CNP Options History — December 2020

In December 2020, CNP traded between $20.91 and $23.07. ATM implied volatility averaged 32.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.6%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2020-12-28: Highest Volume — 14,848 contracts
  • 2020-12-21: Largest IV spike — 29.1% change
  • 2020-12-21: Highest IV Rank — 23.1%
  • 2020-12-10: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.95$20.91$23.07$22.93$21.56
Max Pain$22.09$22.00$23.00$23.00$22.00
ATM IV32.0%28.4%40.8%30.9%32.1%
Expected Move9.1%8.3%10.0%9.2%8.6%
HV 20d31.6%22.8%44.2%44.2%23.4%
HV 60d32.8%31.8%33.5%33.2%32.8%
IV Rank13.8%10.0%23.1%12.6%13.9%
IV Percentile32.7%23.0%70.6%31.3%31.7%
Term Structure0.2%-4.8%3.0%3.0%0.6%
VWIV31.8%28.7%34.8%32.7%28.7%
Skew 25d5.9%-9.0%55.4%-9.0%5.5%
Skew 10d10.7%-50.0%57.4%15.8%14.9%
Call IV 25d31.4%27.6%50.0%42.4%28.8%
Put IV 25d37.3%29.0%105.4%33.3%34.3%
Bid-Ask Spread %74.4634.9497.6073.8734.94
Gamma HHI0.550.380.680.440.38
Net GEX1.8M1.5M2.0M1.8M1.6M
Net DEX-19.3M-33.6M-6.0M-31.2M-17.1M
Net VEX-102.6K-119.7K-75.4K-119.7K-119.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.081.420.380.53
Total Volume1,429.5457814,8481,348212
Total OI83,451.27337,065108,144105,51754,008

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$22.93$23.0030.9%9.2%44.2%12.6%32.7%-9.0%3.0%1.8M-31.2M-119.7K0.3873.87N/AN/A98036831,67473,843
2020-12-02$22.90$23.0030.7%9.3%43.7%12.5%34.0%5.0%0.5%1.6M-29.8M-118.1K0.2977.55N/AN/A84124831,88874,119
2020-12-03$22.81$22.0032.6%9.1%43.3%14.4%32.0%2.5%-4.8%1.7M-30.2M-117.9K0.1391.74N/AN/A6909332,50274,227
2020-12-04$22.87$22.0028.4%8.8%38.8%10.0%31.9%0.7%1.9%1.9M-31.5M-117.1K1.4287.32N/AN/A44763632,98274,246
2020-12-07$23.07$22.0031.6%9.3%38.9%13.4%31.3%4.3%-0.3%1.9M-33.6M-114.8K0.3486.77N/AN/A1,09037133,11674,711
2020-12-08$22.52$22.0031.8%9.1%36.0%13.6%31.9%5.6%0.0%1.8M-26.2M-112.5K0.8280.50N/AN/A24019733,42974,623
2020-12-09$22.07$22.0031.2%9.3%36.2%13.0%32.2%5.6%1.3%1.6M-20.5M-108.9K0.2979.88N/AN/A2467133,39174,662
2020-12-10$21.80$22.0034.9%10.0%36.3%16.8%34.8%1.5%0.6%1.5M-16.8M-105.5K1.1680.01N/AN/A53562233,34974,656
2020-12-11$21.81$22.0033.0%9.5%34.9%14.9%34.5%5.9%0.9%1.6M-17.3M-105.3K0.9883.32N/AN/A12612433,53474,610
2020-12-14$21.70$22.0033.0%9.4%31.8%14.9%32.4%5.5%-0.3%1.6M-15.6M-98.7K1.0487.05N/AN/A24825830,50974,509
2020-12-15$22.22$22.0032.3%9.3%30.3%14.1%32.7%4.8%-0.4%1.8M-22.2M-100.6K0.0867.97N/AN/A6275130,52874,575
2020-12-16$21.84$22.0032.3%9.3%30.2%14.1%32.5%4.3%-0.4%1.7M-17.4M-97.7K0.3088.73N/AN/A50915130,62974,550
2020-12-17$21.95$22.0030.5%8.7%26.0%12.2%30.3%2.4%0.5%1.8M-18.6M-96.9K0.3390.54N/AN/A2016730,59974,506
2020-12-18$21.76$22.0031.6%9.0%25.3%13.4%30.7%3.3%2.0%1.8M-16.1M-93.7K0.2793.80N/AN/A70518830,66574,412
2020-12-21$21.12$22.0040.8%9.4%26.6%23.1%33.0%55.4%-0.8%1.5M-9.9M-84.8K0.3397.60N/AN/A77025528,8258,240
2020-12-22$20.91$22.0031.3%9.0%25.3%13.0%32.6%3.9%1.6%1.5M-6.0M-75.4K0.2953.40N/AN/A1945729,2968,341
2020-12-23$21.52$22.0031.0%8.8%26.7%12.7%30.4%4.3%-0.1%2.0M-14.1M-86.7K0.2763.43N/AN/A3348929,3598,308
2020-12-24$21.51$22.0030.4%8.8%26.3%12.2%30.4%6.0%0.8%2.0M-13.8M-84.0K0.5959.62N/AN/A492929,3478,358
2020-12-28$21.49$22.0030.0%8.3%26.0%11.7%30.2%3.6%0.6%2.0M-13.1M-77.4K0.8936.21N/AN/A7,8586,99029,0818,269
2020-12-29$21.24$22.0031.1%8.9%22.8%12.9%30.0%5.1%-1.5%1.9M-10.1M-108.9K0.2647.89N/AN/A72318636,35315,155
2020-12-30$21.38$22.0032.0%9.0%23.0%13.9%30.8%3.5%-0.7%1.9M-12.8M-113.3K0.1475.99N/AN/A2,43733736,78615,158
2020-12-31$21.56$22.0032.1%8.6%23.4%13.9%28.7%5.5%0.6%1.6M-17.1M-119.2K0.5334.94N/AN/A1397338,80615,202