CNP Options History — May 2021

In May 2021, CNP traded between $23.71 and $25.31. ATM implied volatility averaged 24.3%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.5% (HV 20d: 20.7%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2021-05-05: Highest Volume — 7,642 contracts
  • 2021-05-27: Largest IV spike — 108.9% change
  • 2021-05-27: Highest IV Rank — 46.9%
  • 2021-05-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.66$23.71$25.31$24.51$25.31
Max Pain$23.40$23.00$24.00$23.00$24.00
ATM IV24.3%20.5%46.1%23.4%20.5%
Expected Move6.6%5.4%7.8%7.5%5.4%
HV 20d20.7%15.2%24.2%15.3%22.6%
HV 60d25.3%22.8%27.4%25.9%22.8%
IV Rank6.1%0.0%46.9%1.7%0.0%
IV Percentile8.3%0.0%97.6%1.6%0.0%
Term Structure0.4%-4.1%3.2%1.2%2.0%
VWIV23.1%19.4%28.3%25.4%19.4%
Skew 25d0.6%-43.3%13.8%1.6%2.6%
Skew 10d2.7%-65.5%21.7%0.9%-1.1%
Call IV 25d24.1%13.5%68.2%23.5%19.4%
Put IV 25d24.7%21.5%28.7%25.0%22.0%
Bid-Ask Spread %66.8731.4589.7585.8931.45
Gamma HHI0.210.140.300.190.30
Net GEX1.2M518.4K1.8M639.4K1.7M
Net DEX-16.8M-22.6M-10.3M-12.9M-21.1M
Net VEX-101.3K-114.5K-74.5K-74.5K-113.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.021.430.280.33
Total Volume1,193.251977,642230354
Total OI32,073.223,46036,13023,46033,484

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$24.51$23.0023.4%7.5%15.3%1.7%25.4%1.6%1.2%639.4K-12.9M-74.5K0.2885.89N/AN/A1795115,3098,151
2021-05-04$24.55$23.0022.4%7.4%15.2%0.0%28.3%3.4%1.2%671.7K-13.0M-75.1K1.4352.07N/AN/A41759715,3598,186
2021-05-05$24.20$23.0025.3%7.8%16.3%5.5%27.1%2.8%-0.9%518.4K-11.1M-76.1K0.0386.96N/AN/A7,42721515,6948,840
2021-05-06$24.45$23.0021.5%6.3%16.4%0.0%21.7%2.9%0.2%1.0M-15.9M-101.4K0.6176.68N/AN/A1227522,5919,055
2021-05-07$24.56$23.0020.7%6.0%16.3%0.0%22.1%1.9%-0.2%1.3M-17.4M-100.1K0.2854.64N/AN/A36210122,7369,072
2021-05-10$24.63$23.0022.9%6.2%16.2%4.0%23.2%0.8%-1.4%1.1M-17.2M-97.1K0.0248.81N/AN/A2,3764622,5088,933
2021-05-11$23.85$23.0024.6%6.6%19.8%7.1%24.1%0.9%-0.2%667.9K-11.3M-94.1K0.8662.32N/AN/A24320824,2278,986
2021-05-12$23.71$23.0026.7%7.1%19.9%11.1%25.6%3.2%-0.8%618.4K-10.3M-97.4K0.2069.03N/AN/A2234524,2689,074
2021-05-13$24.45$23.0024.6%7.2%22.3%7.2%23.8%13.8%0.6%1.1M-16.3M-99.4K0.0576.76N/AN/A2611424,3939,096
2021-05-14$25.01$23.0023.2%6.7%23.6%4.6%21.1%4.6%-0.1%1.5M-21.7M-109.3K0.0489.75N/AN/A2,58110124,5199,092
2021-05-17$25.07$23.0023.8%6.8%22.9%5.7%24.2%2.1%3.2%1.6M-22.6M-108.4K0.1071.31N/AN/A4614425,8578,977
2021-05-18$24.78$23.0023.5%6.7%22.5%5.2%22.8%2.8%0.7%1.6M-19.6M-103.0K0.0344.71N/AN/A3,79310625,9698,982
2021-05-19$24.38$24.0024.7%7.1%23.3%7.4%23.9%3.6%1.9%1.3M-15.5M-110.7K0.9474.36N/AN/A13612826,4629,067
2021-05-20$24.77$24.0022.9%6.5%24.0%4.0%23.2%3.0%2.2%1.8M-18.0M-109.6K0.1855.04N/AN/A5459926,5009,124
2021-05-21$24.68$24.0022.8%6.4%24.0%3.8%22.2%2.8%1.6%1.2M-17.8M-111.6K0.1666.49N/AN/A4507226,9819,149
2021-05-24$25.06$24.0021.9%5.9%24.2%2.2%20.4%-43.3%2.0%1.4M-18.1M-110.0K0.5185.93N/AN/A25112824,8697,232
2021-05-25$24.95$24.0022.1%5.9%23.8%2.6%20.6%2.0%0.2%1.4M-17.5M-108.9K0.0752.70N/AN/A9116524,9897,308
2021-05-26$25.11$24.0022.1%6.0%23.7%2.5%22.1%1.1%-0.8%1.6M-19.1M-111.4K0.0568.43N/AN/A2011025,8217,357
2021-05-27$25.11$24.0046.1%5.8%22.5%46.9%19.9%-0.5%-4.1%1.6M-19.6M-114.5K0.1784.09N/AN/A3996825,8807,367
2021-05-28$25.31$24.0020.5%5.4%22.6%0.0%19.4%2.6%2.0%1.7M-21.1M-113.3K0.3331.45N/AN/A2668826,0977,387