CNP Options History — November 2019

In November 2019, CNP traded between $24.38 and $28.98. ATM implied volatility averaged 21.6%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 4.2% (HV 20d: 25.8%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2019-11-15: Highest Volume — 12,383 contracts
  • 2019-11-11: Largest IV spike — 51.6% change
  • 2019-11-05: Highest IV Rank — 78.1%
  • 2019-11-15: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.58$24.38$28.98$28.97$24.62
Max Pain$27.05$25.00$29.00$29.00$25.00
ATM IV21.6%15.9%24.3%22.0%21.2%
Expected Move5.8%4.6%6.8%6.3%6.1%
HV 20d25.8%16.9%32.5%19.2%32.1%
HV 60d23.4%19.6%26.5%20.0%26.5%
IV Rank61.3%27.4%78.1%63.9%58.9%
IV Percentile82.0%27.0%96.4%89.3%84.1%
Term Structure-0.0%-2.9%2.5%-2.9%-0.9%
VWIV20.4%16.6%23.6%21.4%21.6%
Skew 25d1.7%-0.3%4.1%2.3%1.8%
Skew 10d5.6%-0.6%11.6%11.3%6.0%
Call IV 25d20.1%14.5%23.7%21.5%21.1%
Put IV 25d21.8%17.4%24.9%23.7%22.9%
Bid-Ask Spread %14.438.8131.5610.8317.48
Gamma HHI0.470.190.780.390.36
Net GEX-406.2K-1.2M308.1K308.1K-598.1K
Net DEX6.1M-2.9M24.3M-2.7M9.9M
Net VEX-35.0K-51.5K-17.8K-34.2K-46.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.1314.031.050.20
Total Volume1,654.39012,38390378
Total OI16,301.912,89822,28612,89822,286

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$28.97$29.0022.0%6.3%19.2%63.9%21.4%2.3%-2.9%308.1K-2.7M-34.2K1.0510.83N/AN/A44467,6335,265
2019-11-04$28.82$29.0023.4%5.5%18.7%72.7%19.9%2.2%-0.2%191.7K-1.6M-31.6K2.4916.64N/AN/A912277,6585,276
2019-11-05$28.78$29.0024.3%5.4%17.0%78.1%19.9%2.1%0.2%115.0K-1.6M-31.1K1.2410.91N/AN/A62777,7025,273
2019-11-06$28.81$29.0023.1%5.2%16.9%70.7%18.6%2.5%0.6%135.1K-2.0M-30.0K0.1413.87N/AN/A210297,7315,340
2019-11-07$28.98$29.0016.8%4.6%17.0%32.4%16.8%4.1%1.4%161.5K-2.9M-26.1K1.4018.60N/AN/A901267,7985,350
2019-11-08$28.78$29.0015.9%4.8%17.2%27.4%16.6%1.4%1.2%-264.0K-1.7M-25.0K0.2310.78N/AN/A170397,7945,337
2019-11-11$27.74$29.0024.1%5.1%21.2%76.7%17.6%2.4%1.5%-852.2K5.6M-23.1K0.5720.34N/AN/A1,1546607,8795,334
2019-11-12$27.91$29.0020.7%4.8%21.1%56.1%17.0%3.3%2.0%-1.1M3.7M-25.7K0.6617.77N/AN/A109728,5065,226
2019-11-13$28.18$28.0016.8%4.8%20.5%32.5%16.6%2.4%2.5%-1.2M1.6M-25.9K14.0314.01N/AN/A1442,0208,5785,293
2019-11-14$26.65$28.0020.9%6.0%28.2%57.3%17.8%1.4%0.3%-201.5K14.2M-20.7K1.6331.56N/AN/A2,3813,8858,6727,156
2019-11-15$25.36$28.0023.6%6.8%32.5%73.9%23.6%1.9%0.2%18.8K24.3M-17.8K3.2216.66N/AN/A2,9339,45010,80910,803
2019-11-18$25.23$25.0021.7%6.2%32.4%62.3%22.6%0.5%-0.2%-839.9K8.7M-40.0K0.7311.49N/AN/A6834976,6518,806
2019-11-19$25.30$25.0022.6%6.5%31.2%67.4%22.6%1.5%-1.1%-814.9K8.0M-43.0K0.5910.04N/AN/A4662776,9159,048
2019-11-20$24.38$25.0023.5%6.7%32.3%73.1%22.9%0.5%-0.5%-707.2K11.8M-41.5K0.258.81N/AN/A1,3153307,1639,275
2019-11-21$24.52$25.0021.9%6.3%30.7%63.1%22.2%1.3%-0.5%-678.4K11.1M-42.8K0.809.07N/AN/A6034817,6999,461
2019-11-22$24.80$25.0023.0%6.6%31.4%69.9%23.0%0.2%-1.1%-434.9K7.9M-51.5K0.1312.59N/AN/A1,2551689,8289,730
2019-11-25$24.84$25.0021.5%6.2%31.6%60.9%22.0%-0.3%-0.7%-376.0K7.4M-50.9K0.2513.15N/AN/A42010610,8359,786
2019-11-26$24.41$25.0022.4%6.4%31.7%66.3%22.7%0.8%-1.3%-543.3K11.2M-44.4K0.249.91N/AN/A56113711,0409,850
2019-11-27$24.61$25.0021.8%6.2%32.1%62.7%23.1%1.7%-1.4%-522.1K9.5M-47.0K2.3714.19N/AN/A41297811,4249,828
2019-11-29$24.62$25.0021.2%6.1%32.1%58.9%21.6%1.8%-0.9%-598.1K9.9M-46.4K0.2017.48N/AN/A3156311,58110,705