CNP Options History — October 2020 In October 2020, CNP traded between $19.30 and $22.32. ATM implied volatility averaged 36.6%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 11.3% (HV 20d: 25.3%). Max pain ranged from $19.50 to $21.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2020-10-16 : Highest Volume — 24,693 contracts2020-10-28 : Largest IV spike — 12.6% change2020-10-28 : Highest IV Rank — 27.4%2020-10-30 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $21.13 $19.30 $22.32 $19.30 $21.16 Max Pain $20.86 $19.50 $21.00 $19.50 $21.00 ATM IV 36.6% 33.7% 42.8% 35.3% 41.6% Expected Move 10.7% 9.4% 13.0% 9.5% 13.0% HV 20d 25.3% 22.5% 29.3% 23.8% 28.7% HV 60d 29.5% 25.8% 30.8% 30.0% 25.8% IV Rank 21.0% 18.1% 27.4% 19.8% 26.2% IV Percentile 56.2% 45.2% 78.2% 52.0% 74.6% Term Structure 0.6% -9.0% 18.9% 2.8% 0.5% VWIV 37.4% 33.8% 49.2% 33.9% 49.2% Skew 25d 6.4% -20.7% 15.2% 5.3% 7.4% Skew 10d 13.8% -45.6% 57.4% 6.3% 31.0% Call IV 25d 33.7% 22.8% 55.5% 32.0% 38.6% Put IV 25d 40.1% 34.7% 48.8% 37.4% 46.0% Bid-Ask Spread % 71.89 18.52 104.90 18.52 68.56 Gamma HHI 0.17 0.14 0.21 0.20 0.17 Net GEX 169.1K -1.6M 1.3M -1.6M 451.4K Net DEX -30.5M -58.6M 21.4M 21.4M -30.5M Net VEX -253.5K -324.1K -207.2K -324.1K -247.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.02 2.39 0.50 1.16 Total Volume 4,617.864 184 24,693 184 403 Total OI 159,992.364 134,389 170,837 134,389 170,837
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-10-01 $19.30 $19.50 35.3% 9.5% 23.8% 19.8% 33.9% 5.3% 2.8% -1.6M 21.4M -324.1K 0.50 18.52 N/A N/A 123 61 32,310 102,079 2020-10-02 $19.88 $19.50 34.8% 9.4% 25.3% 19.2% 34.5% 9.7% 4.5% -1.3M 8.5M -300.3K 0.96 19.54 N/A N/A 10,453 10,077 32,366 102,122 2020-10-05 $20.13 $21.00 36.0% 10.7% 25.4% 20.5% 37.1% 15.2% -1.1% -806.5K -2.3M -318.3K 0.24 43.75 N/A N/A 390 95 42,377 111,953 2020-10-06 $20.51 $21.00 36.1% 10.3% 25.0% 20.6% 35.5% 4.4% -0.4% -379.6K -14.4M -299.9K 0.53 72.64 N/A N/A 933 490 42,602 112,008 2020-10-07 $20.59 $21.00 35.0% 10.4% 24.9% 19.4% 36.4% 5.3% 1.4% -221.6K -17.9M -287.4K 0.02 71.12 N/A N/A 20,577 337 42,593 112,454 2020-10-08 $21.24 $21.00 35.0% 10.5% 26.8% 19.4% 36.5% 15.0% -9.0% 80.7K -36.7M -260.1K 0.11 73.21 N/A N/A 825 90 45,083 112,698 2020-10-09 $21.41 $21.00 34.7% 10.2% 26.8% 19.2% 34.4% 7.3% 1.2% 51.3K -39.2M -257.1K 0.21 84.11 N/A N/A 490 104 45,152 112,730 2020-10-12 $21.68 $21.00 34.7% 9.7% 26.8% 19.1% 34.5% -20.7% -1.8% 539.7K -49.5M -211.8K 0.66 87.30 N/A N/A 468 309 45,021 112,648 2020-10-13 $20.89 $21.00 34.9% 10.3% 28.5% 19.3% 34.5% 10.8% 1.1% -74.3K -29.1M -255.6K 0.29 64.48 N/A N/A 426 124 45,182 112,817 2020-10-14 $20.80 $21.00 33.7% 10.0% 25.8% 18.1% 34.5% 4.0% 0.5% 118.1K -28.9M -244.1K 1.77 79.64 N/A N/A 581 1,026 45,362 112,916 2020-10-15 $20.93 $21.00 35.9% 10.2% 24.1% 20.3% 35.6% 7.2% -0.2% -78.8K -30.6M -241.7K 0.53 65.87 N/A N/A 365 194 45,258 113,752 2020-10-16 $20.88 $21.00 35.1% 10.1% 22.5% 19.5% 35.9% 3.8% 0.4% 241.6K -32.1M -228.0K 0.27 88.89 N/A N/A 19,413 5,280 45,458 113,916 2020-10-19 $20.87 $21.00 36.5% 10.4% 22.5% 21.0% 37.6% 6.6% -1.0% -579.7K -19.8M -240.3K 0.03 75.45 N/A N/A 18,579 512 43,434 117,705 2020-10-20 $21.34 $21.00 37.1% 10.4% 23.3% 21.6% 35.0% 4.4% 18.9% 567.6K -33.0M -248.6K 0.51 104.90 N/A N/A 811 413 47,171 118,008 2020-10-21 $21.59 $21.00 36.1% 10.3% 23.3% 20.5% 33.8% 5.0% -0.7% 637.4K -40.6M -242.4K 1.01 86.37 N/A N/A 792 802 48,135 118,326 2020-10-22 $22.07 $21.00 35.6% 10.2% 23.6% 20.0% 34.4% 7.9% -1.1% 1.2M -53.5M -218.7K 0.39 95.08 N/A N/A 849 334 48,714 119,039 2020-10-23 $22.27 $21.00 36.3% 10.5% 23.4% 20.7% 35.3% 6.2% -0.8% 1.3M -58.6M -207.2K 0.25 87.22 N/A N/A 691 174 49,328 119,236 2020-10-26 $22.12 $21.00 39.3% 11.7% 23.9% 23.8% 41.3% 9.7% -1.3% 1.1M -53.4M -222.7K 2.13 74.80 N/A N/A 538 1,146 49,685 119,175 2020-10-27 $22.32 $21.00 38.0% 11.5% 23.9% 22.5% 40.7% 6.1% 0.7% 1.2M -58.0M -217.8K 0.44 50.94 N/A N/A 208 91 49,861 119,800 2020-10-28 $21.43 $21.00 42.8% 12.8% 29.3% 27.4% 44.5% 10.0% -0.7% 474.4K -34.8M -256.9K 0.96 94.69 N/A N/A 847 816 49,959 119,906 2020-10-29 $21.51 $21.00 40.3% 12.4% 29.2% 24.8% 46.7% 10.6% -0.3% 719.0K -37.7M -246.8K 2.39 74.42 N/A N/A 105 251 50,136 120,520 2020-10-30 $21.16 $21.00 41.6% 13.0% 28.7% 26.2% 49.2% 7.4% 0.5% 451.4K -30.5M -247.4K 1.16 68.56 N/A N/A 187 216 50,137 120,700
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