CNP Options History — November 2020

In November 2020, CNP traded between $21.40 and $25.11. ATM implied volatility averaged 31.4%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 6.0% (HV 20d: 37.4%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2020-11-17: Highest Volume — 18,923 contracts
  • 2020-11-12: Largest IV spike — 91.4% change
  • 2020-11-12: Highest IV Rank — 38.0%
  • 2020-11-02: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.55$21.40$25.11$21.40$23.20
Max Pain$21.35$20.00$23.00$21.00$23.00
ATM IV31.4%26.9%53.8%41.5%30.0%
Expected Move9.0%7.9%13.0%13.0%9.5%
HV 20d37.4%28.7%43.9%28.7%43.9%
HV 60d30.0%25.7%33.2%25.9%33.2%
IV Rank14.2%8.8%38.0%26.0%11.7%
IV Percentile36.1%25.8%82.9%73.0%29.8%
Term Structure-1.2%-27.6%2.4%1.8%0.8%
VWIV31.3%26.5%45.4%45.4%31.8%
Skew 25d2.4%-11.1%7.8%7.8%2.9%
Skew 10d3.4%-35.2%21.7%13.3%8.0%
Call IV 25d35.5%25.3%119.1%36.8%29.2%
Put IV 25d37.9%28.4%112.1%44.6%32.1%
Bid-Ask Spread %65.5836.4187.3471.7687.34
Gamma HHI0.400.170.540.170.52
Net GEX1.5M568.6K2.3M568.6K1.5M
Net DEX-61.9M-101.1M-30.4M-30.4M-33.2M
Net VEX-128.5K-235.6K-91.5K-235.6K-116.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.023.093.090.18
Total Volume1,849.2521218,9231,6411,087
Total OI139,068.1101,918155,287152,815103,069

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$21.40$21.0041.5%13.0%28.7%26.0%45.4%7.8%1.8%568.6K-30.4M-235.6K3.0971.76N/AN/A4011,24047,243105,572
2020-11-03$21.87$21.0039.5%12.3%28.9%24.0%43.2%5.1%-3.0%1.2M-44.5M-199.4K0.7373.06N/AN/A27319947,243105,572
2020-11-04$21.56$21.0034.7%11.1%29.6%19.1%39.6%2.1%2.4%1.8M-42.6M-177.4K0.2280.95N/AN/A56612547,554106,835
2020-11-05$22.77$20.0030.3%8.5%33.5%14.7%32.0%0.5%0.8%2.1M-70.4M-149.7K0.4486.94N/AN/A75633047,837106,892
2020-11-06$22.79$20.0030.3%8.7%33.5%14.7%29.4%5.6%1.5%2.3M-71.5M-140.1K1.8153.33N/AN/A26648248,079107,018
2020-11-09$23.85$20.0026.9%7.9%36.6%11.2%29.0%4.8%1.0%1.7M-88.2M-114.4K1.2362.99N/AN/A79297247,334106,892
2020-11-10$24.05$20.0029.4%8.4%33.1%13.0%28.7%-11.1%0.7%1.6M-90.6M-109.0K0.1556.69N/AN/A6179247,435107,040
2020-11-11$24.05$20.0028.1%8.3%32.9%11.6%28.2%3.5%0.8%1.6M-91.5M-108.9K0.1644.14N/AN/A90314547,594106,729
2020-11-12$23.29$20.0053.8%9.1%35.8%38.0%31.1%-7.0%-27.6%1.8M-81.6M-120.1K0.4083.07N/AN/A75830147,785106,839
2020-11-13$24.12$20.0027.2%7.9%37.1%8.8%27.8%2.2%0.1%1.5M-92.0M-106.3K1.2536.41N/AN/A27033748,226107,061
2020-11-16$24.95$20.0028.0%8.1%38.2%9.7%26.5%4.4%-1.9%1.4M-100.6M-91.5K0.0976.73N/AN/A4113847,779106,993
2020-11-17$25.11$20.0027.6%7.9%37.9%9.2%28.1%2.4%0.5%1.3M-101.1M-95.5K0.0259.89N/AN/A18,59033347,947106,995
2020-11-18$23.91$23.0029.1%8.4%42.9%10.8%29.6%1.7%-0.9%1.3M-45.1M-114.2K0.7969.68N/AN/A73057430,121107,321
2020-11-19$23.40$23.0029.8%8.6%43.4%11.5%29.7%3.3%-0.4%1.3M-39.4M-120.4K0.3062.09N/AN/A52615830,438107,795
2020-11-20$23.56$23.0028.5%8.2%43.4%10.2%28.6%3.8%-0.9%1.4M-41.2M-117.0K2.4450.59N/AN/A6471,57830,751107,997
2020-11-23$23.95$23.0029.5%8.3%43.5%11.2%29.0%3.8%-0.4%1.3M-39.8M-114.7K0.3755.08N/AN/A85631328,55273,366
2020-11-24$24.44$23.0028.1%8.0%43.8%9.7%28.4%4.0%-0.6%1.4M-45.1M-111.2K0.4756.15N/AN/A37517829,22273,582
2020-11-25$24.61$23.0028.0%8.4%40.4%9.7%29.3%4.8%1.2%1.4M-46.9M-112.5K1.8473.63N/AN/A19535929,39673,731
2020-11-27$24.14$23.0028.7%9.0%41.5%10.3%31.3%3.6%0.0%1.3M-42.4M-115.4K2.6671.16N/AN/A5815429,47874,049
2020-11-30$23.20$23.0030.0%9.5%43.9%11.7%31.8%2.9%0.8%1.5M-33.2M-116.0K0.1887.34N/AN/A92416329,34873,721