CNP Options History — January 2020

In January 2020, CNP traded between $26.21 and $27.07. ATM implied volatility averaged 21.2%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.4% (HV 20d: 17.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2020-01-16: Highest Volume — 11,127 contracts
  • 2020-01-15: Largest IV drop — 21.3% change
  • 2020-01-09: Highest IV Rank — 80.7%
  • 2020-01-27: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.63$26.21$27.07$26.95$26.34
Max Pain$26.81$25.00$27.00$25.00$27.00
ATM IV21.2%18.8%24.8%18.8%21.5%
Expected Move5.9%5.4%6.2%5.4%6.2%
HV 20d17.8%11.8%20.9%20.0%18.9%
HV 60d25.2%24.7%25.5%25.5%25.5%
IV Rank59.2%45.0%80.7%45.0%60.7%
IV Percentile80.4%62.7%98.4%62.7%82.9%
Term Structure-0.1%-1.4%1.1%0.4%-0.6%
VWIV21.0%18.8%22.4%18.8%21.3%
Skew 25d0.0%-2.0%1.2%0.1%0.3%
Skew 10d1.1%-3.3%7.0%0.7%2.5%
Call IV 25d20.5%19.0%22.1%19.0%21.4%
Put IV 25d20.5%19.1%21.7%19.1%21.7%
Bid-Ask Spread %12.287.2016.1516.1510.61
Gamma HHI0.500.380.780.420.45
Net GEX1.5M442.0K4.9M1.3M442.0K
Net DEX-14.3M-32.3M-122.0K-24.7M-122.0K
Net VEX-44.4K-55.1K-38.9K-45.9K-41.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.1110.860.521.15
Total Volume1,741.85738311,1275801,001
Total OI29,415.61920,33840,66429,84623,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$26.95$25.0018.8%5.4%20.0%45.0%18.8%0.1%0.4%1.3M-24.7M-45.9K0.5216.15N/AN/A38219820,0549,792
2020-01-03$26.76$25.0019.7%5.7%20.1%50.2%19.6%-2.0%0.2%1.2M-23.6M-46.2K0.4713.25N/AN/A28413320,1819,825
2020-01-06$26.70$27.0019.3%5.7%20.2%47.6%22.4%-1.3%1.1%1.4M-22.9M-45.4K0.2414.39N/AN/A1,46635020,4679,957
2020-01-07$26.81$27.0020.0%5.8%20.0%51.7%21.3%0.5%0.9%1.5M-23.8M-47.3K0.3913.07N/AN/A90735821,74110,219
2020-01-08$26.71$27.0021.3%5.8%20.1%59.9%20.9%0.9%0.4%1.5M-22.7M-47.8K0.7114.77N/AN/A2,9992,13121,94010,496
2020-01-09$26.38$27.0024.8%5.9%20.7%80.7%21.5%0.3%-0.5%1.4M-16.8M-55.1K0.3113.17N/AN/A1,32241624,53912,598
2020-01-10$26.23$27.0022.5%5.8%20.9%67.0%21.2%0.8%-0.3%1.4M-14.0M-48.6K4.5112.50N/AN/A4371,96925,49712,958
2020-01-13$26.30$27.0023.1%5.9%20.3%70.8%22.4%-1.0%-0.3%1.8M-17.9M-43.0K0.4514.74N/AN/A66029625,66512,317
2020-01-14$26.62$27.0024.3%5.8%13.2%78.0%20.7%0.4%0.2%2.2M-21.8M-41.1K1.0212.22N/AN/A67368625,47212,440
2020-01-15$27.04$27.0019.1%5.5%13.4%46.9%20.0%0.3%1.0%3.2M-30.7M-41.8K0.6613.57N/AN/A1,10972725,61611,849
2020-01-16$27.01$27.0021.1%6.1%13.0%58.6%21.0%-0.2%-0.5%4.8M-29.4M-42.2K0.1212.53N/AN/A9,9051,22225,45612,454
2020-01-17$27.07$27.0020.8%6.0%12.2%56.7%20.6%0.5%-0.4%4.9M-32.3M-50.0K0.3211.92N/AN/A1,33643127,48013,184
2020-01-21$27.04$27.0021.2%6.1%11.8%59.3%21.2%-0.2%-1.4%964.1K-6.1M-47.0K0.5415.58N/AN/A40221715,9674,371
2020-01-22$26.21$27.0020.0%5.7%16.1%51.8%20.4%-0.3%-0.2%511.5K-574.1K-38.9K0.419.57N/AN/A75331116,1644,558
2020-01-23$26.86$27.0021.0%6.0%18.3%57.7%20.9%0.1%-0.9%869.9K-4.7M-45.1K0.1111.08N/AN/A7658616,5574,632
2020-01-24$26.45$27.0020.9%6.0%19.0%57.4%20.4%-0.1%-0.4%667.2K-2.3M-42.5K0.529.57N/AN/A27314316,9714,674
2020-01-27$26.30$27.0021.6%6.2%19.0%61.5%21.8%-1.1%-0.3%565.0K-1.0M-39.3K0.267.20N/AN/A39210016,9864,723
2020-01-28$26.35$27.0021.5%6.2%19.0%60.9%22.1%0.5%-0.3%593.4K-1.3M-39.9K10.8610.28N/AN/A5761917,0934,770
2020-01-29$26.56$27.0021.2%6.1%19.3%59.2%20.6%0.3%0.2%595.3K-1.8M-42.3K0.8712.11N/AN/A20517817,1015,299
2020-01-30$26.63$27.0021.5%6.2%18.8%60.7%21.1%1.2%-0.6%565.0K-1.7M-41.8K0.949.53N/AN/A35132917,1165,465
2020-01-31$26.34$27.0021.5%6.2%18.9%60.7%21.3%0.3%-0.6%442.0K-122.0K-41.5K1.1510.61N/AN/A46553617,3935,691