CNP Options History — November 2021

In November 2021, CNP traded between $26.05 and $26.84. ATM implied volatility averaged 22.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 9.0% (HV 20d: 13.2%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.87.

Notable Days

  • 2021-11-17: Highest Volume — 7,176 contracts
  • 2021-11-26: Largest IV spike — 22.1% change
  • 2021-11-01: Highest IV Rank — 16.2%
  • 2021-11-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.52$26.05$26.84$26.26$26.05
Max Pain$26.00$25.00$27.00$25.00$26.00
ATM IV22.2%19.8%26.7%26.7%24.5%
Expected Move6.4%5.7%7.7%7.7%7.0%
HV 20d13.2%10.1%15.7%15.6%14.4%
HV 60d18.4%17.5%18.9%18.8%18.2%
IV Rank8.3%4.2%16.2%16.2%12.3%
IV Percentile18.6%1.6%51.2%51.2%39.7%
Term Structure0.1%-3.4%2.0%-2.8%0.4%
VWIV22.4%20.0%27.1%26.9%24.7%
Skew 25d1.9%0.8%3.4%0.9%1.6%
Skew 10d6.6%-0.8%12.5%2.2%5.1%
Call IV 25d21.6%18.3%26.1%25.9%24.5%
Put IV 25d23.5%21.3%28.2%26.8%26.1%
Bid-Ask Spread %65.3214.6096.6335.1787.00
Gamma HHI0.300.220.560.230.22
Net GEX1.1M608.3K2.0M977.6K608.3K
Net DEX-12.1M-16.3M-7.5M-11.9M-7.5M
Net VEX-87.4K-102.3K-77.4K-85.6K-94.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.436.715.301.03
Total Volume2,913.811,3137,1761,8711,313
Total OI25,056.95221,74527,40724,56824,203

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$26.26$25.0026.7%7.7%15.6%16.2%26.9%0.9%-2.8%977.6K-11.9M-85.6K5.3035.17N/AN/A2971,57414,9949,574
2021-11-02$26.09$25.0026.6%7.6%15.7%16.0%27.1%3.4%-2.9%925.6K-10.7M-84.0K4.6314.60N/AN/A3191,47715,0249,608
2021-11-03$26.26$25.0026.0%7.4%15.3%14.9%26.8%1.4%-3.4%1.0M-11.8M-82.7K4.3789.68N/AN/A3391,48114,9809,619
2021-11-04$26.52$26.0020.6%5.9%15.4%5.5%21.2%2.1%1.4%1.3M-13.6M-80.2K1.8946.54N/AN/A8171,54415,0099,632
2021-11-05$26.60$26.0019.9%5.8%15.4%4.4%21.4%1.7%1.1%1.4M-14.7M-81.5K5.6269.82N/AN/A4172,34315,2839,573
2021-11-08$26.53$26.0021.9%6.3%15.5%7.8%22.4%2.3%0.3%1.4M-13.1M-87.8K5.7068.09N/AN/A4402,50915,30210,480
2021-11-09$26.50$26.0023.0%6.3%14.8%9.7%22.1%1.8%0.9%1.3M-12.8M-86.6K3.5468.08N/AN/A5381,90315,25510,744
2021-11-10$26.54$26.0021.8%6.2%14.8%7.6%22.0%0.9%0.7%1.4M-13.2M-86.3K3.5326.45N/AN/A5331,88115,44810,761
2021-11-11$26.77$26.0021.5%6.2%13.1%7.2%21.1%2.5%0.1%1.8M-14.9M-87.4K6.7124.31N/AN/A2811,88615,47810,799
2021-11-12$26.61$26.0020.4%5.8%13.0%5.2%20.0%1.4%0.9%1.6M-13.8M-83.6K2.5728.92N/AN/A7381,89815,47910,822
2021-11-15$26.84$26.0021.5%6.2%11.6%7.2%20.8%1.7%-0.2%2.0M-15.9M-79.5K3.1085.06N/AN/A6031,87015,50510,840
2021-11-16$26.83$26.0020.9%6.0%11.5%6.2%20.9%0.8%1.2%1.8M-16.3M-77.4K1.0782.95N/AN/A1,7821,90215,53510,835
2021-11-17$26.68$26.0020.8%6.0%10.8%5.8%20.9%3.2%-0.1%1.5M-9.7M-83.0K0.4468.02N/AN/A4,9772,19913,64010,871
2021-11-18$26.41$27.0021.3%6.1%11.4%6.9%20.2%1.9%-0.1%717.3K-9.5M-89.5K0.5192.15N/AN/A4,2632,18016,17711,198
2021-11-19$26.53$27.0020.5%5.9%11.5%5.4%21.3%2.0%0.9%646.8K-9.9M-89.9K0.4392.95N/AN/A4,2791,82116,20911,198
2021-11-22$26.63$27.0019.8%5.7%11.0%4.2%20.6%2.9%2.0%714.4K-10.7M-89.6K1.5772.93N/AN/A9501,49312,1639,582
2021-11-23$26.64$26.0020.7%5.9%10.9%5.7%20.6%1.6%0.7%757.8K-11.3M-94.6K1.7156.14N/AN/A8951,52812,71910,226
2021-11-24$26.76$26.0020.1%5.8%10.1%4.7%20.1%2.9%1.6%819.6K-12.1M-96.5K3.1579.67N/AN/A4561,43813,16110,420
2021-11-26$26.23$26.0024.5%7.0%12.0%12.4%24.8%1.9%0.0%662.1K-8.9M-102.3K1.9396.63N/AN/A6891,33113,25910,548
2021-11-29$26.58$26.0023.2%6.6%12.7%10.1%23.5%1.7%-1.5%775.8K-10.9M-93.7K1.5686.66N/AN/A7851,22113,30210,741
2021-11-30$26.05$26.0024.5%7.0%14.4%12.3%24.7%1.6%0.4%608.3K-7.5M-94.8K1.0387.00N/AN/A64666713,40110,802