CNP Options History — February 2020

In February 2020, CNP traded between $22.85 and $27.16. ATM implied volatility averaged 23.5%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.8% (HV 20d: 18.8%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2020-02-25: Highest Volume — 5,198 contracts
  • 2020-02-28: Largest IV spike — 33.3% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.03$22.85$27.16$26.48$22.85
Max Pain$26.11$25.00$27.00$27.00$25.00
ATM IV23.5%19.0%37.4%21.4%37.4%
Expected Move6.7%5.4%10.7%6.1%10.7%
HV 20d18.8%16.0%29.5%18.9%29.5%
HV 60d21.6%17.7%25.6%25.5%24.2%
IV Rank70.2%45.9%100.0%60.6%100.0%
IV Percentile85.9%54.0%100.0%82.1%100.0%
Term Structure-1.3%-6.6%1.0%-0.6%-6.6%
VWIV23.5%19.3%35.2%25.7%35.2%
Skew 25d1.0%-1.0%4.2%-0.4%4.2%
Skew 10d3.4%-8.1%15.1%-1.3%4.4%
Call IV 25d23.4%19.5%36.1%21.4%36.1%
Put IV 25d24.4%19.5%40.4%21.1%40.4%
Bid-Ask Spread %14.566.6120.5511.1118.13
Gamma HHI0.480.270.700.490.27
Net GEX393.3K-401.6K911.8K449.0K-16.5K
Net DEX995.8K-4.7M11.5M-607.8K11.5M
Net VEX-35.5K-44.7K-27.0K-38.7K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.035.735.730.56
Total Volume1,164.4211415,1986061,144
Total OI21,69611,10326,32322,85618,267

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$26.48$27.0021.4%6.1%18.9%60.6%25.7%-0.4%-0.6%449.0K-607.8K-38.7K5.7311.11N/AN/A9051617,2675,589
2020-02-04$26.54$27.0021.6%6.2%18.9%61.6%22.3%0.8%0.6%485.6K-435.6K-39.8K0.9610.34N/AN/A726917,3015,926
2020-02-05$26.70$27.0022.0%6.3%19.0%64.0%22.1%2.6%-0.3%582.6K-1.4M-40.0K0.196.61N/AN/A2033917,2785,942
2020-02-06$26.88$26.0021.9%6.1%19.1%63.1%20.8%1.2%-0.9%693.4K-2.7M-39.7K0.1918.75N/AN/A1603117,4225,962
2020-02-07$26.82$26.0021.0%6.1%18.5%58.2%21.4%0.9%-0.5%642.6K-2.0M-39.1K0.4316.02N/AN/A1908117,5555,976
2020-02-10$26.81$26.0022.6%6.1%18.3%67.5%21.3%1.7%-0.6%623.8K-1.8M-37.3K0.1916.83N/AN/A75114417,5906,060
2020-02-11$27.04$26.0021.1%6.1%18.5%58.6%21.4%0.2%-0.2%823.4K-3.6M-38.9K1.6015.43N/AN/A8513618,2176,159
2020-02-12$27.12$26.0021.5%6.2%18.1%61.1%21.7%0.6%-1.0%911.8K-4.2M-38.9K0.6812.94N/AN/A15410518,1806,244
2020-02-13$27.16$26.0021.8%6.3%17.3%62.8%21.7%-1.0%-0.5%887.7K-4.7M-36.7K0.9317.16N/AN/A16315218,2886,244
2020-02-14$27.16$26.0019.0%5.4%17.2%45.9%19.3%-0.0%1.0%839.4K-4.5M-34.8K0.7917.10N/AN/A21517018,3736,298
2020-02-18$27.06$26.0020.2%5.8%17.3%52.9%20.5%0.2%0.1%204.8K-2.9M-30.2K0.038.97N/AN/A2,2385618,4936,349
2020-02-19$26.48$26.0021.8%6.3%18.9%63.0%21.8%1.7%-0.5%-45.2K4.0M-30.5K1.7610.22N/AN/A30253117,2386,368
2020-02-20$25.70$27.0021.6%6.2%18.7%61.7%21.6%0.3%-0.5%-401.6K7.4M-27.0K0.1914.68N/AN/A3,11058517,3076,251
2020-02-21$25.32$26.0024.1%6.9%16.7%76.6%23.0%1.1%-1.8%281.8K6.4M-31.0K1.9213.63N/AN/A43884019,8686,455
2020-02-24$25.26$26.0025.4%7.3%16.0%84.5%24.8%2.6%-2.0%324.2K1.1M-30.9K0.9014.43N/AN/A6215617,4833,620
2020-02-25$24.55$26.0027.3%7.8%18.5%95.7%27.3%1.6%-3.5%215.1K3.3M-29.1K1.7817.80N/AN/A1,8683,3307,9213,981
2020-02-26$24.22$26.0027.2%7.8%18.7%95.3%27.3%0.3%-3.2%-90.8K8.3M-37.8K0.8515.94N/AN/A3082629,5827,083
2020-02-27$24.47$25.0028.1%8.1%18.9%100.0%27.4%0.6%-3.4%60.7K5.9M-44.7K0.2420.55N/AN/A1,93447010,7507,337
2020-02-28$22.85$25.0037.4%10.7%29.5%100.0%35.2%4.2%-6.6%-16.5K11.5M-28.6K0.5618.13N/AN/A73441010,8417,426