CNP Options History — January 2022

In January 2022, CNP traded between $27.05 and $28.25. ATM implied volatility averaged 22.8%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 7.8% (HV 20d: 15.0%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2022-01-19: Highest Volume — 3,975 contracts
  • 2022-01-18: Largest IV spike — 14.2% change
  • 2022-01-27: Highest IV Rank — 17.7%
  • 2022-01-27: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.50$27.05$28.25$27.52$28.25
Max Pain$26.70$25.00$27.00$25.00$27.00
ATM IV22.8%18.9%27.6%20.4%23.8%
Expected Move6.6%5.5%7.9%5.8%6.8%
HV 20d15.0%10.4%22.7%22.7%14.0%
HV 60d17.2%16.8%18.0%18.0%17.3%
IV Rank9.4%2.7%17.7%5.1%11.1%
IV Percentile34.9%1.2%80.6%7.1%44.8%
Term Structure0.7%-1.6%2.4%1.5%0.3%
VWIV22.8%19.8%26.7%20.5%23.7%
Skew 25d2.8%0.6%4.5%2.1%3.3%
Skew 10d8.2%0.1%14.2%2.6%5.3%
Call IV 25d21.8%19.8%25.4%20.2%22.4%
Put IV 25d24.6%21.3%29.4%22.3%25.7%
Bid-Ask Spread %48.4510.8089.3446.8462.00
Gamma HHI0.340.180.590.330.20
Net GEX1.5M418.9K2.3M1.7M680.6K
Net DEX-18.5M-24.8M-10.2M-19.0M-15.9M
Net VEX-88.9K-99.0K-76.4K-84.2K-91.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.161.531.530.77
Total Volume1,585.259063,9759061,333
Total OI24,835.0516,50829,36026,71217,606

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$27.52$25.0020.4%5.8%22.7%5.1%20.5%2.1%1.5%1.7M-19.0M-84.2K1.5346.84N/AN/A35854815,67811,034
2022-01-04$27.52$25.0019.3%5.5%18.7%3.2%19.8%1.0%2.1%1.7M-19.2M-83.6K0.9963.67N/AN/A57557115,76011,094
2022-01-05$27.50$25.0020.1%5.7%18.6%4.6%20.0%0.6%2.4%1.8M-18.3M-83.5K1.0539.72N/AN/A55858515,61711,100
2022-01-06$27.66$27.0020.2%6.3%18.6%4.8%21.7%3.6%0.7%1.8M-20.1M-82.1K0.9421.06N/AN/A60156715,67011,107
2022-01-07$27.75$27.0018.9%6.2%18.6%2.7%21.6%1.9%1.7%2.0M-21.6M-81.8K1.1433.31N/AN/A55062615,77411,135
2022-01-10$27.69$27.0020.8%6.3%18.3%5.8%22.5%2.9%1.6%2.0M-20.2M-78.6K0.2123.99N/AN/A3,02863115,79811,235
2022-01-11$27.41$27.0020.2%6.1%18.3%4.8%21.4%2.6%1.7%2.1M-22.4M-99.0K0.5045.63N/AN/A1,51675218,11311,247
2022-01-12$27.41$27.0021.3%6.1%17.8%6.8%21.4%1.3%1.8%2.1M-21.8M-97.3K0.8543.12N/AN/A79667317,75911,358
2022-01-13$27.58$27.0021.4%6.1%17.4%7.0%21.4%3.0%1.7%2.1M-24.8M-76.4K0.6624.58N/AN/A82154117,75911,360
2022-01-14$27.58$27.0021.6%6.2%17.4%7.3%22.1%2.5%0.9%2.2M-23.3M-97.9K0.6556.51N/AN/A84254517,80211,368
2022-01-18$27.36$27.0024.6%7.1%10.8%12.6%23.6%2.3%-1.1%2.1M-21.2M-90.7K0.5210.80N/AN/A99151417,82011,363
2022-01-19$27.42$27.0023.6%6.8%10.8%10.9%22.8%2.6%-0.1%2.3M-22.2M-89.4K0.1660.51N/AN/A3,43554017,98111,367
2022-01-20$27.18$27.0022.9%6.6%10.5%9.6%21.7%2.9%0.4%2.1M-18.8M-89.3K0.6142.51N/AN/A1,04763817,32211,419
2022-01-21$27.35$27.0024.7%7.1%10.4%12.7%23.4%3.6%-0.3%1.5M-21.7M-91.0K0.5264.44N/AN/A1,15359917,43111,519
2022-01-24$27.05$27.0026.9%7.7%10.9%16.5%26.3%4.3%0.1%418.9K-10.2M-90.4K0.8974.04N/AN/A70962910,1756,333
2022-01-25$27.37$27.0027.5%7.9%11.8%17.5%26.7%4.0%-0.8%472.7K-11.7M-92.8K0.9677.81N/AN/A56354310,4336,365
2022-01-26$27.26$27.0026.9%7.7%11.3%16.5%25.9%4.5%-0.3%526.5K-11.4M-92.2K1.1289.34N/AN/A54561210,5796,381
2022-01-27$27.41$27.0027.6%7.9%11.4%17.7%25.9%3.8%-1.6%581.3K-11.8M-95.1K1.3245.24N/AN/A46060710,7906,560
2022-01-28$27.71$27.0024.0%6.9%12.1%11.5%24.2%3.8%0.4%637.1K-13.5M-90.7K1.1643.98N/AN/A51159210,8686,621
2022-01-31$28.25$27.0023.8%6.8%14.0%11.1%23.7%3.3%0.3%680.6K-15.9M-91.5K0.7762.00N/AN/A75258110,9646,642