CNP Options History — October 2019

In October 2019, CNP traded between $27.90 and $30.16. ATM implied volatility averaged 20.8%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.2% (HV 20d: 21.0%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 1.60.

Notable Days

  • 2019-10-03: Highest Volume — 2,248 contracts
  • 2019-10-02: Largest IV spike — 21.8% change
  • 2019-10-31: Highest IV Rank — 72.2%
  • 2019-10-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.89$27.90$30.16$29.93$29.03
Max Pain$28.87$28.00$29.00$29.00$29.00
ATM IV20.8%17.3%23.4%17.3%23.4%
Expected Move6.1%5.0%6.7%5.0%6.7%
HV 20d21.0%18.1%25.0%22.1%19.9%
HV 60d20.1%18.3%21.3%18.3%20.2%
IV Rank56.6%35.9%72.2%35.9%72.2%
IV Percentile80.8%48.8%93.7%48.8%93.7%
Term Structure-1.5%-4.4%2.8%2.8%-4.4%
VWIV21.1%17.3%25.1%17.3%24.7%
Skew 25d3.8%0.9%6.0%2.7%4.5%
Skew 10d9.5%-3.6%14.3%1.7%13.6%
Call IV 25d19.2%15.8%21.8%16.3%21.8%
Put IV 25d23.0%19.1%26.3%19.1%26.3%
Bid-Ask Spread %23.6212.1854.6118.7412.18
Gamma HHI0.350.270.490.290.39
Net GEX391.2K69.9K803.1K601.6K356.0K
Net DEX-2.9M-9.4M1.6M-6.6M-2.9M
Net VEX-33.4K-37.1K-26.6K-27.6K-35.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0212.810.085.28
Total Volume574.087952,248161113
Total OI11,459.7397,53113,3387,53112,792

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$29.93$29.0017.3%5.0%22.1%35.9%17.3%2.7%2.8%601.6K-6.6M-27.6K0.0818.74N/AN/A149125,4982,033
2019-10-02$29.21$29.0021.1%6.0%24.1%58.6%18.8%0.9%1.0%481.8K-4.2M-27.6K3.0016.29N/AN/A431295,6212,040
2019-10-03$28.81$29.0020.1%6.4%24.6%52.4%20.8%3.4%-1.7%384.0K-2.8M-26.6K0.0231.88N/AN/A2,197515,6162,053
2019-10-04$29.22$29.0018.3%6.1%24.2%41.7%18.9%6.0%-1.5%803.1K-5.6M-32.9K0.0832.87N/AN/A313267,5592,081
2019-10-07$28.84$29.0019.1%6.0%24.6%46.5%21.8%2.5%-1.1%697.3K-4.4M-31.4K12.8124.20N/AN/A1231,5767,7862,098
2019-10-08$28.23$29.0021.2%6.5%25.0%59.1%22.5%3.5%-2.4%251.7K-118.1K-33.7K1.0140.64N/AN/A6977027,7783,668
2019-10-09$28.19$29.0022.8%6.5%19.8%68.5%22.5%3.2%-2.0%198.5K220.4K-34.3K0.9824.47N/AN/A1611578,0663,754
2019-10-10$28.22$29.0023.1%6.6%19.1%70.3%22.5%4.1%-2.7%206.4K130.7K-34.5K0.5229.43N/AN/A90478,1373,869
2019-10-11$28.32$29.0021.4%6.1%19.2%60.5%19.6%4.3%-1.1%223.4K-31.8K-33.8K0.0954.61N/AN/A170168,1623,909
2019-10-14$27.90$29.0021.4%6.1%18.3%60.6%22.2%3.0%-1.1%69.9K1.6M-31.0K0.5533.95N/AN/A105588,2403,924
2019-10-15$28.13$29.0021.0%6.0%18.1%57.9%21.4%4.6%-1.8%99.7K784.1K-31.0K0.3521.87N/AN/A178628,2813,922
2019-10-16$28.60$28.0020.4%5.8%19.2%54.2%20.3%3.3%-0.9%345.8K-1.7M-33.0K2.9727.10N/AN/A2748158,4383,959
2019-10-17$28.72$28.0019.8%5.7%19.3%50.7%19.9%4.2%-0.7%384.4K-1.8M-34.1K0.2120.43N/AN/A329688,5964,328
2019-10-18$28.66$28.0020.4%5.8%18.8%54.2%20.4%3.5%-1.2%255.0K-1.6M-35.7K2.3424.36N/AN/A2425668,6224,716
2019-10-21$28.73$29.0019.6%5.6%18.5%49.5%20.2%5.1%-0.5%177.7K-947.3K-34.9K0.2112.61N/AN/A432896,9964,880
2019-10-22$29.28$29.0020.2%5.8%20.1%53.2%18.6%5.8%-1.2%460.7K-4.2M-37.1K0.1814.98N/AN/A294537,2724,959
2019-10-23$29.51$29.0019.3%5.5%20.2%48.0%19.4%4.3%-1.5%545.8K-5.7M-36.3K0.0913.90N/AN/A329297,2944,994
2019-10-24$30.16$29.0019.8%5.7%21.0%50.9%23.1%3.4%-1.6%715.1K-9.4M-35.7K2.7320.99N/AN/A3821,0447,3345,005
2019-10-25$29.55$29.0020.6%5.9%22.2%55.5%20.7%3.6%-2.8%644.7K-6.4M-35.4K0.2220.51N/AN/A92207,3494,328
2019-10-28$29.14$29.0022.6%6.5%22.3%67.3%21.7%4.5%-3.0%394.1K-4.0M-35.0K0.1012.92N/AN/A440447,3714,975
2019-10-29$28.98$29.0023.0%6.6%22.2%69.8%25.1%4.7%-3.7%333.4K-2.9M-35.1K2.3817.37N/AN/A1162767,5474,991
2019-10-30$29.05$29.0022.0%6.3%20.5%64.2%22.7%2.6%-2.7%368.2K-3.1M-35.5K0.6116.88N/AN/A59367,5785,155
2019-10-31$29.03$29.0023.4%6.7%19.9%72.2%24.7%4.5%-4.4%356.0K-2.9M-35.0K5.2812.18N/AN/A18957,6335,159