CNP Options History — February 2021

In February 2021, CNP traded between $19.60 and $21.86. ATM implied volatility averaged 39.2%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.2% (HV 20d: 34.0%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.37.

Notable Days

  • 2021-02-17: Highest Volume — 11,431 contracts
  • 2021-02-26: Largest IV spike — 105.4% change
  • 2021-02-26: Highest IV Rank — 55.0%
  • 2021-02-22: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.12$19.60$21.86$21.26$19.60
Max Pain$21.18$21.00$22.00$21.50$21.00
ATM IV39.2%30.4%74.8%48.0%74.8%
Expected Move10.1%9.1%11.3%10.4%9.8%
HV 20d34.0%31.1%36.7%35.9%31.1%
HV 60d30.8%28.1%34.9%34.9%29.7%
IV Rank19.4%10.9%55.0%30.6%55.0%
IV Percentile48.7%13.1%94.8%81.0%94.8%
Term Structure-1.6%-45.9%11.4%7.3%-45.9%
VWIV35.4%32.0%39.5%35.7%34.1%
Skew 25d3.0%-23.4%49.2%-23.4%49.2%
Skew 10d6.8%-41.3%58.2%7.8%10.1%
Call IV 25d39.3%31.1%82.4%82.4%65.5%
Put IV 25d42.3%29.5%114.7%59.0%114.7%
Bid-Ask Spread %66.5338.19108.03108.0368.48
Gamma HHI0.340.170.820.200.19
Net GEX2.0M-819.7K13.7M648.1K-819.7K
Net DEX-5.9M-26.2M10.5M-3.9M10.5M
Net VEX-84.9K-97.4K-68.5K-97.4K-68.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.050.860.120.13
Total Volume2,588.57950111,4311,4582,606
Total OI50,082.26343,26960,17744,56447,687

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$21.26$21.5048.0%10.4%35.9%30.6%35.7%-23.4%7.3%648.1K-3.9M-97.4K0.12108.03N/AN/A1,30615224,70819,856
2021-02-02$21.52$21.5035.5%9.2%36.2%17.4%32.0%-14.4%-2.9%861.1K-6.2M-96.3K0.0886.28N/AN/A6695124,95219,858
2021-02-03$21.14$21.5035.1%9.1%36.7%17.0%32.0%-1.8%0.3%668.5K-2.8M-86.7K0.8666.05N/AN/A1,02087625,25719,888
2021-02-04$21.39$21.0031.4%9.7%36.4%13.1%33.5%1.7%0.8%934.3K-4.9M-86.1K0.0751.05N/AN/A4753225,70720,722
2021-02-05$21.43$21.0056.9%9.9%32.4%39.9%34.2%-3.2%11.4%1.0M-6.0M-86.1K0.2392.72N/AN/A6,6601,52925,85920,746
2021-02-08$21.07$21.0030.4%9.5%32.8%12.0%33.2%2.1%4.0%1.3M-5.4M-90.4K0.5853.23N/AN/A73042531,41221,964
2021-02-09$21.23$21.0033.4%9.6%32.9%15.2%33.2%3.2%-0.0%1.7M-6.4M-89.6K0.4938.19N/AN/A36417731,54522,248
2021-02-10$21.48$21.0033.4%10.0%33.1%15.1%34.6%2.6%0.2%2.0M-11.4M-88.3K0.0766.91N/AN/A6764931,61522,368
2021-02-11$21.20$21.0033.6%9.7%33.5%15.3%32.5%0.8%0.7%1.8M-6.2M-84.7K0.2354.16N/AN/A4269931,68322,405
2021-02-12$21.34$21.0034.5%9.7%33.5%16.3%35.0%3.1%-0.3%2.4M-7.3M-85.3K0.2761.65N/AN/A39410731,61122,451
2021-02-16$21.55$21.0034.4%9.8%32.4%16.1%35.1%2.1%0.4%3.4M-12.6M-74.7K0.6970.37N/AN/A1,43599231,37822,336
2021-02-17$21.51$21.0039.0%11.2%32.1%20.1%39.5%3.6%-4.0%4.5M-12.7M-81.7K0.0566.46N/AN/A10,90552631,76022,750
2021-02-18$21.86$21.0037.6%10.9%32.4%17.3%38.0%3.9%-1.7%3.5M-26.2M-92.4K0.4969.78N/AN/A3,6231,75935,53322,825
2021-02-19$21.55$22.0036.7%10.5%32.5%16.3%37.7%3.2%-0.2%13.7M-18.5M-87.9K0.7567.50N/AN/A1,21591336,00624,171
2021-02-22$20.61$22.0038.0%11.3%35.9%15.5%38.8%3.2%-2.2%-25.9K1.9M-78.6K0.3354.27N/AN/A2,54783222,47720,792
2021-02-23$20.80$21.0038.1%11.2%35.8%14.3%39.3%5.0%-2.2%172.0K-1.2M-84.6K0.6045.08N/AN/A55633523,90921,296
2021-02-24$20.88$21.0036.5%10.9%35.4%11.0%38.1%5.5%1.5%185.2K-1.5M-81.4K0.6868.98N/AN/A1,02669324,04221,431
2021-02-25$19.80$21.0036.4%10.2%34.7%10.9%35.5%10.3%3.2%-511.2K8.7M-72.4K0.3474.92N/AN/A2,24675724,47621,839
2021-02-26$19.60$21.0074.8%9.8%31.1%55.0%34.1%49.2%-45.9%-819.7K10.5M-68.5K0.1368.48N/AN/A2,31129525,82821,859