4818.70N/AN/A7123456,1954,894
2018-12-14$29.21$27.0017.1%4.9%11.8%24.2%15.7%6.1%-0.2%583.9K-10.2M-27.2K1.5013.19N/AN/A3565346,4615,195
2018-12-17$28.74$27.0018.4%5.3%13.4%32.6%18.3%3.6%-0.9%495.8K-7.8M-28.6K1.7616.51N/AN/A2063626,4645,334
2018-12-18$28.30$27.0020.9%6.0%14.6%47.4%19.9%3.6%-0.5%417.0K-5.1M-29.2K1.0918.32N/AN/A1842016,5915,384
2018-12-19$28.38$27.0020.1%5.8%14.6%42.9%19.8%3.9%-1.0%455.4K-5.5M-27.5K0.6942.58N/AN/A2141476,5605,334
2018-12-20$28.32$27.0020.6%5.9%14.4%45.6%18.2%4.5%0.0%489.9K-5.9M-26.4K0.4530.50N/AN/A4331966,5155,301
2018-12-21$28.35$27.0021.2%6.1%14.3%49.5%20.6%4.8%-0.8%422.3K-6.0M-26.6K0.7123.59N/AN/A3912786,6305,291
2018-12-24$27.25$27.0026.4%7.6%20.3%81.5%25.4%6.6%-1.7%207.3K-1.3M-27.1K2.9628.63N/AN/A3561,0555,8154,302
2018-12-26$27.60$27.0024.5%7.0%20.6%69.9%24.4%6.6%-1.8%263.1K-1.9M-28.2K2.1526.25N/AN/A1984255,8494,408
2018-12-27$27.96$27.0025.5%7.3%21.2%75.9%25.2%6.9%-2.5%343.3K-3.3M-29.0K3.9822.02N/AN/A973865,8884,411
2018-12-28$27.95$27.0025.6%7.3%21.0%76.4%25.2%6.6%-3.5%361.7K-3.6M-28.1K2.2617.90N/AN/A1964435,9014,418
2018-12-31$28.20$27.0023.3%6.7%21.0%62.7%23.7%5.7%-1.4%401.2K-3.9M-26.4K0.0517.93N/AN/A13375,8354,455