CNP Options History — June 2021

In June 2021, CNP traded between $24.44 and $26.12. ATM implied volatility averaged 21.3%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.6% (HV 20d: 17.7%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-06-21: Highest Volume — 2,900 contracts
  • 2021-06-09: Largest IV spike — 15.4% change
  • 2021-06-09: Highest IV Rank — 6.9%
  • 2021-06-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.23$24.44$26.12$25.09$24.51
Max Pain$24.91$24.00$25.00$24.00$25.00
ATM IV21.3%19.7%24.0%22.5%20.9%
Expected Move5.9%5.3%6.5%5.9%5.9%
HV 20d17.7%14.6%22.9%22.9%15.2%
HV 60d19.8%18.0%21.6%21.4%18.0%
IV Rank2.4%0.0%6.9%3.7%2.3%
IV Percentile3.6%0.0%12.3%3.2%5.2%
Term Structure2.1%-2.8%31.2%-0.5%4.8%
VWIV20.5%18.8%22.7%20.6%20.7%
Skew 25d1.8%-0.6%6.0%2.3%1.8%
Skew 10d1.9%-31.3%12.9%-1.9%10.3%
Call IV 25d20.7%18.8%23.8%21.9%20.9%
Put IV 25d22.5%19.7%26.3%24.2%22.8%
Bid-Ask Spread %64.1416.82105.9862.9622.87
Gamma HHI0.330.270.400.270.31
Net GEX1.6M916.2K2.6M1.6M916.2K
Net DEX-19.7M-29.9M-10.7M-19.1M-10.7M
Net VEX-115.0K-126.3K-101.8K-109.3K-101.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.022.090.200.74
Total Volume1,082.8641682,9001,384328
Total OI36,40832,45040,97833,16235,968

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$25.09$24.0022.5%5.9%22.9%3.7%20.6%2.3%-0.5%1.6M-19.1M-109.3K0.2062.96N/AN/A1,15123326,1996,963
2021-06-02$25.05$24.0024.0%5.3%22.9%6.4%18.8%0.7%-1.8%1.6M-20.4M-117.4K0.1889.26N/AN/A1472627,2647,156
2021-06-03$25.45$25.0022.6%6.5%22.7%3.9%22.7%1.4%-0.5%1.9M-22.8M-118.0K0.0560.69N/AN/A1,2666327,3167,172
2021-06-04$25.38$25.0020.2%6.2%22.6%0.0%20.5%0.8%-1.2%1.9M-22.6M-116.1K1.7484.62N/AN/A26646328,2557,217
2021-06-07$25.53$25.0020.5%5.7%22.6%0.6%20.5%2.5%-0.2%2.0M-23.5M-118.2K2.0926.53N/AN/A15732828,1537,486
2021-06-08$25.49$25.0020.7%6.2%22.7%1.0%20.9%2.2%0.7%1.9M-23.0M-116.6K0.3876.28N/AN/A1927228,2497,804
2021-06-09$25.85$25.0023.9%6.2%19.2%6.9%21.5%3.2%-2.8%2.2M-26.5M-121.7K0.1177.21N/AN/A1,08012328,3697,869
2021-06-10$25.95$25.0021.7%6.0%18.8%2.7%21.1%1.3%-0.8%2.4M-28.5M-124.6K0.5551.09N/AN/A26514529,2927,969
2021-06-11$26.12$25.0020.3%5.8%16.1%0.1%20.6%2.6%-0.3%2.6M-29.9M-122.2K0.4598.05N/AN/A1848229,4598,094
2021-06-14$25.98$25.0019.7%5.6%14.6%0.0%19.7%0.9%0.3%2.3M-28.0M-118.3K0.8484.50N/AN/A1,4751,24029,6758,102
2021-06-15$26.01$25.0020.4%5.8%14.6%1.3%21.1%1.9%0.8%2.3M-28.9M-126.3K0.2788.12N/AN/A3258730,9609,311
2021-06-16$25.49$25.0020.5%5.9%15.9%1.4%20.5%0.7%31.2%1.7M-21.9M-119.0K0.38105.98N/AN/A1224630,8789,353
2021-06-17$25.31$25.0019.9%5.6%14.9%0.4%20.0%1.0%1.4%1.6M-20.2M-117.7K0.1183.78N/AN/A8629830,8639,398
2021-06-18$24.77$25.0021.3%6.1%16.1%3.0%21.1%0.6%-0.0%1.4M-13.6M-110.4K0.4165.18N/AN/A1,13446431,4989,480
2021-06-21$24.93$25.0020.4%5.5%16.2%1.2%19.3%6.0%0.9%1.0M-14.8M-111.8K0.0282.42N/AN/A2,8346625,1917,259
2021-06-22$24.90$25.0020.4%5.5%15.2%1.3%19.0%3.5%1.6%1.2M-14.7M-113.0K0.0285.51N/AN/A1,2222926,9547,299
2021-06-23$24.74$25.0021.0%5.7%15.3%2.3%20.0%3.3%1.3%1.1M-16.3M-122.1K1.5356.61N/AN/A1,0711,64428,1337,318
2021-06-24$24.61$25.0021.1%5.6%15.2%2.5%19.8%-0.6%2.0%1.2M-12.0M-108.5K1.1930.29N/AN/A27332628,5277,391
2021-06-25$24.77$25.0020.0%5.4%15.4%0.5%19.5%0.8%1.4%1.3M-13.2M-108.0K0.0733.76N/AN/A3362528,6827,330
2021-06-28$24.63$25.0022.3%6.0%15.2%4.7%20.8%1.6%4.2%1.1M-11.8M-103.9K0.9028.60N/AN/A49244528,1897,256
2021-06-29$24.44$25.0023.2%6.3%15.1%6.4%21.3%0.4%4.6%956.6K-11.0M-104.1K0.9816.82N/AN/A1,3311,30528,3837,292
2021-06-30$24.51$25.0020.9%5.9%15.2%2.3%20.7%1.8%4.8%916.2K-10.7M-101.8K0.7422.87N/AN/A18913928,5047,464