CNP Options History — March 2021

In March 2021, CNP traded between $19.45 and $22.77. ATM implied volatility averaged 29.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 2.4% (HV 20d: 32.3%). Max pain ranged from $20.00 to $21.50. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.73.

Notable Days

  • 2021-03-08: Highest Volume — 4,828 contracts
  • 2021-03-08: Largest IV spike — 32.9% change
  • 2021-03-08: Highest IV Rank — 22.2%
  • 2021-03-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.53$19.45$22.77$19.70$22.63
Max Pain$20.85$20.00$21.50$21.00$21.50
ATM IV29.9%23.6%46.2%31.2%26.6%
Expected Move8.1%6.8%9.8%9.4%7.0%
HV 20d32.3%26.8%36.0%30.0%28.9%
HV 60d31.1%29.6%32.1%29.6%32.1%
IV Rank4.8%0.0%22.2%4.9%4.4%
IV Percentile14.4%0.0%79.4%12.7%2.4%
Term Structure-0.6%-31.4%16.3%0.2%1.5%
VWIV28.4%21.5%34.4%30.6%23.4%
Skew 25d4.2%1.1%9.3%1.4%6.7%
Skew 10d6.6%-25.8%26.4%14.5%-10.9%
Call IV 25d26.7%20.7%31.3%31.3%20.7%
Put IV 25d30.9%24.9%37.1%32.7%27.4%
Bid-Ask Spread %71.0533.7895.0595.0589.89
Gamma HHI0.290.200.650.250.27
Net GEX731.0K-767.5K2.6M-562.5K1.1M
Net DEX-7.2M-21.5M8.1M5.8M-9.3M
Net VEX-64.6K-75.4K-53.2K-70.6K-58.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.073.120.790.52
Total Volume1,099.3912114,828780312
Total OI42,093.34831,24747,77946,62735,276

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$19.70$21.0031.2%9.4%30.0%4.9%30.6%1.4%0.2%-562.5K5.8M-70.6K0.7995.05N/AN/A43534525,97120,656
2021-03-02$19.60$21.0033.5%9.1%29.6%7.6%31.4%5.2%-0.3%-692.2K7.3M-69.6K0.5053.97N/AN/A22411226,22020,926
2021-03-03$19.45$21.0033.1%9.5%29.0%7.1%33.5%5.1%1.5%-767.5K8.1M-68.3K0.4363.19N/AN/A52922626,33020,911
2021-03-04$19.86$20.0037.8%9.8%30.0%12.5%33.9%5.9%16.3%-334.9K3.5M-74.2K0.2076.98N/AN/A56411326,73120,897
2021-03-05$20.73$20.0034.8%9.1%33.8%9.1%32.3%7.1%-1.7%291.3K-3.5M-75.4K1.2533.78N/AN/A76595426,83020,949
2021-03-08$20.89$20.0046.2%9.3%33.9%22.2%34.4%6.6%-31.4%491.6K-4.6M-74.8K0.7060.37N/AN/A2,8371,99126,15019,695
2021-03-09$20.97$20.0031.9%9.0%33.5%5.7%33.1%4.4%-0.5%545.6K-4.1M-66.1K3.0872.51N/AN/A19760725,83219,973
2021-03-10$21.26$21.0032.0%8.9%33.7%5.8%30.8%1.6%-0.4%899.0K-6.7M-65.0K0.2075.31N/AN/A73815125,87920,142
2021-03-11$21.30$21.0031.3%8.7%33.5%5.1%29.9%4.3%-0.9%1.0M-7.7M-67.1K0.4952.60N/AN/A38919126,46120,171
2021-03-12$21.96$21.0030.5%8.8%34.8%4.2%30.7%9.3%0.4%1.4M-13.8M-70.7K0.1759.20N/AN/A1,83030825,95420,213
2021-03-15$22.45$21.0030.0%8.6%35.5%3.6%30.1%4.4%1.7%1.7M-19.0M-67.1K0.0772.02N/AN/A1,50511026,50019,642
2021-03-16$22.45$21.0027.2%7.8%35.4%0.3%27.4%2.9%1.6%1.7M-19.7M-68.6K0.1181.86N/AN/A1,00010626,82719,659
2021-03-17$22.31$21.0028.1%8.1%35.5%1.4%28.5%2.2%-0.9%1.9M-18.8M-66.3K0.2991.88N/AN/A44413026,76619,721
2021-03-18$21.99$21.0026.6%7.5%35.6%0.0%27.0%2.4%1.4%2.6M-14.5M-62.0K0.1378.01N/AN/A3654826,67419,755
2021-03-19$22.50$21.0027.0%7.8%36.0%0.5%26.7%4.4%-0.2%749.3K-21.5M-59.5K1.5449.90N/AN/A1,0601,63026,71419,772
2021-03-22$21.90$21.0025.5%6.9%33.4%0.0%23.6%2.0%0.8%438.7K-5.0M-53.2K0.4892.90N/AN/A64230819,31711,930
2021-03-23$21.87$21.0024.8%6.8%33.4%0.0%25.7%3.0%1.1%607.7K-5.7M-55.4K3.1269.44N/AN/A14444920,86112,156
2021-03-24$21.86$21.0024.3%6.8%33.4%0.0%23.7%1.1%0.0%529.9K-5.0M-54.1K0.8265.61N/AN/A19215720,93012,521
2021-03-25$22.35$21.0023.6%6.8%26.8%0.0%23.3%4.4%1.2%700.7K-7.4M-59.1K0.2072.85N/AN/A87117221,00512,597
2021-03-26$21.88$21.0025.2%7.1%28.0%2.4%25.3%4.0%-3.0%570.2K-5.0M-55.9K1.0774.16N/AN/A10210921,65112,660
2021-03-29$22.55$21.0031.3%7.2%29.3%11.6%26.8%6.8%-3.9%914.1K-9.0M-62.2K0.1669.10N/AN/A1,22020121,37912,301
2021-03-30$22.77$21.0024.5%6.9%29.0%1.4%21.5%1.9%2.3%1.1M-10.0M-61.6K0.4283.63N/AN/A35514822,21012,432
2021-03-31$22.63$21.5026.6%7.0%28.9%4.4%23.4%6.7%1.5%1.1M-9.3M-58.5K0.5289.89N/AN/A20510722,80512,471