CNP Options History — August 2020

In August 2020, CNP traded between $18.99 and $21.04. ATM implied volatility averaged 32.9%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 3.5% (HV 20d: 36.5%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2020-08-11: Highest Volume — 6,535 contracts
  • 2020-08-06: Largest IV drop — 8.2% change
  • 2020-08-03: Highest IV Rank — 25.0%
  • 2020-08-03: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.14$18.99$21.04$19.30$20.06
Max Pain$19.86$19.00$20.00$19.00$20.00
ATM IV32.9%29.9%39.0%39.0%33.3%
Expected Move9.5%8.2%12.3%12.3%9.5%
HV 20d36.5%30.9%40.9%30.9%33.7%
HV 60d34.9%32.8%38.8%37.5%32.8%
IV Rank19.1%16.0%25.0%25.0%19.4%
IV Percentile55.9%51.6%64.3%64.3%56.3%
Term Structure0.1%-2.3%1.7%-1.3%0.6%
VWIV33.1%21.1%41.3%41.1%32.6%
Skew 25d5.4%2.8%8.6%7.2%6.9%
Skew 10d7.7%-31.5%21.7%13.0%4.6%
Call IV 25d31.0%27.8%36.4%36.4%30.1%
Put IV 25d36.3%33.5%43.7%43.7%37.0%
Bid-Ask Spread %15.5012.5220.1912.5213.71
Gamma HHI0.190.170.220.190.20
Net GEX-1.1M-1.5M-733.5K-1.5M-1.2M
Net DEX9.8M-7.3M32.1M26.4M11.0M
Net VEX-412.4K-450.3K-376.6K-450.3K-388.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.071.910.150.88
Total Volume1,079.4292946,535995591
Total OI140,100.095131,742147,084137,782133,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$19.30$19.0039.0%12.3%30.9%25.0%41.1%7.2%-1.3%-1.5M26.4M-450.3K0.1512.52N/AN/A86712833,528104,254
2020-08-04$19.43$19.0038.4%12.1%31.0%24.5%41.3%7.2%-1.4%-1.4M23.9M-444.1K0.5314.40N/AN/A36319333,655104,364
2020-08-05$18.99$19.0037.3%11.7%32.0%23.4%41.1%5.3%0.5%-1.5M32.1M-448.6K0.8113.07N/AN/A45937233,861104,568
2020-08-06$20.38$20.0034.2%10.2%39.6%20.3%35.7%2.8%-0.8%-998.9K6.7M-419.4K0.0820.19N/AN/A1,91514734,159104,898
2020-08-07$20.46$20.0033.0%9.8%39.1%19.1%33.2%5.5%-1.3%-883.7K2.5M-406.6K0.0917.34N/AN/A6785835,796104,950
2020-08-10$21.04$20.0032.4%9.4%40.0%18.5%31.4%6.3%1.0%-805.6K-7.3M-376.6K0.0813.17N/AN/A1,1369135,527104,412
2020-08-11$20.73$20.0033.3%9.1%40.6%19.4%34.1%5.0%-1.3%-785.6K-1.9M-395.1K0.8716.02N/AN/A3,4903,04535,910104,470
2020-08-12$20.52$20.0031.7%8.9%40.9%17.8%33.4%3.1%0.0%-891.8K864.8K-414.7K0.7818.83N/AN/A30623939,243107,497
2020-08-13$20.70$20.0030.9%8.6%40.9%17.0%31.6%4.7%-1.0%-861.3K-2.9M-409.8K1.1218.47N/AN/A41446539,361107,723
2020-08-14$20.62$20.0029.9%8.2%39.9%16.0%29.9%3.3%-2.3%-875.6K-1.0M-405.8K1.4016.95N/AN/A19427139,263107,672
2020-08-17$20.78$20.0030.5%8.8%37.6%16.6%31.6%5.9%1.2%-733.5K-4.6M-390.4K0.4515.27N/AN/A25711639,071107,523
2020-08-18$20.31$20.0031.8%9.2%38.7%17.9%35.0%5.6%0.1%-958.4K4.5M-401.9K0.0715.68N/AN/A2,25915239,130107,595
2020-08-19$20.18$20.0032.5%9.3%36.8%18.6%31.9%3.3%0.8%-855.1K10.3M-426.8K1.0513.30N/AN/A18419437,793107,700
2020-08-20$19.90$20.0031.9%9.1%37.1%18.0%31.7%4.4%1.1%-900.4K16.0M-427.9K0.4615.13N/AN/A42319337,890107,576
2020-08-21$19.80$20.0032.6%9.2%36.3%18.7%32.4%5.3%1.1%-877.0K16.8M-420.2K0.3414.31N/AN/A51217338,072107,603
2020-08-24$20.24$20.0032.4%9.3%34.1%18.5%30.0%5.4%0.1%-1.1M9.2M-400.6K0.1914.62N/AN/A97918830,989100,753
2020-08-25$20.03$20.0030.6%8.7%33.9%16.7%30.2%5.8%1.7%-1.2M12.6M-408.4K0.8214.17N/AN/A20216631,774100,933
2020-08-26$19.68$20.0032.8%9.1%34.6%18.9%34.5%5.8%0.4%-1.3M18.9M-412.9K1.9113.95N/AN/A15128931,889101,049
2020-08-27$19.76$20.0031.7%9.1%34.0%17.8%32.1%5.3%0.8%-1.3M17.9M-410.6K1.4917.71N/AN/A11817631,873101,315
2020-08-28$19.94$20.0031.9%8.6%34.0%18.0%21.1%8.6%1.3%-1.3M13.7M-400.8K0.9516.59N/AN/A26425031,955101,405
2020-08-31$20.06$20.0033.3%9.5%33.7%19.4%32.6%6.9%0.6%-1.2M11.0M-388.2K0.8813.71N/AN/A31427731,836101,267