CNP Options History — April 2021

In April 2021, CNP traded between $22.60 and $24.45. ATM implied volatility averaged 26.4%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.1% (HV 20d: 21.3%). Max pain ranged from $21.50 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2021-04-13: Highest Volume — 3,417 contracts
  • 2021-04-05: Largest IV spike — 100.4% change
  • 2021-04-05: Highest IV Rank — 47.0%
  • 2021-04-05: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.74$22.60$24.45$22.60$24.45
Max Pain$22.60$21.50$23.00$21.50$23.00
ATM IV26.4%22.5%52.5%26.2%29.5%
Expected Move7.1%6.4%8.1%6.6%7.0%
HV 20d21.3%14.6%28.6%28.6%15.9%
HV 60d29.4%26.0%32.1%32.1%26.0%
IV Rank5.7%0.0%47.0%3.9%13.4%
IV Percentile7.7%0.0%88.9%2.4%16.7%
Term Structure0.7%-3.0%7.0%3.0%3.9%
VWIV25.4%22.0%30.4%24.0%24.4%
Skew 25d-0.6%-69.2%14.4%3.8%13.0%
Skew 10d-7.9%-81.2%34.5%-27.3%-81.2%
Call IV 25d30.3%16.7%106.2%23.1%45.2%
Put IV 25d29.7%24.0%58.1%26.9%58.1%
Bid-Ask Spread %82.7237.53110.5795.7496.65
Gamma HHI0.240.170.390.270.18
Net GEX906.7K373.9K1.8M1.0M712.7K
Net DEX-12.0M-17.7M-7.9M-8.8M-12.4M
Net VEX-66.8K-78.4K-53.2K-56.4K-77.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.193.900.772.42
Total Volume848963,417322308
Total OI29,54719,95438,71835,40223,660

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$22.60$21.5026.2%6.6%28.6%3.9%24.0%3.8%3.0%1.0M-8.8M-56.4K0.7795.74N/AN/A18214022,86012,542
2021-04-05$22.96$22.0052.5%8.1%25.5%47.0%28.1%14.4%7.0%1.3M-10.8M-58.4K0.3574.78N/AN/A1776222,61212,562
2021-04-06$23.14$22.0025.4%7.7%25.5%2.9%29.2%3.1%-0.2%1.4M-12.0M-58.8K0.2671.86N/AN/A98625322,69312,591
2021-04-07$23.32$22.0025.0%7.7%25.5%2.4%26.5%-1.0%2.3%1.4M-13.4M-58.5K0.2580.42N/AN/A1303222,47012,817
2021-04-08$23.23$22.0027.1%7.6%25.5%6.0%28.3%2.1%-1.3%1.8M-14.3M-63.0K0.3383.67N/AN/A1234022,48912,876
2021-04-09$23.19$22.0026.6%7.7%25.6%5.3%30.4%8.2%0.5%1.4M-12.8M-55.9K0.3070.46N/AN/A84225022,52412,897
2021-04-12$23.37$22.0030.6%7.7%23.7%12.1%26.7%3.1%0.8%1.1M-12.2M-54.9K0.33104.71N/AN/A62020521,84413,025
2021-04-13$23.70$22.0023.2%6.8%23.0%0.0%24.9%8.3%1.0%1.1M-14.7M-53.2K1.1860.41N/AN/A1,5681,84922,25813,156
2021-04-14$23.72$23.0026.7%7.0%23.0%6.0%24.3%2.6%-3.0%952.5K-14.2M-54.1K0.3380.47N/AN/A2,29874722,38013,743
2021-04-15$24.03$23.0024.0%7.0%23.0%1.5%23.3%-22.8%0.3%1.0M-17.7M-71.0K0.2879.04N/AN/A3469724,40414,190
2021-04-16$24.05$23.0024.0%7.0%22.0%1.5%24.3%0.8%0.1%1.3M-17.7M-68.7K0.5291.38N/AN/A57729824,52514,193
2021-04-19$23.74$23.0025.1%7.1%21.7%3.2%25.4%1.3%-1.4%522.9K-9.1M-67.7K0.5894.54N/AN/A31118013,8196,135
2021-04-20$24.22$23.0024.0%6.9%19.5%1.3%24.8%1.5%-1.1%642.2K-11.3M-71.4K3.9087.28N/AN/A4711,83914,1006,265
2021-04-21$24.30$23.0022.5%6.4%19.4%0.0%25.4%3.5%0.3%554.5K-11.0M-76.0K0.32101.44N/AN/A52016414,4437,685
2021-04-22$24.24$23.0023.6%6.8%19.5%2.2%23.4%1.3%-1.1%575.9K-11.1M-78.4K0.71110.57N/AN/A16411715,1207,817
2021-04-23$24.20$23.0023.0%6.7%18.5%1.0%22.0%3.1%-1.1%550.8K-10.6M-76.3K2.5567.56N/AN/A10125815,1547,874
2021-04-26$23.98$23.0023.7%7.1%16.7%2.4%25.2%2.7%0.1%471.8K-9.1M-74.8K3.8054.04N/AN/A207615,0467,968
2021-04-27$23.70$23.0023.3%7.1%14.7%1.6%24.9%2.1%2.5%373.9K-7.9M-76.2K0.1937.53N/AN/A1813415,0488,044
2021-04-28$23.88$23.0024.1%7.1%14.6%3.0%26.0%5.8%-0.3%420.4K-8.3M-73.2K0.2492.29N/AN/A64415415,0718,065
2021-04-29$24.44$23.0024.1%7.0%16.0%3.1%22.6%-69.2%2.0%633.1K-12.5M-78.0K0.44102.31N/AN/A30913515,4328,090
2021-04-30$24.45$23.0029.5%7.0%15.9%13.4%24.4%13.0%3.9%712.7K-12.4M-77.1K2.4296.65N/AN/A9021815,4728,188