CNP Options History — May 2020

In May 2020, CNP traded between $15.99 and $18.59. ATM implied volatility averaged 48.5%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 17.2% (HV 20d: 65.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2020-05-28: Highest Volume — 33,282 contracts
  • 2020-05-11: Largest IV spike — 28.8% change
  • 2020-05-04: Highest IV Rank — 56.3%
  • 2020-05-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.22$15.99$18.59$16.43$17.84
Max Pain$17.05$17.00$18.00$18.00$17.00
ATM IV48.5%36.9%69.2%63.9%37.0%
Expected Move13.0%10.6%18.3%18.3%10.6%
HV 20d65.7%59.2%81.6%81.6%59.2%
HV 60d101.0%97.7%102.6%97.8%101.9%
IV Rank35.1%22.9%56.3%51.1%23.0%
IV Percentile82.1%76.2%91.3%88.1%76.2%
Term Structure0.8%-7.9%4.8%-7.9%0.4%
VWIV47.3%37.2%67.3%67.3%39.1%
Skew 25d10.4%5.5%14.6%14.6%7.3%
Skew 10d25.1%14.7%66.2%66.2%28.4%
Call IV 25d42.1%34.0%58.2%58.2%35.1%
Put IV 25d52.5%42.1%72.8%72.8%42.4%
Bid-Ask Spread %22.3213.7951.8024.7316.44
Gamma HHI0.270.190.400.190.22
Net GEX146.7K-66.5K417.8K30.8K417.8K
Net DEX-936.4K-7.6M3.4M3.1M-7.3M
Net VEX-105.1K-245.6K-34.0K-39.3K-245.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.061.881.201.07
Total Volume4,150.1518933,2822867,723
Total OI42,486.8528,62078,43128,89478,431

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$16.43$18.0063.9%18.3%81.6%51.1%67.3%14.6%-7.9%30.8K3.1M-39.3K1.2024.73N/AN/A13015615,81813,076
2020-05-04$16.36$17.0069.2%16.4%78.4%56.3%55.6%13.0%-0.1%20.6K2.8M-37.3K1.6517.74N/AN/A15625715,85313,039
2020-05-05$16.39$17.0066.3%15.6%63.9%53.5%55.9%13.3%-1.4%24.8K2.4M-37.3K0.0617.40N/AN/A1781115,89813,102
2020-05-06$15.99$17.0067.3%15.4%63.0%54.5%54.6%13.7%-0.3%-31.4K3.0M-34.0K0.4819.78N/AN/A59428615,91712,703
2020-05-07$17.74$17.0052.1%13.9%71.4%39.7%50.7%11.0%1.9%248.6K-3.0M-39.6K0.2021.26N/AN/A1,51631015,97212,985
2020-05-08$18.59$17.0044.3%13.0%68.3%32.0%47.5%11.7%1.5%347.3K-6.5M-41.3K0.1625.06N/AN/A1,21819216,21613,084
2020-05-11$18.18$17.0057.0%13.0%65.8%44.4%57.0%10.7%4.3%373.7K-4.9M-37.7K1.8851.80N/AN/A7,10213,36116,29213,042
2020-05-12$17.86$17.0054.7%12.1%66.2%40.8%44.7%10.0%4.8%301.9K-3.1M-111.4K0.9225.13N/AN/A3,1612,91823,06125,866
2020-05-13$16.79$17.0047.3%13.6%65.5%33.3%48.5%9.8%1.4%-3.3K3.3M-132.2K0.7013.79N/AN/A35625026,01028,802
2020-05-14$17.26$17.0048.8%14.0%66.1%34.9%50.4%12.5%-1.0%150.8K458.3K-135.0K0.3026.85N/AN/A2216626,08528,926
2020-05-15$16.70$17.0045.4%13.0%65.3%31.4%47.2%9.0%0.4%-66.5K3.4M-129.6K0.2823.78N/AN/A2888026,15728,957
2020-05-18$17.55$17.0040.5%11.6%64.1%26.6%40.9%8.9%1.6%3.3K-177.6K-129.9K0.1516.23N/AN/A6689919,54419,795
2020-05-19$17.12$17.0040.8%11.7%64.5%26.9%40.1%9.7%1.5%-35.2K1.6M-126.9K0.3225.10N/AN/A4,5791,46119,96219,864
2020-05-20$16.95$17.0039.9%11.4%61.7%26.0%41.7%11.3%2.0%134.0K-90.2K-138.6K0.8420.27N/AN/A36130324,15621,276
2020-05-21$16.77$17.0040.5%11.6%61.8%26.6%40.4%10.6%1.7%105.1K1.4M-133.9K0.2324.18N/AN/A1854224,19021,402
2020-05-22$16.90$17.0040.0%11.5%61.6%26.0%42.4%9.2%1.3%123.8K-84.4K-139.6K0.8021.87N/AN/A45135924,22121,442
2020-05-26$17.49$17.0041.4%11.9%61.9%27.5%42.0%7.6%0.5%233.2K-3.8M-137.1K0.4317.22N/AN/A28912524,38521,669
2020-05-27$17.51$17.0037.8%10.8%61.8%23.9%42.5%5.5%1.5%245.0K-3.8M-137.3K0.8817.08N/AN/A14312624,46621,742
2020-05-28$18.01$17.0036.9%10.6%62.1%22.9%37.2%8.0%2.3%309.4K-7.6M-138.9K0.9720.71N/AN/A16,88816,39424,55521,776
2020-05-29$17.84$17.0037.0%10.6%59.2%23.0%39.1%7.3%0.4%417.8K-7.3M-245.6K1.0716.44N/AN/A3,7234,00040,77137,660