CNP Options History — August 2019

In August 2019, CNP traded between $27.35 and $29.34. ATM implied volatility averaged 20.7%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.7% (HV 20d: 17.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2019-08-05: Highest Volume — 1,510 contracts
  • 2019-08-12: Largest IV spike — 23.0% change
  • 2019-08-05: Highest IV Rank — 100.0%
  • 2019-08-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.98$27.35$29.34$29.09$27.74
Max Pain$28.23$28.00$29.00$29.00$28.00
ATM IV20.7%16.2%28.0%23.0%16.5%
Expected Move5.5%4.6%6.7%6.6%4.7%
HV 20d17.0%11.6%19.3%11.6%18.4%
HV 60d16.8%16.3%17.8%17.8%16.8%
IV Rank56.7%28.9%100.0%74.2%30.8%
IV Percentile74.4%35.3%100.0%93.3%39.3%
Term Structure-0.8%-5.4%0.5%-4.8%-0.0%
VWIV18.9%16.0%23.5%23.5%16.7%
Skew 25d4.1%2.3%6.8%4.9%6.8%
Skew 10d9.2%2.7%16.3%12.4%3.5%
Call IV 25d16.9%12.2%20.7%18.8%12.2%
Put IV 25d20.9%18.8%24.3%23.7%18.9%
Bid-Ask Spread %16.479.7125.9317.1512.08
Gamma HHI0.230.170.460.300.22
Net GEX201.4K56.9K569.4K501.1K111.9K
Net DEX743.4K-4.7M5.1M-3.2M-763.4K
Net VEX-22.6K-29.8K-18.2K-28.6K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.044.190.870.36
Total Volume385.091101,51060783
Total OI8,988.54,68613,10510,6535,674

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$29.09$29.0023.0%6.6%11.6%74.2%23.5%4.9%-4.8%501.1K-3.2M-28.6K0.8717.15N/AN/A3242837,1723,481
2019-08-02$29.34$29.0023.5%6.7%12.0%77.7%21.1%3.6%-5.4%569.4K-4.7M-29.8K4.0015.14N/AN/A12487,2613,554
2019-08-05$28.63$29.0028.0%5.6%14.5%100.0%19.6%4.2%-1.8%370.7K-664.9K-26.2K0.0418.10N/AN/A1,445657,2683,565
2019-08-06$28.82$29.0027.4%5.8%14.7%96.5%22.1%3.9%-1.1%552.1K-2.0M-27.9K0.2315.77N/AN/A8521968,1173,588
2019-08-07$28.27$29.0025.7%5.6%16.1%86.0%19.4%3.7%-0.8%283.4K2.1M-22.8K0.2118.81N/AN/A1,1992518,2703,661
2019-08-08$27.88$28.0024.1%5.2%16.7%76.4%19.1%2.8%0.5%179.2K4.2M-19.4K0.4118.79N/AN/A3901608,5643,715
2019-08-09$27.71$28.0020.7%5.4%16.7%56.2%18.0%2.7%-0.7%131.8K4.9M-18.7K0.3216.22N/AN/A72238,8383,808
2019-08-12$27.76$28.0025.5%5.5%16.7%84.8%19.3%4.4%-0.0%135.4K4.9M-18.2K4.1915.65N/AN/A542268,8953,853
2019-08-13$28.01$28.0020.6%5.3%17.1%55.9%18.3%4.8%0.1%165.1K4.7M-18.7K0.0819.40N/AN/A434338,9393,962
2019-08-14$27.54$28.0019.6%5.6%17.7%49.5%20.4%3.7%0.3%118.5K5.1M-19.5K3.5225.93N/AN/A1354759,1283,977
2019-08-15$27.62$28.0019.7%5.6%17.5%49.9%20.0%2.9%-0.4%139.3K3.0M-21.4K0.3815.17N/AN/A71279,2193,396
2019-08-16$27.85$28.0018.8%5.4%17.4%44.5%19.0%3.1%-0.2%392.9K2.3M-21.7K2.6619.97N/AN/A381019,2473,399
2019-08-19$28.20$28.0017.8%5.1%17.9%38.6%17.0%4.6%-0.4%110.5K-1.2M-21.8K0.2217.04N/AN/A372833,0621,624
2019-08-20$27.84$28.0018.4%5.3%18.3%42.2%16.6%3.8%-0.7%112.3K-768.5K-22.5K4.0213.80N/AN/A522093,3251,681
2019-08-21$27.87$28.0017.2%4.9%18.1%34.8%17.9%3.5%-0.2%100.0K-689.5K-22.6K0.4018.23N/AN/A52213,3391,765
2019-08-22$28.09$28.0016.9%4.8%18.3%33.4%16.0%3.8%0.2%118.2K-1.1M-23.3K0.2015.96N/AN/A76153,3411,786
2019-08-23$27.47$28.0019.1%5.5%19.3%46.4%18.2%2.6%-0.6%70.0K26.7K-21.5K0.5620.72N/AN/A43243,4171,811
2019-08-26$27.45$28.0019.5%5.6%19.3%49.1%19.1%6.6%-0.9%56.9K216.9K-21.3K0.1117.54N/AN/A913,4451,880
2019-08-27$27.44$28.0019.5%5.6%19.3%49.1%18.3%6.0%-0.4%58.7K241.1K-21.4K0.2010.15N/AN/A312613,4751,880
2019-08-28$27.35$28.0018.4%5.3%18.1%42.6%18.1%4.9%-0.5%69.9K81.7K-22.6K2.0811.11N/AN/A26543,7491,913
2019-08-29$27.62$28.0016.2%4.6%18.6%28.9%18.3%2.3%0.2%84.5K-430.2K-23.0K2.619.71N/AN/A18473,7431,960
2019-08-30$27.74$28.0016.5%4.7%18.4%30.8%16.7%6.8%-0.0%111.9K-763.4K-23.4K0.3612.08N/AN/A61223,7611,913