CNP Options History — July 2021

In July 2021, CNP traded between $24.72 and $25.79. ATM implied volatility averaged 28.0%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 10.7% (HV 20d: 17.3%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2021-07-09: Highest Volume — 6,783 contracts
  • 2021-07-30: Largest IV spike — 160.6% change
  • 2021-07-30: Highest IV Rank — 92.7%
  • 2021-07-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.19$24.72$25.79$24.74$25.45
Max Pain$23.21$22.00$25.00$25.00$24.50
ATM IV28.0%21.7%70.8%23.1%70.8%
Expected Move7.3%5.2%8.2%5.5%8.2%
HV 20d17.3%13.9%20.5%14.4%20.5%
HV 60d18.8%17.9%20.0%18.0%19.4%
IV Rank15.0%3.6%92.7%6.2%92.7%
IV Percentile29.3%7.5%99.6%12.3%99.6%
Term Structure-2.2%-45.9%5.3%5.3%-45.9%
VWIV25.8%17.8%32.4%17.8%32.4%
Skew 25d2.3%-4.5%15.2%2.5%15.2%
Skew 10d1.8%-28.3%24.8%12.8%24.8%
Call IV 25d28.3%17.3%102.7%20.6%102.7%
Put IV 25d30.6%21.6%117.8%23.2%117.8%
Bid-Ask Spread %64.4832.32102.1757.82102.17
Gamma HHI0.270.200.320.320.20
Net GEX2.7M1.1M3.9M1.1M3.6M
Net DEX-25.0M-36.0M-13.1M-13.1M-30.4M
Net VEX-127.9K-142.0K-104.1K-104.1K-142.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.0110.900.020.26
Total Volume1,876.191386,7834,5192,117
Total OI50,103.38136,14257,16636,14257,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$24.74$25.0023.1%5.5%14.4%6.2%17.8%2.5%5.3%1.1M-13.1M-104.1K0.0257.82N/AN/A4,41710228,6387,504
2021-07-02$24.82$25.0021.7%5.2%14.4%3.6%18.2%2.2%4.5%1.6M-15.9M-115.3K0.4186.27N/AN/A1,15047232,9277,557
2021-07-06$24.81$22.0025.9%7.3%14.2%11.3%24.8%2.0%-0.7%1.5M-16.6M-113.1K0.0158.85N/AN/A5,4023733,7997,824
2021-07-07$25.01$22.0027.1%7.3%14.6%13.4%25.7%1.2%-0.9%2.3M-23.2M-131.0K0.0358.34N/AN/A8922838,1187,852
2021-07-08$25.21$22.0026.7%7.7%13.9%12.7%26.9%1.8%-0.8%2.7M-26.6M-136.6K1.3178.38N/AN/A29438438,4817,860
2021-07-09$25.44$22.0026.3%7.5%14.3%11.9%26.0%5.9%-0.2%3.1M-30.1M-139.9K0.1461.59N/AN/A5,94783638,4448,192
2021-07-12$25.18$22.0025.4%7.2%14.4%10.4%25.1%1.0%0.1%3.1M-26.4M-132.3K0.6340.26N/AN/A82652042,9458,283
2021-07-13$24.72$22.0025.7%7.2%15.5%10.8%25.7%0.9%-0.9%2.0M-17.3M-120.0K0.1474.16N/AN/A3314643,5838,727
2021-07-14$24.81$22.0024.8%7.2%15.6%9.3%25.2%1.9%-0.3%2.1M-18.4M-120.7K0.0369.00N/AN/A1,1023743,8018,717
2021-07-15$25.27$22.0026.3%7.5%15.8%12.0%25.3%3.0%-0.3%2.8M-28.6M-133.1K2.4045.59N/AN/A14133844,1058,707
2021-07-16$25.62$22.0024.6%7.2%16.3%8.9%25.7%3.1%1.1%3.8M-34.8M-136.5K0.2265.57N/AN/A68615244,1878,569
2021-07-19$24.77$22.0026.7%7.6%18.9%12.7%26.6%4.5%-0.5%2.2M-19.4M-116.0K0.5977.55N/AN/A1,19771139,1657,435
2021-07-20$25.27$23.0027.1%7.6%20.1%13.5%27.6%2.3%-0.7%3.0M-27.5M-127.7K0.0361.77N/AN/A2,6926940,2138,065
2021-07-21$25.18$23.0027.0%7.7%20.1%13.2%26.0%2.5%-1.9%3.2M-26.8M-125.9K1.7280.11N/AN/A6671,14542,8538,116
2021-07-22$25.01$24.5026.3%7.6%20.1%11.9%26.6%1.0%-2.6%2.8M-22.4M-122.6K10.9079.15N/AN/A3253,54143,1639,223
2021-07-23$25.20$24.5026.0%7.4%20.2%11.4%26.7%1.9%-0.3%2.7M-20.8M-128.7K0.1949.68N/AN/A3646943,39012,699
2021-07-26$25.36$24.5024.3%7.2%20.1%8.3%25.9%4.3%1.2%3.0M-25.8M-131.3K0.1532.32N/AN/A2313443,08111,952
2021-07-27$25.62$24.5027.2%8.1%20.2%13.5%27.9%-4.5%-0.5%3.5M-31.6M-135.9K0.7448.75N/AN/A41630843,33812,016
2021-07-28$25.65$24.5027.3%7.8%19.9%13.8%28.1%-2.5%-1.2%3.6M-34.3M-138.4K1.4185.19N/AN/A51272443,44612,034
2021-07-29$25.79$24.5027.2%7.9%19.9%13.6%28.0%-2.5%0.3%3.9M-36.0M-134.6K0.2741.56N/AN/A1092943,69512,301
2021-07-30$25.45$24.5070.8%8.2%20.5%92.7%32.4%15.2%-45.9%3.6M-30.4M-142.0K0.26102.17N/AN/A1,67744044,16413,002