CNP Options History — March 2019

In March 2019, CNP traded between $29.96 and $30.85. ATM implied volatility averaged 13.8%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.6% (HV 20d: 16.4%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2019-03-14: Highest Volume — 1,438 contracts
  • 2019-03-22: Largest IV spike — 18.9% change
  • 2019-03-28: Highest IV Rank — 22.7%
  • 2019-03-28: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.43$29.96$30.85$30.15$30.72
Max Pain$29.29$29.00$30.00$30.00$29.00
ATM IV13.8%11.6%15.1%13.6%12.9%
Expected Move4.3%3.8%4.8%3.9%4.2%
HV 20d16.4%11.5%18.0%15.9%12.1%
HV 60d16.2%14.1%17.3%17.3%14.2%
IV Rank10.7%0.0%22.7%4.3%8.2%
IV Percentile6.6%0.0%21.0%2.8%1.2%
Term Structure1.3%-0.3%2.1%-0.3%2.0%
VWIV14.9%11.5%16.9%11.5%16.1%
Skew 25d3.2%1.5%5.1%2.0%4.4%
Skew 10d5.0%-0.5%10.2%1.8%4.3%
Call IV 25d11.5%8.7%13.4%9.6%10.2%
Put IV 25d14.6%11.7%16.5%11.7%14.6%
Bid-Ask Spread %27.5310.0857.0112.4439.84
Gamma HHI0.340.290.420.320.42
Net GEX604.6K507.1K786.7K571.1K711.7K
Net DEX-7.9M-11.4M-4.3M-5.1M-10.7M
Net VEX-39.8K-44.7K-35.3K-35.9K-40.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.126.896.890.17
Total Volume424.857731,4381,372232
Total OI11,577.6679,22513,3589,22513,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$30.15$30.0013.6%3.9%15.9%4.3%11.5%2.0%-0.3%571.1K-5.1M-35.9K6.8912.44N/AN/A1741,1985,5843,641
2019-03-04$30.30$30.0014.8%4.2%16.0%12.9%14.8%3.2%1.5%614.1K-6.0M-35.6K0.4817.06N/AN/A178865,6503,654
2019-03-05$30.11$30.0014.9%4.3%16.1%14.1%14.9%3.4%0.9%597.7K-5.1M-35.3K0.7813.10N/AN/A5083985,7063,674
2019-03-06$30.10$30.0015.0%4.3%16.1%14.3%14.9%3.2%1.4%595.2K-5.2M-38.3K0.1514.53N/AN/A625936,0874,046
2019-03-07$30.02$30.0014.8%4.2%15.9%12.8%14.7%3.2%1.1%560.7K-4.6M-38.7K0.2517.41N/AN/A4321096,1714,100
2019-03-08$29.96$30.0014.3%4.1%15.6%9.3%14.2%2.7%1.1%557.2K-4.3M-38.1K0.9710.08N/AN/A1181146,1824,120
2019-03-11$30.38$29.0014.6%4.5%16.5%11.7%15.3%2.6%1.5%691.0K-6.5M-36.2K1.1529.99N/AN/A34396,2004,138
2019-03-12$30.70$29.0012.4%4.1%16.9%0.0%15.5%2.7%2.1%786.7K-8.5M-35.4K0.1218.76N/AN/A98126,2144,116
2019-03-13$30.44$29.0014.7%4.3%17.2%15.4%15.5%5.1%0.8%616.9K-7.5M-35.6K0.1633.71N/AN/A112186,2454,116
2019-03-14$30.40$29.0013.4%4.3%17.2%6.4%15.0%1.6%1.8%587.3K-8.2M-42.8K0.1238.86N/AN/A1,2821567,4105,264
2019-03-15$30.71$29.0011.6%3.9%17.5%0.0%14.5%4.6%1.5%576.9K-10.5M-42.8K2.0653.58N/AN/A1653407,6825,676
2019-03-18$30.49$29.0013.5%4.3%17.7%11.9%13.6%3.9%1.9%538.7K-8.4M-42.7K0.5628.82N/AN/A94536,8875,364
2019-03-19$30.26$29.0013.3%4.4%17.5%10.8%13.9%2.6%2.1%507.1K-6.6M-44.0K0.3830.24N/AN/A176666,9685,399
2019-03-20$30.28$29.0013.7%4.4%17.4%13.2%14.6%2.9%1.1%516.3K-7.0M-44.7K0.4857.01N/AN/A191917,0625,433
2019-03-21$30.69$29.0012.0%3.8%18.0%2.2%14.9%3.3%1.5%587.5K-10.0M-42.4K0.7920.81N/AN/A1551237,0635,433
2019-03-22$30.72$29.0014.2%4.4%17.8%16.9%15.0%4.9%1.1%556.4K-10.1M-41.7K0.5727.16N/AN/A4072317,0875,438
2019-03-25$30.81$29.0013.7%4.3%17.3%13.1%15.2%1.5%1.3%601.9K-11.2M-41.1K0.3325.31N/AN/A97327,3345,549
2019-03-26$30.85$29.0013.6%4.3%17.3%12.8%15.9%1.8%1.2%619.0K-11.4M-39.6K0.1437.45N/AN/A263387,3685,575
2019-03-27$30.66$29.0013.5%4.2%17.3%12.1%16.3%3.4%0.8%688.6K-10.6M-41.3K0.2321.69N/AN/A150357,5835,566
2019-03-28$30.37$29.0015.1%4.8%11.5%22.7%16.9%3.8%1.4%613.7K-7.3M-42.5K0.2130.35N/AN/A165347,6025,564
2019-03-29$30.72$29.0012.9%4.2%12.1%8.2%16.1%4.4%2.0%711.7K-10.7M-40.1K0.1739.84N/AN/A198347,6195,561