CNP Options History — January 2021

In January 2021, CNP traded between $20.70 and $22.02. ATM implied volatility averaged 33.8%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 6.8% (HV 20d: 27.0%). Max pain ranged from $21.50 to $23.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.40.

Notable Days

  • 2021-01-27: Highest Volume — 5,412 contracts
  • 2021-01-27: Largest IV spike — 27.9% change
  • 2021-01-27: Highest IV Rank — 25.6%
  • 2021-01-27: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.31$20.70$22.02$21.44$21.04
Max Pain$21.95$21.50$23.00$23.00$21.50
ATM IV33.8%30.6%43.3%33.5%35.5%
Expected Move9.4%8.6%10.6%10.2%10.1%
HV 20d27.0%23.4%35.9%23.4%35.9%
HV 60d33.0%31.9%35.1%32.9%35.1%
IV Rank15.6%12.2%25.6%15.2%17.3%
IV Percentile36.9%19.0%78.6%37.7%44.8%
Term Structure2.4%-4.9%47.6%1.7%-4.6%
VWIV33.1%30.2%37.9%36.5%35.3%
Skew 25d8.8%-12.6%96.3%3.5%1.3%
Skew 10d3.1%-56.7%38.7%-40.4%3.8%
Call IV 25d32.3%27.5%47.2%33.0%36.3%
Put IV 25d41.2%31.9%136.3%36.4%37.6%
Bid-Ask Spread %70.9229.48110.8946.48104.03
Gamma HHI0.300.160.610.580.16
Net GEX993.8K-201.1K3.6M2.9M77.3K
Net DEX-4.1M-24.2M2.7M-14.8M1.1M
Net VEX-82.3K-114.3K-69.7K-109.4K-85.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.048.791.636.31
Total Volume1,247.2633025,4127372,865
Total OI43,911.89530,83155,44252,19237,568

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$21.44$23.0033.5%10.2%23.4%15.2%36.5%3.5%1.7%2.9M-14.8M-109.4K1.6346.48N/AN/A28045738,10914,083
2021-01-05$21.53$23.0033.8%9.5%23.4%15.6%33.8%3.7%-1.2%3.1M-16.1M-109.7K0.4173.35N/AN/A29512138,19614,515
2021-01-06$21.89$23.0034.3%9.4%24.1%16.1%34.0%4.7%1.8%3.6M-24.2M-114.3K0.1382.79N/AN/A1,12314938,27114,589
2021-01-07$20.91$22.0034.5%9.4%27.6%16.3%33.2%4.9%-4.9%2.1M-4.1M-90.1K0.2466.66N/AN/A73117838,03514,587
2021-01-08$20.70$22.0032.3%9.3%27.1%14.0%32.5%5.3%0.4%1.5M-453.5K-81.7K3.8693.68N/AN/A5532,13438,06114,660
2021-01-11$20.79$22.0033.2%9.4%27.0%14.9%33.5%7.1%-0.5%1.2M467.3K-82.8K1.1857.47N/AN/A24829338,16416,707
2021-01-12$20.78$22.0033.8%9.5%27.0%15.5%33.7%4.7%-0.4%457.8K2.7M-75.2K0.8184.71N/AN/A16713538,29116,902
2021-01-13$20.82$22.0032.8%9.4%27.0%14.5%32.8%6.9%-0.5%484.1K1.7M-74.0K0.9588.03N/AN/A18817938,37916,950
2021-01-14$20.91$22.0031.7%9.0%25.4%13.3%31.1%4.5%-0.5%-201.1K1.9M-69.7K0.0430.88N/AN/A6042438,42617,016
2021-01-15$21.46$22.0031.0%9.1%26.7%12.6%31.5%-12.6%1.9%330.6K-2.0M-73.8K0.5673.84N/AN/A1,42879638,18816,981
2021-01-19$21.71$22.0031.3%9.0%27.0%12.9%31.0%3.6%1.3%405.0K-3.2M-76.3K0.1253.67N/AN/A1,37215917,85712,974
2021-01-20$21.46$21.5030.9%8.9%27.2%12.5%30.5%3.7%2.9%394.8K-2.4M-74.0K0.2729.48N/AN/A39410818,69513,030
2021-01-21$21.72$21.5032.0%9.1%25.2%13.7%32.9%5.6%1.9%493.8K-3.7M-72.7K0.1742.76N/AN/A3285518,80413,113
2021-01-22$21.46$21.5030.6%8.6%25.3%12.2%30.2%4.4%1.8%425.8K-2.5M-73.7K0.2856.51N/AN/A42111918,91813,150
2021-01-25$21.72$21.5036.7%9.2%23.6%18.6%31.6%6.0%-1.1%462.5K-4.2M-72.0K0.5772.25N/AN/A60834518,65212,963
2021-01-26$22.02$21.5033.9%9.2%24.0%15.6%31.5%6.1%-1.0%568.4K-5.8M-73.4K0.1170.22N/AN/A6456818,94113,204
2021-01-27$20.81$21.5043.3%10.6%31.6%25.6%37.9%96.3%47.6%208.4K571.8K-74.5K8.79109.80N/AN/A5534,85919,35313,215
2021-01-28$21.64$21.5037.8%10.5%34.5%19.8%35.2%8.1%-0.5%385.4K-3.0M-81.5K0.10110.89N/AN/A6536319,44015,339
2021-01-29$21.04$21.5035.5%10.1%35.9%17.3%35.3%1.3%-4.6%77.3K1.1M-85.6K6.31104.03N/AN/A3922,47319,65917,909