CNP Options History — September 2019

In September 2019, CNP traded between $28.03 and $30.64. ATM implied volatility averaged 17.2%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.3% (HV 20d: 20.5%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2019-09-19: Highest Volume — 1,673 contracts
  • 2019-09-06: Largest IV drop — 23.9% change
  • 2019-09-24: Highest IV Rank — 46.0%
  • 2019-09-24: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.67$28.03$30.64$28.24$30.20
Max Pain$28.70$28.00$29.00$28.00$29.00
ATM IV17.2%13.9%19.0%17.7%18.5%
Expected Move4.9%4.3%5.4%5.1%5.3%
HV 20d20.5%16.4%23.4%17.9%22.2%
HV 60d18.3%17.0%19.4%17.1%18.3%
IV Rank35.3%15.0%46.0%37.9%42.8%
IV Percentile47.1%9.5%71.4%53.6%64.7%
Term Structure1.2%-0.3%2.7%-0.3%1.6%
VWIV16.9%15.2%18.4%15.2%18.4%
Skew 25d3.2%1.1%5.8%4.2%2.3%
Skew 10d6.5%2.2%12.8%5.2%5.6%
Call IV 25d15.4%13.0%17.1%14.9%17.1%
Put IV 25d18.6%17.4%19.5%19.1%19.4%
Bid-Ask Spread %22.4010.7251.1919.8010.72
Gamma HHI0.280.240.410.240.28
Net GEX468.0K141.9K906.5K163.7K613.8K
Net DEX-6.2M-10.7M-1.4M-1.7M-7.5M
Net VEX-26.3K-28.9K-23.5K-23.8K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.004.560.031.33
Total Volume303.45441,673145126
Total OI6,826.855,6908,6215,6907,486

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$28.24$28.0017.7%5.1%17.9%37.9%15.2%4.2%-0.3%163.7K-1.7M-23.8K0.0319.80N/AN/A14143,7711,919
2019-09-04$28.18$28.0016.7%4.8%17.7%32.0%16.7%3.4%0.3%163.3K-1.7M-23.8K1.3722.81N/AN/A35483,7881,921
2019-09-05$28.03$28.0018.2%4.7%16.4%41.1%16.7%1.6%1.8%141.9K-1.4M-23.5K1.9617.55N/AN/A27533,8211,952
2019-09-06$28.55$28.0013.9%4.3%16.9%15.0%15.3%4.6%1.8%216.3K-2.5M-23.9K0.1422.01N/AN/A129183,8461,969
2019-09-09$28.78$28.0016.8%4.7%16.8%32.8%16.8%4.0%0.7%257.7K-3.2M-24.2K0.7715.83N/AN/A127983,9501,975
2019-09-10$29.22$28.0017.9%4.8%17.5%39.3%16.3%4.4%1.1%322.3K-4.6M-25.0K0.1219.97N/AN/A574714,0352,016
2019-09-11$30.39$29.0016.6%4.8%21.7%31.6%15.2%3.3%0.8%372.5K-7.7M-24.7K0.0728.82N/AN/A831624,2542,069
2019-09-12$29.84$29.0016.9%4.8%21.9%33.4%16.9%2.4%0.5%465.6K-6.6M-27.7K0.5927.63N/AN/A2971764,8502,112
2019-09-13$29.87$29.0016.5%4.7%21.9%30.9%16.8%2.5%0.9%504.9K-6.8M-28.2K0.5219.01N/AN/A105555,0222,258
2019-09-16$30.35$29.0016.9%4.9%22.3%33.5%0.0%5.8%0.8%542.6K-8.2M-27.1K0.0823.76N/AN/A7664,9982,290
2019-09-17$29.81$29.0017.1%4.9%23.4%34.7%17.1%2.9%0.6%515.7K-6.5M-27.3K0.0521.03N/AN/A4225,0262,291
2019-09-18$29.95$29.0016.7%4.8%22.7%32.1%16.6%2.7%1.8%537.6K-7.1M-26.4K0.0251.19N/AN/A14735,0462,293
2019-09-19$30.01$29.0018.5%5.3%22.7%42.8%17.9%2.7%1.4%537.0K-7.3M-26.3K0.0019.92N/AN/A1,66855,0722,292
2019-09-20$30.30$29.0017.8%5.1%22.7%38.9%16.9%4.7%2.4%906.5K-10.7M-28.9K0.0325.38N/AN/A32696,3282,293
2019-09-23$30.51$29.0017.3%5.0%20.5%35.6%17.7%1.1%0.1%616.7K-8.7M-27.3K0.2627.28N/AN/A43115,2561,670
2019-09-24$30.46$29.0019.0%5.4%20.6%46.0%18.0%2.5%1.4%625.9K-8.7M-27.8K0.3919.82N/AN/A98385,3791,682
2019-09-25$30.64$29.0017.3%5.0%20.5%35.6%18.0%3.7%1.3%640.8K-9.2M-26.7K0.3714.88N/AN/A99375,3741,690
2019-09-26$30.12$29.0016.7%4.8%21.8%31.9%16.6%1.4%2.7%652.0K-7.7M-27.5K4.5619.29N/AN/A632875,4111,710
2019-09-27$29.91$29.0017.8%5.1%22.1%38.6%17.7%3.4%1.8%562.9K-6.5M-28.5K2.3821.31N/AN/A39935,4441,978
2019-09-30$30.20$29.0018.5%5.3%22.2%42.8%18.4%2.3%1.6%613.8K-7.5M-27.3K1.3310.72N/AN/A54725,4782,008