CNP Options History — July 2019

In July 2019, CNP traded between $28.44 and $29.48. ATM implied volatility averaged 18.5%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.7% (HV 20d: 16.8%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2019-07-16: Highest Volume — 1,915 contracts
  • 2019-07-31: Largest IV spike — 11.7% change
  • 2019-07-31: Highest IV Rank — 66.5%
  • 2019-07-31: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.92$28.44$29.48$28.45$29.20
Max Pain$29.00$29.00$29.00$29.00$29.00
ATM IV18.5%15.9%21.8%17.8%21.8%
Expected Move5.4%4.6%6.2%5.1%6.2%
HV 20d16.8%12.9%19.6%17.9%12.9%
HV 60d17.7%17.2%18.0%17.2%17.9%
IV Rank45.7%29.2%66.5%41.4%66.5%
IV Percentile65.5%37.7%90.1%59.5%90.1%
Term Structure-1.8%-4.0%3.3%3.1%-4.0%
VWIV18.7%11.8%23.4%14.8%23.4%
Skew 25d4.2%2.3%6.7%4.7%6.7%
Skew 10d8.3%0.1%14.8%8.7%13.4%
Call IV 25d16.8%13.6%18.8%14.9%17.2%
Put IV 25d20.9%16.0%23.8%19.5%23.8%
Bid-Ask Spread %14.1010.5918.3516.6116.86
Gamma HHI0.260.200.370.200.29
Net GEX302.7K127.9K551.3K127.9K551.3K
Net DEX-1.5M-5.5M928.6K874.7K-3.8M
Net VEX-27.6K-33.4K-21.7K-21.7K-28.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.052.780.211.86
Total Volume362.2731001,915187446
Total OI9,903.3647,52012,2247,52010,714

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$28.45$29.0017.8%5.1%17.9%41.4%14.8%4.7%3.1%127.9K874.7K-21.7K0.2116.61N/AN/A155324,7682,752
2019-07-02$29.01$29.0015.9%4.6%19.2%29.2%16.3%2.3%1.8%213.4K-1.6M-23.9K0.2514.06N/AN/A290724,7822,771
2019-07-03$29.48$29.0016.4%4.7%19.6%32.0%15.1%2.5%3.3%318.5K-4.0M-25.1K0.5313.13N/AN/A139734,9282,831
2019-07-05$29.44$29.0016.1%5.5%19.5%30.4%19.4%4.4%-2.5%302.5K-3.4M-24.2K0.5116.68N/AN/A142734,9402,832
2019-07-08$29.16$29.0016.3%5.5%19.3%31.8%18.4%4.3%-2.9%260.1K-2.5M-28.7K1.5416.94N/AN/A46715,7503,631
2019-07-09$29.10$29.0016.8%5.3%19.3%34.8%18.1%4.5%-2.6%214.0K-1.7M-28.1K1.5214.36N/AN/A48735,7703,686
2019-07-10$28.98$29.0018.3%5.2%19.0%44.3%19.5%4.1%-2.2%177.8K-1.1M-27.4K2.7814.09N/AN/A671865,7723,690
2019-07-11$29.01$29.0017.9%5.1%18.5%41.7%19.5%3.9%-1.5%188.8K-1.0M-26.3K0.3513.03N/AN/A222785,7813,642
2019-07-12$28.85$29.0017.2%4.9%18.3%37.5%11.8%4.5%-1.2%169.2K-272.9K-26.1K0.0810.94N/AN/A939785,8703,624
2019-07-15$28.95$29.0018.2%5.2%17.2%43.6%19.1%5.1%-2.0%182.4K-1.3M-27.2K1.7212.96N/AN/A39676,0933,619
2019-07-16$28.88$29.0019.5%5.6%17.2%52.1%18.7%5.1%-2.3%170.4K-439.8K-31.2K0.6418.35N/AN/A1,1697466,7724,318
2019-07-17$29.05$29.0018.4%5.3%17.3%45.1%18.7%4.0%-2.3%354.8K-3.1M-33.4K0.7211.50N/AN/A1511097,7434,424
2019-07-18$29.24$29.0018.7%5.4%15.5%47.2%18.4%3.4%-1.5%417.8K-5.5M-32.6K2.7715.42N/AN/A742057,7674,412
2019-07-19$28.84$29.0020.0%5.7%16.1%55.5%20.6%2.9%-3.5%300.1K928.6K-30.4K0.7314.33N/AN/A3262397,7874,437
2019-07-22$28.57$29.0018.9%5.4%16.3%48.3%18.9%4.7%-1.9%352.7K-460.9K-28.2K0.3314.55N/AN/A75256,7343,263
2019-07-23$28.70$29.0019.5%5.6%16.4%51.9%19.1%4.7%-2.4%380.9K-917.0K-28.0K0.4114.73N/AN/A80336,8093,271
2019-07-24$28.44$29.0020.9%6.0%16.4%61.0%20.2%4.8%-3.8%316.1K358.6K-26.2K0.3012.13N/AN/A218666,8653,281
2019-07-25$28.52$29.0019.3%5.5%13.2%50.5%20.3%3.0%-2.2%356.7K-15.1K-26.8K0.3311.24N/AN/A208686,9833,303
2019-07-26$28.81$29.0018.8%5.4%13.5%47.8%21.0%3.9%-2.8%438.4K-1.6M-28.9K0.2914.04N/AN/A208617,1123,330
2019-07-29$28.79$29.0020.8%6.0%13.5%60.2%19.9%4.6%-3.8%429.4K-1.4M-27.3K0.0510.59N/AN/A11367,1333,330
2019-07-30$28.73$29.0019.5%5.6%13.5%51.9%21.1%3.8%-1.8%436.9K-1.4M-26.8K1.7213.69N/AN/A1672877,2203,334
2019-07-31$29.20$29.0021.8%6.2%12.9%66.5%23.4%6.7%-4.0%551.3K-3.8M-28.9K1.8616.86N/AN/A1562907,2763,438