CNP Options History — September 2021

In September 2021, CNP traded between $24.41 and $26.61. ATM implied volatility averaged 24.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.8% (HV 20d: 20.4%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2021-09-14: Highest Volume — 5,522 contracts
  • 2021-09-07: Largest IV spike — 33.8% change
  • 2021-09-30: Highest IV Rank — 22.8%
  • 2021-09-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.40$24.41$26.61$25.52$24.76
Max Pain$25.19$24.00$26.00$25.00$25.00
ATM IV24.2%17.4%30.5%21.1%30.5%
Expected Move6.7%5.2%7.9%5.2%7.2%
HV 20d20.4%16.4%23.1%17.8%22.5%
HV 60d18.7%17.5%20.1%17.6%20.1%
IV Rank11.8%0.0%22.8%5.1%22.8%
IV Percentile28.1%0.0%61.1%7.9%61.1%
Term Structure2.4%-1.5%7.5%0.3%3.6%
VWIV23.4%18.6%28.5%18.6%25.0%
Skew 25d2.7%-0.5%4.8%-0.5%3.0%
Skew 10d6.0%-1.1%15.9%-1.1%10.4%
Call IV 25d22.5%18.1%25.8%21.5%25.3%
Put IV 25d25.1%20.9%30.5%20.9%28.3%
Bid-Ask Spread %36.8815.7369.8368.3918.02
Gamma HHI0.250.180.400.230.19
Net GEX955.0K394.8K1.7M432.7K732.4K
Net DEX-9.0M-18.1M-1.2M-6.5M-4.8M
Net VEX-89.2K-99.5K-80.7K-82.3K-95.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.011.030.090.29
Total Volume1,238.7141895,5221,928189
Total OI26,390.14322,96629,45822,96628,268

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$25.52$25.0021.1%5.2%17.8%5.1%18.6%-0.5%0.3%432.7K-6.5M-82.3K0.0968.39N/AN/A1,77115712,75710,209
2021-09-02$25.72$26.0021.4%6.2%16.5%5.6%22.3%0.5%-0.1%641.2K-7.7M-80.7K0.0443.62N/AN/A1,0213812,80010,416
2021-09-03$25.97$25.0017.4%6.1%16.4%0.0%21.4%2.8%7.5%1.3M-12.0M-85.6K0.1824.19N/AN/A3045614,35710,404
2021-09-07$25.84$25.0023.3%6.2%16.4%10.2%21.7%1.4%-1.5%1.1M-11.3M-86.5K0.8021.34N/AN/A31224915,01710,106
2021-09-08$26.51$25.0021.6%5.7%18.9%7.3%20.7%4.0%-0.8%1.4M-17.3M-86.7K0.2152.13N/AN/A1,39328715,03110,146
2021-09-09$26.61$25.0021.5%6.2%18.8%7.1%22.1%2.7%3.3%1.3M-18.1M-84.8K0.0859.56N/AN/A7976715,22310,363
2021-09-10$26.34$26.0021.6%6.2%19.1%7.4%21.7%2.4%4.3%1.5M-16.3M-90.4K0.6222.19N/AN/A29018116,03610,599
2021-09-13$26.16$26.0023.0%6.6%19.1%9.7%23.9%3.4%2.5%1.7M-15.3M-90.3K0.2930.68N/AN/A1,37840116,3829,619
2021-09-14$25.76$26.0022.6%6.5%19.8%9.0%22.0%3.0%2.5%1.5M-10.7M-86.2K0.0155.48N/AN/A5,4517116,3889,786
2021-09-15$25.06$26.0023.5%6.7%21.7%10.6%22.1%2.0%3.0%657.1K-4.3M-85.8K0.7869.83N/AN/A58245217,36210,118
2021-09-16$24.69$26.0022.9%6.6%21.9%9.5%22.9%1.7%3.6%564.7K-2.4M-88.7K0.8820.34N/AN/A36331819,17110,161
2021-09-17$24.41$25.0024.8%7.1%21.6%12.9%24.0%2.7%2.4%394.8K-1.2M-85.3K0.7333.22N/AN/A22616419,5259,933
2021-09-20$24.72$25.0027.6%7.9%21.5%17.7%28.5%4.7%0.7%539.3K-4.8M-89.4K0.4017.84N/AN/A1,07242916,7918,078
2021-09-21$24.93$25.0025.9%7.4%21.9%14.8%26.7%4.3%2.2%601.8K-5.8M-90.8K0.2843.82N/AN/A96127216,8808,173
2021-09-22$24.61$25.0024.4%7.0%21.7%12.1%24.4%3.4%3.4%721.8K-4.7M-91.2K0.2162.39N/AN/A50810918,3898,508
2021-09-23$24.86$24.0025.1%7.1%22.1%13.4%26.2%2.8%2.3%1.0M-6.9M-91.6K0.0350.32N/AN/A1,4995119,0238,541
2021-09-24$25.36$24.0024.1%6.7%22.7%11.7%22.8%2.6%3.9%1.1M-12.3M-95.5K0.3528.97N/AN/A61421319,3138,584
2021-09-27$25.46$25.0028.8%7.0%22.4%19.8%23.2%2.1%2.3%1.1M-10.7M-95.0K0.4516.82N/AN/A1,54969418,1858,437
2021-09-28$25.01$25.0028.9%7.5%23.1%20.0%26.2%1.7%2.8%856.5K-7.1M-91.3K1.0315.73N/AN/A21121818,4418,598
2021-09-29$25.15$25.0029.1%7.4%22.7%20.4%25.1%4.8%2.3%963.9K-8.2M-99.5K0.3719.53N/AN/A80129418,8329,243
2021-09-30$24.76$25.0030.5%7.2%22.5%22.8%25.0%3.0%3.6%732.4K-4.8M-95.3K0.2918.02N/AN/A1474218,8239,445