CNP Options History — September 2020

In September 2020, CNP traded between $18.88 and $20.52. ATM implied volatility averaged 35.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 9.4% (HV 20d: 25.9%). Max pain ranged from $19.50 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2020-09-22: Highest Volume — 830 contracts
  • 2020-09-17: Largest IV spike — 12.5% change
  • 2020-09-08: Highest IV Rank — 22.3%
  • 2020-09-08: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.38$18.88$20.52$19.95$19.34
Max Pain$19.93$19.50$20.00$20.00$19.50
ATM IV35.3%32.5%37.8%33.8%34.2%
Expected Move9.9%9.2%10.8%9.2%9.4%
HV 20d25.9%21.9%33.8%33.8%26.3%
HV 60d31.5%29.9%33.0%31.7%30.1%
IV Rank20.0%16.9%22.3%19.9%18.6%
IV Percentile55.0%49.6%61.9%56.3%49.6%
Term Structure-0.2%-3.3%4.7%-0.3%3.5%
VWIV34.3%29.3%40.1%29.3%33.0%
Skew 25d6.0%1.1%12.6%7.1%6.7%
Skew 10d15.5%-2.0%29.4%9.4%24.1%
Call IV 25d32.6%25.1%35.7%30.5%31.7%
Put IV 25d38.6%36.2%40.5%37.6%38.4%
Bid-Ask Spread %19.1214.0439.8815.0314.04
Gamma HHI0.200.190.220.200.21
Net GEX-1.5M-1.9M-988.1K-1.2M-1.6M
Net DEX22.9M4.0M33.2M12.0M20.1M
Net VEX-363.8K-397.4K-321.1K-387.2K-321.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.092.070.880.62
Total Volume492163830735444
Total OI134,379.286132,633136,366133,573134,179

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$19.95$20.0033.8%9.2%33.8%19.9%29.3%7.1%-0.3%-1.2M12.0M-387.2K0.8815.03N/AN/A39034532,102101,471
2020-09-02$20.52$20.0034.6%9.4%33.8%20.7%33.6%8.0%-0.7%-988.1K4.0M-379.4K0.4115.98N/AN/A38515932,215101,670
2020-09-03$20.06$20.0035.3%10.4%24.2%21.4%34.7%1.1%-2.0%-1.1M11.6M-393.7K0.5531.08N/AN/A20010932,451101,814
2020-09-04$19.86$20.0035.5%10.3%24.4%21.6%36.2%5.8%-2.8%-1.2M15.6M-397.4K1.4739.88N/AN/A24836532,548101,834
2020-09-08$19.47$20.0037.8%10.8%22.5%22.3%37.0%5.1%-1.1%-1.5M22.7M-386.7K0.1916.06N/AN/A4178032,422101,738
2020-09-09$19.60$20.0037.3%10.0%22.4%21.8%33.4%5.0%-2.4%-1.3M19.8M-384.8K0.2019.83N/AN/A3827732,631101,749
2020-09-10$19.55$20.0035.0%9.8%22.3%19.5%33.7%4.9%-0.4%-1.5M20.1M-374.4K1.4616.26N/AN/A14020432,769101,788
2020-09-11$19.52$20.0033.3%9.4%21.9%17.7%33.0%12.6%-1.2%-1.5M20.7M-370.7K0.2718.49N/AN/A47513032,808101,972
2020-09-14$19.49$20.0036.5%10.6%21.9%21.0%34.7%5.9%-2.0%-1.5M20.7M-364.0K0.8015.92N/AN/A21016732,648101,958
2020-09-15$18.96$20.0035.6%10.2%23.2%20.1%35.0%5.5%-0.1%-1.9M32.4M-367.0K0.5920.58N/AN/A29317232,739102,111
2020-09-16$19.70$20.0032.5%9.3%26.7%16.9%33.0%8.1%0.0%-1.1M16.2M-357.3K0.2320.69N/AN/A60214133,843102,269
2020-09-17$19.27$20.0036.6%10.4%27.6%21.0%34.8%5.9%-3.3%-1.6M25.0M-365.6K0.7714.33N/AN/A31924733,702102,299
2020-09-18$18.89$20.0035.5%10.1%28.0%20.0%36.2%4.8%1.1%-1.9M33.2M-365.4K0.9719.87N/AN/A15014533,861102,505
2020-09-21$18.88$20.0035.7%10.3%28.0%20.2%40.1%4.8%-0.1%-1.8M32.5M-361.1K0.9617.22N/AN/A33532031,270101,363
2020-09-22$18.96$20.0035.6%10.1%26.7%20.1%36.1%4.8%0.7%-1.9M30.2M-351.9K0.4319.16N/AN/A57925131,528101,657
2020-09-23$18.99$20.0035.7%10.2%26.6%20.1%35.5%7.0%0.5%-1.8M29.2M-353.4K0.2618.92N/AN/A41810831,887101,883
2020-09-24$18.90$20.0035.5%10.0%26.0%20.0%34.1%5.1%-1.2%-1.8M31.4M-350.3K0.1720.23N/AN/A3706332,116101,956
2020-09-25$18.89$20.0034.6%9.5%25.9%19.0%31.1%3.7%0.0%-1.7M30.7M-347.2K2.0715.40N/AN/A15732532,271101,969
2020-09-28$19.06$19.5034.4%10.0%25.9%18.9%33.5%6.8%4.7%-1.8M25.8M-332.0K0.2516.04N/AN/A1984931,934101,950
2020-09-29$19.10$19.5035.3%9.6%25.8%19.8%31.5%8.0%3.5%-1.8M25.8M-330.2K0.0916.40N/AN/A1491432,079102,006
2020-09-30$19.34$19.5034.2%9.4%26.3%18.6%33.0%6.7%3.5%-1.6M20.1M-321.1K0.6214.04N/AN/A27417032,168102,011