CNP Options History — April 2020

In April 2020, CNP traded between $13.35 and $17.91. ATM implied volatility averaged 68.4%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 47.7% (HV 20d: 116.1%). Max pain ranged from $16.00 to $23.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2020-04-15: Highest Volume — 12,692 contracts
  • 2020-04-20: Largest IV spike — 25.8% change
  • 2020-04-01: Highest IV Rank — 76.5%
  • 2020-04-01: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.18$13.35$17.91$13.95$16.98
Max Pain$19.43$16.00$23.00$16.00$18.00
ATM IV68.4%51.6%90.0%90.0%59.1%
Expected Move19.5%14.8%25.8%25.8%16.9%
HV 20d116.1%80.1%144.5%142.5%80.1%
HV 60d93.8%85.7%97.7%85.7%97.7%
IV Rank55.6%39.1%76.5%76.5%46.5%
IV Percentile91.8%85.7%97.6%97.6%86.1%
Term Structure-9.3%-15.3%-3.2%-13.9%-7.4%
VWIV69.6%55.5%89.0%89.0%55.5%
Skew 25d21.0%15.8%28.7%28.7%15.8%
Skew 10d50.3%27.0%67.0%63.6%41.8%
Call IV 25d58.7%46.8%74.7%74.7%54.3%
Put IV 25d79.7%62.9%103.4%103.4%70.1%
Bid-Ask Spread %30.7211.0183.5383.5318.86
Gamma HHI0.390.150.710.530.17
Net GEX-167.0K-749.6K118.5K-165.1K43.2K
Net DEX6.1M-941.6K15.0M13.6M1.6M
Net VEX-38.9K-44.8K-26.3K-33.0K-40.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.0729.221.050.07
Total Volume1,575.90535612,6924431,471
Total OI30,978.71426,25038,74431,61827,906

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$13.95$16.0090.0%25.8%142.5%76.5%89.0%28.7%-13.9%-165.1K13.6M-33.0K1.0583.53N/AN/A21622715,48816,130
2020-04-02$14.09$23.0082.5%21.6%142.6%69.2%71.4%20.7%-13.6%-176.3K13.9M-33.4K0.3472.97N/AN/A39013415,58616,238
2020-04-03$13.35$22.0085.0%23.9%142.7%71.7%81.8%25.5%-15.3%-122.4K15.0M-26.3K0.8058.81N/AN/A49439315,61916,278
2020-04-06$15.23$22.0068.5%19.9%143.5%55.7%77.8%19.4%-7.2%-346.7K11.4M-37.4K0.2961.45N/AN/A1,00528715,80616,517
2020-04-07$15.89$22.0072.1%20.9%144.5%59.2%76.8%23.8%-9.5%-314.6K8.5M-41.3K0.3861.34N/AN/A1,11342816,15816,501
2020-04-08$16.62$21.0065.7%18.8%144.0%52.9%74.8%23.6%-13.6%-352.1K5.4M-41.9K0.5722.74N/AN/A1,04359916,48116,631
2020-04-09$17.91$21.0059.4%17.0%131.8%46.7%60.2%18.6%-5.7%-150.8K751.6K-44.8K0.2430.65N/AN/A1,33732016,52116,818
2020-04-13$16.97$19.0068.3%19.6%133.4%55.4%68.2%23.6%-11.8%-283.6K3.6M-41.0K0.1328.50N/AN/A6408017,02516,986
2020-04-14$17.01$19.0066.1%19.0%118.9%53.3%64.4%20.0%-11.2%-304.2K3.2M-37.8K0.4416.70N/AN/A38416917,17416,998
2020-04-15$15.91$19.0072.2%20.7%120.4%59.2%76.7%25.2%-14.4%-606.3K9.3M-33.7K29.2219.89N/AN/A42012,27217,30016,986
2020-04-16$15.86$19.0065.1%18.7%109.3%52.3%81.8%17.3%-7.4%-749.6K10.3M-36.5K5.2416.55N/AN/A5833,05517,29418,547
2020-04-17$16.62$19.0057.5%16.5%109.9%44.9%57.5%21.0%-4.6%-27.9K3.7M-39.4K0.5722.23N/AN/A50929217,52421,220
2020-04-20$15.72$19.0072.3%20.7%112.6%59.3%80.5%20.3%-7.1%-62.2K6.3M-37.5K0.9322.00N/AN/A56852713,29612,954
2020-04-21$15.47$19.0081.5%23.3%109.8%68.2%75.2%21.6%-13.4%-68.0K6.5M-39.8K0.3514.06N/AN/A32611513,76313,209
2020-04-22$16.37$19.0072.4%20.7%102.2%59.4%74.2%25.3%-10.5%-25.8K4.5M-43.6K0.6917.22N/AN/A47232513,87313,302
2020-04-23$16.51$19.0066.2%19.0%91.1%53.4%59.7%23.2%-5.5%-22.7K4.3M-42.5K0.5516.28N/AN/A35119214,17713,464
2020-04-24$16.78$18.0061.3%17.6%91.2%48.6%64.4%17.3%-6.4%-7.9K3.7M-41.9K1.2715.06N/AN/A15719914,25713,545
2020-04-27$17.30$18.0061.3%17.6%90.1%48.6%60.4%17.8%-7.5%43.3K2.2M-42.1K0.7611.01N/AN/A43433014,28213,491
2020-04-28$17.44$18.0059.5%17.0%90.0%46.8%55.8%17.1%-5.9%73.2K525.1K-41.7K0.1814.33N/AN/A68612414,49613,057
2020-04-29$17.86$18.0051.6%14.8%88.3%39.1%55.9%16.1%-3.2%118.5K-941.6K-41.2K0.2220.90N/AN/A3507714,65313,002
2020-04-30$16.98$18.0059.1%16.9%80.1%46.5%55.5%15.8%-7.4%43.2K1.6M-40.6K0.0718.86N/AN/A1,3779414,87813,028