CNP Options History — December 2021

In December 2021, CNP traded between $25.96 and $28.10. ATM implied volatility averaged 22.2%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.6% (HV 20d: 21.6%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.73.

Notable Days

  • 2021-12-17: Highest Volume — 2,795 contracts
  • 2021-12-13: Largest IV spike — 29.6% change
  • 2021-12-01: Highest IV Rank — 14.8%
  • 2021-12-01: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.51$25.96$28.10$25.96$28.00
Max Pain$25.14$25.00$26.00$26.00$25.00
ATM IV22.2%19.1%25.9%25.9%19.1%
Expected Move6.3%5.5%7.4%7.4%5.5%
HV 20d21.6%14.2%25.7%14.2%22.3%
HV 60d18.4%17.6%19.4%18.2%17.7%
IV Rank8.3%3.0%14.8%14.8%3.0%
IV Percentile23.1%1.2%51.6%51.6%1.2%
Term Structure1.4%-0.5%3.2%-0.5%2.6%
VWIV22.0%18.5%26.1%25.3%20.0%
Skew 25d2.3%-0.3%4.4%-0.2%3.4%
Skew 10d7.7%1.3%14.9%1.3%9.3%
Call IV 25d21.0%17.5%26.0%26.0%17.5%
Put IV 25d23.4%20.2%28.1%25.8%20.9%
Bid-Ask Spread %37.167.77103.2785.7833.78
Gamma HHI0.290.220.430.220.30
Net GEX1.2M571.2K1.7M571.2K1.7M
Net DEX-19.4M-24.5M-6.9M-6.9M-22.7M
Net VEX-95.6K-105.4K-86.6K-95.6K-88.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.703.451.322.08
Total Volume1,283.3648042,7951,621943
Total OI26,423.27324,28427,22724,28426,598

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$25.96$26.0025.9%7.4%14.2%14.8%25.3%-0.2%-0.5%571.2K-6.9M-95.6K1.3285.78N/AN/A69892313,38210,902
2021-12-02$26.32$26.0025.1%7.2%14.9%13.3%25.2%4.2%1.0%798.4K-10.5M-105.4K1.3698.56N/AN/A66790914,87111,185
2021-12-03$26.81$26.0025.3%7.3%15.9%13.7%26.1%4.4%-0.0%887.0K-13.8M-105.4K0.80103.27N/AN/A95276114,93311,217
2021-12-06$27.78$25.0025.5%7.1%20.2%14.1%25.6%3.5%0.5%968.6K-21.3M-101.3K0.7372.87N/AN/A1,09279715,06711,371
2021-12-07$27.91$25.0022.9%6.5%20.1%9.6%22.9%2.5%0.9%1.1M-22.9M-99.3K1.0915.00N/AN/A69275715,24311,433
2021-12-08$27.71$25.0021.7%6.4%20.4%7.5%22.0%3.2%0.7%1.1M-21.2M-100.6K1.7910.79N/AN/A41373815,38511,434
2021-12-09$27.60$25.0022.2%6.3%20.5%8.3%21.5%2.3%1.1%1.1M-20.5M-102.6K2.0812.07N/AN/A38580015,36311,441
2021-12-10$27.85$25.0019.5%6.0%20.5%3.7%21.7%1.6%1.3%1.1M-22.6M-97.0K1.5918.00N/AN/A50179815,35811,563
2021-12-13$28.10$25.0025.3%6.5%20.4%13.8%21.6%3.4%1.0%1.1M-24.4M-93.1K2.2313.83N/AN/A30768515,44611,593
2021-12-14$27.74$25.0025.1%6.3%21.0%13.3%22.5%2.1%1.4%1.2M-22.2M-94.9K2.4013.57N/AN/A30172315,46111,626
2021-12-15$28.06$25.0021.7%6.2%21.3%7.5%22.8%2.4%1.7%1.1M-24.5M-94.0K2.4995.27N/AN/A27067315,45511,704
2021-12-16$27.99$25.0021.3%6.1%21.2%6.9%20.9%2.2%2.4%1.2M-24.3M-91.9K3.4537.57N/AN/A4071,40515,46211,765
2021-12-17$26.94$25.0022.0%6.3%25.3%8.1%23.2%-0.3%1.7%1.4M-14.9M-99.8K1.6985.41N/AN/A1,0401,75515,55211,362
2021-12-20$26.93$25.0023.5%6.7%25.3%10.6%23.5%2.8%1.4%1.1M-13.7M-95.8K0.7030.60N/AN/A94966014,86810,576
2021-12-21$27.25$25.0022.2%6.4%25.6%8.3%21.7%1.9%0.9%1.3M-17.0M-95.0K1.8613.05N/AN/A39072415,47010,607
2021-12-22$27.46$25.0021.2%6.1%25.7%6.7%20.9%2.4%1.2%1.4M-18.4M-94.0K1.6113.26N/AN/A32953115,51110,636
2021-12-23$27.55$25.0019.1%5.5%25.7%3.0%19.5%1.8%3.2%1.5M-19.2M-94.0K1.417.77N/AN/A37252515,54010,675
2021-12-27$27.55$25.0019.7%5.7%24.4%4.0%19.0%2.1%2.6%1.5M-19.3M-90.4K1.599.27N/AN/A32150915,57510,677
2021-12-28$27.81$25.0020.4%5.8%24.2%5.2%20.0%1.8%1.7%1.5M-21.3M-89.8K1.679.70N/AN/A30150315,59710,682
2021-12-29$27.95$25.0019.6%5.6%22.7%3.8%18.5%1.6%1.6%1.6M-22.9M-86.6K2.1624.60N/AN/A26056115,61810,683
2021-12-30$27.92$25.0019.6%5.6%22.7%3.8%18.9%1.7%2.4%1.6M-22.2M-89.6K2.0413.46N/AN/A29860915,62310,802
2021-12-31$28.00$25.0019.1%5.5%22.3%3.0%20.0%3.4%2.6%1.7M-22.7M-88.0K2.0833.78N/AN/A30663715,67710,921