CNP Options History — March 2020

In March 2020, CNP traded between $11.98 and $23.85. ATM implied volatility averaged 73.7%, placing in the 83.2% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 18.0% (HV 20d: 91.8%). Max pain ranged from $16.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.88.

Notable Days

  • 2020-03-12: Highest Volume — 16,423 contracts
  • 2020-03-16: Largest IV spike — 79.8% change
  • 2020-03-03: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.75$11.98$23.85$23.52$15.56
Max Pain$19.91$16.00$25.00$25.00$16.00
ATM IV73.7%31.4%114.1%31.4%71.5%
Expected Move20.5%9.0%32.7%9.0%20.5%
HV 20d91.8%31.9%140.7%32.2%140.0%
HV 60d57.9%24.8%83.2%25.0%83.2%
IV Rank83.2%55.7%100.0%76.8%58.6%
IV Percentile98.6%94.8%100.0%99.6%95.6%
Term Structure-6.9%-14.6%3.2%-3.1%-4.2%
VWIV73.6%31.5%115.5%32.4%78.1%
Skew 25d17.6%1.9%33.6%2.3%20.6%
Skew 10d38.8%6.1%71.6%6.3%51.0%
Call IV 25d64.3%29.6%101.4%32.4%64.7%
Put IV 25d81.9%34.4%132.0%34.8%85.3%
Bid-Ask Spread %59.2513.69100.7916.2172.97
Gamma HHI0.450.240.640.300.60
Net GEX-152.8K-466.5K-33.0K-44.3K-250.1K
Net DEX16.2M6.9M36.7M10.4M9.9M
Net VEX-31.6K-51.4K-10.0K-32.1K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.880.0727.071.090.58
Total Volume2,899.77322816,423542480
Total OI29,862.13618,10048,48618,10031,400

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$23.52$25.0031.4%9.0%32.2%76.8%32.4%2.3%-3.1%-44.3K10.4M-32.1K1.0916.21N/AN/A25928310,5507,550
2020-03-03$23.34$25.0038.4%11.0%31.9%100.0%38.2%5.8%-6.5%-43.7K10.9M-32.1K0.0719.96N/AN/A6504410,6377,721
2020-03-04$23.85$25.0031.8%9.1%33.3%75.5%31.5%4.8%-3.2%-46.0K9.5M-35.7K0.1113.69N/AN/A6126910,9897,742
2020-03-05$22.51$24.0041.7%9.9%37.8%100.0%35.2%1.9%-2.1%-33.5K12.4M-25.0K15.1115.91N/AN/A5448,22011,0117,772
2020-03-06$21.44$24.0051.1%11.7%39.9%100.0%40.5%3.3%-8.9%-321.2K16.8M-23.8K1.0847.43N/AN/A44147511,30310,338
2020-03-09$18.30$24.0070.7%15.3%65.5%100.0%52.6%3.8%-6.0%-33.0K18.1M-10.0K1.2683.08N/AN/A75094811,64210,570
2020-03-10$18.59$23.0071.7%16.9%66.3%100.0%59.4%10.2%-6.1%-63.1K17.9M-16.5K4.2221.78N/AN/A3,00912,70512,10311,362
2020-03-11$17.44$20.0068.2%19.6%67.4%94.2%79.3%17.4%-7.4%-204.4K22.0M-36.1K1.5722.85N/AN/A8741,36814,46617,824
2020-03-12$14.70$20.0086.1%24.7%84.9%100.0%83.8%21.7%-8.7%-110.0K22.4M-28.1K27.0766.54N/AN/A58515,83815,01619,085
2020-03-13$15.18$20.0061.0%17.5%87.1%66.5%70.6%13.6%-5.2%-466.5K36.7M-51.4K0.88100.79N/AN/A56650015,56832,918
2020-03-16$12.98$20.00109.7%31.5%97.3%100.0%104.7%25.7%-14.6%-154.5K25.0M-29.8K1.5171.21N/AN/A63896315,75824,055
2020-03-17$13.88$19.00105.2%30.2%103.5%95.4%107.5%33.6%-12.7%-155.9K20.5M-34.1K0.3569.53N/AN/A1,72459816,39021,133
2020-03-18$12.20$19.00114.1%32.7%108.8%100.0%115.5%31.5%-14.4%-91.3K20.6M-25.6K4.4079.51N/AN/A3251,43017,34521,279
2020-03-19$12.51$19.00109.3%31.3%111.1%95.3%105.5%30.5%-13.8%-122.8K20.4M-28.2K0.2876.33N/AN/A89425417,47021,959
2020-03-20$12.76$19.0094.8%27.2%112.7%81.2%89.1%27.3%-5.3%-113.6K21.5M-25.4K0.1577.78N/AN/A1,20818018,19521,908
2020-03-23$11.98$16.0096.1%27.6%112.5%82.5%112.8%22.0%-2.8%-75.3K14.4M-20.1K1.7471.29N/AN/A30753512,30115,234
2020-03-24$13.64$16.0078.2%22.4%127.2%65.0%74.2%27.9%-4.3%-161.1K14.0M-27.5K0.2973.39N/AN/A80123012,50815,540
2020-03-25$15.59$16.0076.8%22.0%139.7%63.7%78.6%23.0%-11.7%-207.3K10.0M-39.5K0.2079.11N/AN/A97119712,82515,668
2020-03-26$15.68$16.0071.3%20.4%139.6%58.3%78.9%18.9%-5.2%-237.4K9.7M-40.7K0.2778.65N/AN/A40410913,36515,876
2020-03-27$16.48$16.0074.4%21.3%140.7%61.3%79.7%18.7%-8.3%-207.0K6.9M-45.2K0.0976.51N/AN/A2,35722213,36615,889
2020-03-30$16.30$16.0068.6%19.7%139.7%55.7%71.9%22.8%3.2%-218.8K7.4M-47.4K1.0968.89N/AN/A10911915,32616,010
2020-03-31$15.56$16.0071.5%20.5%140.0%58.6%78.1%20.6%-4.2%-250.1K9.9M-41.6K0.5872.97N/AN/A30317715,37416,026