CNP Options History — June 2019

In June 2019, CNP traded between $28.48 and $30.09. ATM implied volatility averaged 16.5%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.7% (HV 20d: 17.2%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2019-06-14: Highest Volume — 2,199 contracts
  • 2019-06-14: Largest IV drop — 14.9% change
  • 2019-06-10: Highest IV Rank — 46.0%
  • 2019-06-05: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.20$28.48$30.09$28.61$28.48
Max Pain$29.20$28.00$30.00$30.00$29.00
ATM IV16.5%14.6%18.6%17.2%17.2%
Expected Move4.6%4.2%5.2%4.9%4.9%
HV 20d17.2%13.9%21.3%20.4%18.0%
HV 60d16.1%15.4%17.2%15.6%17.2%
IV Rank32.7%20.7%46.0%37.2%37.0%
IV Percentile43.0%17.5%67.9%52.0%51.2%
Term Structure1.1%-1.6%3.3%-1.4%3.3%
VWIV16.3%14.4%19.0%17.8%18.5%
Skew 25d3.2%1.3%7.2%7.2%1.8%
Skew 10d6.1%-0.9%14.6%14.6%1.9%
Call IV 25d14.7%12.1%16.7%13.9%16.7%
Put IV 25d17.9%15.3%21.1%21.1%18.6%
Bid-Ask Spread %18.1510.1635.6317.4819.15
Gamma HHI0.300.210.550.260.21
Net GEX395.3K142.5K1.1M220.3K150.8K
Net DEX-2.0M-6.1M693.6K-234.2K456.0K
Net VEX-20.7K-25.9K-15.1K-16.4K-22.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.201.470.480.70
Total Volume394.55342,19934787
Total OI6,997.855,7568,7535,7567,407

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$28.61$30.0017.2%4.9%20.4%37.2%17.8%7.2%-1.4%220.3K-234.2K-16.4K0.4817.48N/AN/A23114,3191,437
2019-06-04$28.74$30.0017.0%4.9%20.6%35.9%14.4%6.1%-1.3%221.6K-296.5K-16.2K0.4214.23N/AN/A91384,3321,438
2019-06-05$29.06$30.0018.0%5.2%21.1%42.3%17.4%1.7%-1.6%330.0K-1.2M-18.1K0.4620.55N/AN/A92424,3821,452
2019-06-06$29.24$28.0017.2%4.5%21.3%37.2%15.3%2.9%1.4%381.6K-1.7M-18.8K1.0418.04N/AN/A80834,4071,457
2019-06-07$28.88$30.0017.5%4.6%15.8%39.5%16.0%3.3%0.8%283.7K-752.5K-17.2K1.0016.44N/AN/A1071074,4141,500
2019-06-10$28.88$30.0018.6%4.9%15.3%46.0%16.3%3.4%-0.4%264.0K-630.6K-16.6K0.3615.58N/AN/A39144,4091,514
2019-06-11$28.59$29.0018.5%4.8%13.9%45.7%16.7%4.0%0.5%198.1K-30.4K-15.1K1.4719.87N/AN/A60884,4441,524
2019-06-12$28.95$29.0016.9%4.8%14.6%35.2%16.4%3.9%0.8%266.7K-732.9K-16.6K1.3118.16N/AN/A65854,4361,594
2019-06-13$29.19$29.0017.2%4.9%14.5%37.0%16.1%4.9%0.6%342.1K-1.3M-17.3K0.2018.00N/AN/A449914,4711,595
2019-06-14$29.69$29.0014.6%4.2%15.8%20.7%16.5%3.2%1.7%561.7K-4.1M-25.9K1.1520.82N/AN/A1,0241,1755,7942,559
2019-06-17$29.62$29.0015.5%4.4%15.4%26.3%15.4%2.6%0.6%574.7K-3.8M-25.2K0.3718.84N/AN/A125465,8112,664
2019-06-18$29.45$29.0015.6%4.5%15.3%27.2%15.2%5.1%1.5%392.1K-2.4M-24.3K0.7216.69N/AN/A99715,9052,687
2019-06-19$30.09$29.0014.8%4.2%17.1%22.1%14.8%1.3%1.4%829.0K-6.1M-24.6K0.3435.63N/AN/A253875,9112,717
2019-06-20$30.02$29.0014.8%4.2%17.1%21.8%14.9%1.3%2.2%884.9K-5.8M-24.9K0.8518.45N/AN/A102876,0062,732
2019-06-21$29.90$29.0016.1%4.6%17.1%30.5%15.5%2.2%1.0%1.1M-5.0M-24.6K0.2513.78N/AN/A307766,0192,734
2019-06-24$29.81$29.0015.4%4.4%17.1%26.1%15.8%1.8%2.2%331.5K-4.0M-23.5K1.4716.80N/AN/A1231814,4022,425
2019-06-25$29.54$29.0015.0%4.3%16.0%23.3%16.0%2.2%2.9%302.8K-3.5M-24.0K0.4814.43N/AN/A3761814,4422,520
2019-06-26$28.71$29.0016.4%4.7%18.5%32.4%19.0%3.2%1.9%174.4K131.8K-21.2K0.7219.85N/AN/A3252334,4702,531
2019-06-27$28.55$29.0016.2%4.6%18.2%30.7%17.6%1.7%3.3%142.5K693.6K-20.4K0.5410.16N/AN/A4332354,4672,629
2019-06-28$28.48$29.0017.2%4.9%18.0%37.0%18.5%1.8%3.3%150.8K456.0K-22.3K0.7019.15N/AN/A4633244,7552,652