CNP Options History — June 2020

In June 2020, CNP traded between $17.62 and $19.09. ATM implied volatility averaged 40.2%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 1.0% (HV 20d: 41.3%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.50.

Notable Days

  • 2020-06-29: Highest Volume — 46,107 contracts
  • 2020-06-08: Largest IV spike — 17.7% change
  • 2020-06-12: Highest IV Rank — 30.7%
  • 2020-06-15: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.27$17.62$19.09$18.11$18.70
Max Pain$17.86$17.00$18.00$17.00$18.00
ATM IV40.2%35.7%44.6%37.4%39.1%
Expected Move11.4%10.2%12.7%10.7%10.6%
HV 20d41.3%31.7%58.7%57.9%36.9%
HV 60d77.6%59.4%101.3%101.3%59.4%
IV Rank26.3%21.8%30.7%23.5%25.2%
IV Percentile76.8%71.8%80.6%76.2%71.8%
Term Structure1.2%-3.0%4.5%1.6%3.5%
VWIV40.2%34.8%45.7%38.0%37.1%
Skew 25d6.4%2.9%9.7%7.9%4.8%
Skew 10d18.5%-21.2%30.5%13.9%-21.2%
Call IV 25d37.8%32.9%41.4%34.4%37.2%
Put IV 25d44.3%39.6%48.7%42.3%42.0%
Bid-Ask Spread %22.1210.6237.0213.3819.04
Gamma HHI0.300.190.480.190.43
Net GEX-1.6M-5.5M1.1M580.5K-5.5M
Net DEX15.3M-30.2M62.8M-13.2M51.3M
Net VEX-318.2K-514.5K-240.6K-253.0K-514.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.500.0571.950.220.70
Total Volume7,857.72739646,107617634
Total OI127,367.77385,529185,35385,530185,353

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$18.11$17.0037.4%10.7%57.9%23.5%38.0%7.9%1.6%580.5K-13.2M-253.0K0.2213.38N/AN/A50611144,21641,314
2020-06-02$18.05$17.0037.0%10.6%57.9%23.1%39.6%4.6%2.0%581.4K-11.8M-250.8K0.4412.83N/AN/A27912244,10741,422
2020-06-03$18.46$17.0035.7%10.2%58.2%21.8%34.8%6.7%2.1%808.1K-19.4M-251.3K0.1210.62N/AN/A4996244,30741,518
2020-06-04$17.88$18.0036.8%10.9%58.7%22.9%42.2%8.1%2.1%486.6K-10.0M-248.3K1.1917.88N/AN/A8521,01044,33141,450
2020-06-05$18.28$18.0036.0%10.7%46.5%22.1%35.0%9.6%4.0%776.4K-16.6M-245.3K0.1234.27N/AN/A7148344,51341,647
2020-06-08$19.09$18.0042.4%11.1%46.1%28.5%37.6%9.0%2.2%902.1K-30.2M-240.6K0.0517.89N/AN/A3,67218044,72141,585
2020-06-09$18.72$18.0038.9%10.8%45.9%24.9%41.6%8.4%2.4%1.1M-25.3M-241.2K9.5214.09N/AN/A1,82517,36646,98541,699
2020-06-10$18.48$18.0039.0%11.2%45.6%25.1%38.6%3.8%2.5%223.7K-11.6M-274.5K1.3235.32N/AN/A13,10517,28048,12056,917
2020-06-11$17.84$18.0040.3%11.9%41.5%26.4%41.8%9.7%0.4%-803.8K14.5M-313.6K7.8737.02N/AN/A2,06516,26052,97471,062
2020-06-12$18.01$18.0044.6%12.4%40.6%30.7%45.7%7.5%-3.0%-1.4M22.5M-341.7K10.8624.88N/AN/A1,71518,63053,05385,873
2020-06-15$18.20$18.0044.0%12.7%38.5%30.1%45.4%6.9%-0.6%-1.7M21.5M-354.7K1.7333.45N/AN/A9591,65653,79898,871
2020-06-16$18.37$18.0043.1%12.4%34.7%29.2%42.7%6.7%-0.4%-1.4M14.6M-352.8K8.4027.03N/AN/A1,92816,19454,10298,640
2020-06-17$18.47$18.0043.4%12.4%33.1%29.5%43.1%6.4%0.2%-1.9M20.9M-372.9K0.4420.86N/AN/A69230253,808112,595
2020-06-18$18.35$18.0041.9%11.9%33.0%28.0%41.4%2.9%1.1%-2.1M26.1M-371.1K0.4020.05N/AN/A31312554,227114,573
2020-06-19$17.98$18.0039.9%11.3%33.7%26.0%39.4%6.5%0.6%916.8K41.8M-357.6K0.2523.28N/AN/A71317854,351114,639
2020-06-22$18.11$18.0040.7%11.4%33.7%26.7%38.5%5.3%0.5%-4.3M46.2M-346.9K0.3017.12N/AN/A99930237,625100,266
2020-06-23$18.17$18.0039.5%11.0%31.7%25.6%37.9%5.3%0.9%-4.4M43.3M-343.8K1.2323.56N/AN/A1,4381,76738,398100,500
2020-06-24$18.49$18.0040.2%11.6%32.2%26.2%41.9%7.1%-1.7%-3.9M33.4M-339.7K0.7516.53N/AN/A37828438,589100,714
2020-06-25$18.12$18.0041.9%11.5%31.7%28.0%40.5%3.4%1.2%-4.4M44.9M-339.1K2.1817.74N/AN/A36880138,654100,765
2020-06-26$17.62$18.0042.0%11.7%33.1%28.1%41.6%7.8%-0.6%-4.6M62.8M-327.4K1.0418.97N/AN/A19420238,966101,305
2020-06-29$18.46$18.0041.6%11.6%36.7%27.7%39.8%3.1%4.5%-4.5M31.3M-320.2K71.9530.78N/AN/A63245,47538,474101,064
2020-06-30$18.70$18.0039.1%10.6%36.9%25.2%37.1%4.8%3.5%-5.5M51.3M-514.5K0.7019.04N/AN/A37426038,907146,446