CNP Options History — October 2021

In October 2021, CNP traded between $24.95 and $26.85. ATM implied volatility averaged 25.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.7% (HV 20d: 20.3%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2021-10-22: Highest Volume — 2,793 contracts
  • 2021-10-11: Largest IV spike — 25.1% change
  • 2021-10-13: Highest IV Rank — 16.3%
  • 2021-10-05: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.09$24.95$26.85$24.95$26.02
Max Pain$25.05$25.00$26.00$25.00$25.00
ATM IV25.0%20.9%26.8%24.9%24.7%
Expected Move7.4%6.7%8.3%7.1%7.1%
HV 20d20.3%17.3%24.0%22.5%17.5%
HV 60d19.4%18.3%20.7%20.1%18.8%
IV Rank13.2%6.1%16.3%13.0%12.8%
IV Percentile35.7%7.1%47.6%34.9%35.3%
Term Structure-1.7%-3.5%3.0%3.0%-1.6%
VWIV25.9%23.9%29.3%24.8%24.7%
Skew 25d2.6%0.3%5.7%0.5%2.1%
Skew 10d9.1%0.5%19.8%3.5%0.5%
Call IV 25d24.8%22.7%26.7%25.0%23.9%
Put IV 25d27.4%25.2%31.4%25.5%26.0%
Bid-Ask Spread %21.1211.1462.2027.0514.60
Gamma HHI0.230.180.350.210.21
Net GEX1.1M735.4K1.9M790.2K885.6K
Net DEX-12.7M-22.1M-5.9M-5.9M-10.2M
Net VEX-91.9K-101.6K-85.2K-96.1K-85.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.004.600.333.94
Total Volume1,156.238902,7934242,007
Total OI26,441.90522,88729,08128,66124,618

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$24.95$25.0024.9%7.1%22.5%13.0%24.8%0.5%3.0%790.2K-5.9M-96.1K0.3327.05N/AN/A32010418,9609,701
2021-10-04$25.57$25.0026.0%7.9%24.0%14.9%27.9%5.2%-1.7%1.2M-10.4M-98.8K1.0019.24N/AN/A43243118,2999,301
2021-10-05$25.45$25.0026.0%8.3%24.0%15.0%29.3%3.9%-2.9%1.2M-9.9M-99.0K0.2521.53N/AN/A1904818,5429,386
2021-10-06$25.76$25.0023.9%8.0%22.5%11.3%27.7%5.7%-3.5%1.4M-12.4M-101.6K0.2319.84N/AN/A2014718,8469,748
2021-10-07$25.62$25.0023.3%7.7%22.4%10.3%26.6%2.7%-2.2%1.3M-11.2M-99.6K0.2825.51N/AN/A39511018,8209,795
2021-10-08$25.57$25.0020.9%7.7%22.2%6.1%27.3%3.0%-2.4%1.3M-9.9M-97.2K0.4012.98N/AN/A883518,8899,796
2021-10-11$25.59$25.0026.2%7.8%22.1%15.3%28.1%3.0%-2.3%1.3M-10.0M-94.1K1.2511.14N/AN/A405019,0279,879
2021-10-12$25.95$25.0026.5%7.6%22.1%15.7%27.3%3.4%-1.5%1.7M-13.8M-94.6K0.1118.03N/AN/A2252519,0499,894
2021-10-13$25.95$25.0026.8%7.7%19.5%16.3%25.8%3.6%-2.4%1.9M-13.7M-91.7K0.0011.79N/AN/A222119,0519,929
2021-10-14$26.51$25.0025.2%7.2%19.6%13.6%25.1%3.7%-1.2%1.5M-20.6M-90.0K0.0323.31N/AN/A4891519,1499,932
2021-10-15$26.71$25.0024.9%7.1%18.8%13.0%25.0%2.4%-1.6%862.4K-22.1M-88.3K0.9916.60N/AN/A81380719,0419,931
2021-10-18$26.24$25.0026.2%7.5%20.1%15.4%25.5%2.0%-2.2%789.7K-11.4M-88.1K0.9416.51N/AN/A38536213,8779,010
2021-10-19$26.20$26.0025.9%7.4%20.1%14.7%25.0%2.9%-2.2%735.4K-10.1M-89.2K1.3618.18N/AN/A16822914,0329,736
2021-10-20$26.56$25.0024.3%7.0%19.6%12.0%24.9%2.6%-0.8%864.5K-13.1M-88.0K2.7662.20N/AN/A6541,80714,1299,511
2021-10-21$26.52$25.0025.5%7.3%19.5%14.1%25.3%0.9%-1.9%894.2K-13.2M-88.0K2.7620.54N/AN/A5861,62014,0949,474
2021-10-22$26.60$25.0023.3%6.7%18.5%10.3%25.0%2.7%-0.3%973.2K-13.5M-85.2K1.3617.76N/AN/A1,1851,60814,2179,523
2021-10-25$26.85$25.0024.3%7.0%18.7%12.1%24.3%1.1%-1.4%1.1M-16.1M-89.0K2.1828.88N/AN/A7221,57514,8049,534
2021-10-26$26.72$25.0025.8%7.4%17.3%14.5%25.0%1.6%-2.8%1.0M-15.5M-91.2K4.6019.39N/AN/A3481,60014,9889,521
2021-10-27$26.41$25.0025.6%7.3%18.1%14.3%24.4%0.3%-2.1%1.0M-13.3M-88.3K2.1624.64N/AN/A7411,59915,0589,564
2021-10-28$26.17$25.0024.8%7.1%17.3%12.8%23.9%1.8%-1.3%937.0K-11.2M-86.3K3.6813.77N/AN/A4271,57015,0209,605
2021-10-29$26.02$25.0024.7%7.1%17.5%12.8%24.7%2.1%-1.6%885.6K-10.2M-85.2K3.9414.60N/AN/A4061,60115,0179,601