CNP Options History — December 2019

In December 2019, CNP traded between $24.43 and $27.20. ATM implied volatility averaged 21.1%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.5% (HV 20d: 26.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2019-12-24: Highest Volume — 12,248 contracts
  • 2019-12-11: Largest IV drop — 15.6% change
  • 2019-12-09: Highest IV Rank — 78.8%
  • 2019-12-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.90$24.43$27.20$24.45$27.20
Max Pain$24.86$24.00$25.00$25.00$25.00
ATM IV21.1%19.0%24.5%23.0%19.0%
Expected Move5.9%5.4%6.7%6.6%5.4%
HV 20d26.6%19.4%33.4%32.0%19.4%
HV 60d25.6%24.0%26.4%26.1%25.5%
IV Rank58.8%45.8%78.8%69.9%45.8%
IV Percentile79.0%63.1%96.8%92.1%63.1%
Term Structure0.5%-2.1%2.6%-2.1%1.7%
VWIV20.1%12.8%22.6%22.6%18.9%
Skew 25d0.7%-1.7%2.1%1.7%1.6%
Skew 10d2.0%-8.7%9.6%0.3%3.3%
Call IV 25d20.5%18.4%24.2%22.3%18.4%
Put IV 25d21.1%19.1%24.8%23.9%20.0%
Bid-Ask Spread %12.318.0117.2412.6114.09
Gamma HHI0.380.330.520.380.38
Net GEX901.8K-712.0K3.1M-712.0K1.3M
Net DEX-10.2M-32.4M11.7M11.7M-26.4M
Net VEX-50.1K-57.5K-42.4K-42.4K-48.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.051.210.220.08
Total Volume2,456.61929112,248394517
Total OI28,685.14317,11738,10722,57529,545

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$24.45$25.0023.0%6.6%32.0%69.9%22.6%1.7%-2.1%-712.0K11.7M-42.4K0.2212.61N/AN/A3227211,82510,750
2019-12-03$24.43$25.0023.5%6.7%32.1%72.9%22.4%0.6%-2.1%-699.7K11.4M-42.4K0.2314.19N/AN/A2365511,81610,788
2019-12-04$24.78$25.0021.8%6.2%33.0%62.7%22.4%1.7%-1.8%-609.6K8.4M-45.1K0.1513.38N/AN/A98915311,96510,823
2019-12-05$24.80$24.0022.0%5.6%33.0%64.0%19.7%1.9%1.4%-457.0K7.1M-46.4K0.0511.04N/AN/A5502912,90210,838
2019-12-06$25.06$24.0022.9%5.6%33.3%69.1%19.6%1.4%2.6%-302.6K3.6M-49.2K0.0513.17N/AN/A6,90037013,31310,854
2019-12-09$25.05$24.0024.5%5.7%33.4%78.8%20.1%1.2%2.0%139.9K3.2M-49.3K1.2117.24N/AN/A66080016,43111,042
2019-12-10$24.91$25.0024.2%5.8%31.5%77.0%20.3%-0.0%1.1%-79.4K4.9M-47.8K0.0914.64N/AN/A2,10619916,46711,417
2019-12-11$25.05$25.0020.4%5.8%31.4%54.2%20.4%2.1%1.4%284.5K2.2M-51.5K0.1212.71N/AN/A85910619,19511,502
2019-12-12$24.79$25.0021.1%6.0%31.0%58.4%21.0%0.1%0.4%-93.2K5.7M-47.7K0.0916.79N/AN/A1,0619219,62711,533
2019-12-13$25.95$25.0021.4%6.1%30.5%60.3%21.3%-0.1%0.6%1.6M-13.5M-54.5K0.2215.65N/AN/A6,6171,44919,87511,583
2019-12-16$26.31$25.0021.7%6.2%24.9%62.1%21.2%1.1%-0.4%3.0M-22.3M-54.6K0.0512.67N/AN/A6,99138222,15612,525
2019-12-17$26.60$25.0020.3%5.8%25.0%53.7%20.4%0.8%0.2%3.1M-28.6M-56.7K0.499.65N/AN/A1,40568424,38212,638
2019-12-18$26.93$25.0019.8%5.7%25.2%50.8%20.7%2.0%0.5%2.4M-32.4M-55.9K0.619.79N/AN/A80648924,35913,245
2019-12-19$26.70$25.0019.9%5.7%20.9%51.5%20.1%-0.5%1.3%2.6M-29.3M-51.9K0.1014.27N/AN/A1,30912824,63313,474
2019-12-20$26.86$25.0019.7%5.6%20.9%49.8%19.8%0.7%0.7%1.9M-30.7M-49.8K0.2810.23N/AN/A67518924,46613,505
2019-12-23$26.63$25.0019.9%5.7%21.2%51.3%19.9%-0.6%0.2%1.1M-8.2M-47.6K0.639.74N/AN/A38624513,6543,463
2019-12-24$26.76$25.0019.7%5.6%21.2%50.0%12.8%-1.7%0.9%1.1M-9.2M-48.2K1.008.01N/AN/A6,1326,11613,7913,566
2019-12-26$26.88$25.0019.8%5.7%19.7%50.8%19.6%-0.1%0.8%1.1M-23.8M-57.5K0.148.73N/AN/A4446419,8509,648
2019-12-27$26.90$25.0019.8%5.7%19.7%50.8%19.7%0.4%0.4%1.2M-23.7M-55.3K0.549.71N/AN/A43623719,7539,687
2019-12-30$26.88$25.0019.8%5.7%19.7%50.8%19.5%-0.3%0.3%1.2M-23.7M-50.4K0.2810.19N/AN/A2577219,7439,759
2019-12-31$27.20$25.0019.0%5.4%19.4%45.8%18.9%1.6%1.7%1.3M-26.4M-48.8K0.0814.09N/AN/A4793819,7689,777