CNP Options History — March 2022

In March 2022, CNP traded between $26.83 and $30.76. ATM implied volatility averaged 23.3%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.7% (HV 20d: 22.6%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.58.

Notable Days

  • 2022-03-29: Highest Volume — 4,856 contracts
  • 2022-03-22: Largest IV drop — 14.9% change
  • 2022-03-07: Highest IV Rank — 24.8%
  • 2022-03-16: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.13$26.83$30.76$26.83$30.52
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV23.3%17.1%30.7%27.4%19.0%
Expected Move7.4%5.8%11.8%7.9%6.1%
HV 20d22.6%14.5%26.4%21.4%14.6%
HV 60d19.0%18.0%20.4%19.6%18.3%
IV Rank11.1%0.0%24.8%18.7%3.5%
IV Percentile45.1%0.0%96.4%88.1%2.8%
Term Structure1.5%-1.3%4.2%-1.3%2.3%
VWIV25.5%21.0%36.4%26.5%22.9%
Skew 25d3.1%1.2%4.6%3.6%1.2%
Skew 10d10.4%0.5%74.8%0.7%1.4%
Call IV 25d22.5%17.3%27.0%26.8%20.5%
Put IV 25d25.6%19.3%30.8%30.4%21.6%
Bid-Ask Spread %53.6624.78116.7736.4747.33
Gamma HHI0.260.140.390.140.28
Net GEX724.5K287.4K1.2M287.4K1.1M
Net DEX-17.6M-25.6M-8.2M-8.2M-22.4M
Net VEX-93.8K-101.5K-70.0K-87.6K-99.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.292.911.130.46
Total Volume1,965.139434,8569433,218
Total OI17,142.47814,05319,37314,05319,373

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$26.83$27.0027.4%7.9%21.4%18.7%26.5%3.6%-1.3%287.4K-8.2M-87.6K1.1336.47N/AN/A4425019,0594,994
2022-03-02$27.73$27.0024.1%6.9%24.9%12.6%24.1%3.9%0.7%395.3K-11.2M-82.1K0.9125.58N/AN/A5785269,0804,992
2022-03-03$28.16$27.0026.3%7.5%25.2%16.6%26.3%4.6%0.6%412.5K-12.4M-87.2K1.3642.31N/AN/A5837909,1925,006
2022-03-04$28.84$27.0026.8%7.7%26.4%17.6%27.3%2.7%-0.3%374.9K-15.4M-70.0K0.2970.38N/AN/A2,5317449,4055,245
2022-03-07$28.77$27.0030.7%8.8%26.2%24.8%31.6%4.5%0.5%566.6K-16.0M-94.4K0.8678.29N/AN/A1,1651,00711,0535,290
2022-03-08$28.59$27.0028.1%9.1%26.3%19.9%32.2%3.4%0.6%561.1K-16.0M-99.9K1.7583.33N/AN/A5781,00911,5415,563
2022-03-09$28.59$27.0026.3%8.0%26.3%16.7%28.9%2.8%1.2%588.2K-16.0M-98.4K1.9650.85N/AN/A5131,00411,5765,582
2022-03-10$28.65$27.0025.6%8.1%26.3%15.3%25.9%3.4%1.1%601.4K-15.7M-101.5K2.1674.63N/AN/A45698711,5835,605
2022-03-11$28.50$27.0027.5%8.5%24.9%18.9%25.2%2.3%1.1%642.5K-15.9M-93.0K1.9863.20N/AN/A50399611,6145,619
2022-03-14$28.43$27.0028.5%8.0%24.8%20.8%29.5%4.3%-0.3%630.4K-15.1M-95.5K2.3449.26N/AN/A41496811,6285,612
2022-03-15$28.91$27.0024.9%7.4%23.9%14.0%27.7%2.7%1.7%654.5K-17.0M-98.9K2.4849.42N/AN/A4291,06211,6475,631
2022-03-16$28.77$27.0024.1%11.8%23.8%12.5%36.4%2.9%4.2%653.4K-17.1M-95.0K2.37116.77N/AN/A4591,09011,6375,734
2022-03-17$29.11$27.0022.5%6.9%24.0%9.6%23.7%3.3%2.1%774.9K-17.9M-96.1K1.6649.75N/AN/A6241,03311,6315,751
2022-03-18$29.01$27.0020.6%6.6%24.0%6.1%22.4%3.6%2.6%1.2M-17.4M-95.6K0.4549.42N/AN/A2,3941,07011,7355,758
2022-03-21$29.42$27.0021.9%6.6%23.5%8.4%22.7%3.4%1.2%772.4K-18.4M-95.7K1.8948.07N/AN/A5511,03912,0835,542
2022-03-22$29.55$27.0018.6%6.2%22.7%2.3%21.4%2.5%2.5%836.2K-19.0M-98.6K2.4324.78N/AN/A4471,08712,2225,652
2022-03-23$29.62$27.0020.0%6.5%20.5%4.8%23.1%2.0%1.9%830.1K-19.8M-93.7K2.7857.83N/AN/A35297812,3375,738
2022-03-24$29.75$27.0019.4%6.1%20.4%3.7%22.4%2.9%1.7%845.1K-20.1M-97.5K2.9151.60N/AN/A30689012,3705,744
2022-03-25$30.31$27.0019.9%6.1%19.3%4.7%21.0%3.9%1.2%880.2K-22.6M-97.3K1.1844.23N/AN/A82597612,4105,749
2022-03-28$30.33$27.0019.6%6.3%19.3%4.1%22.3%3.6%2.5%959.4K-23.1M-92.9K2.3438.13N/AN/A4781,12012,7615,839
2022-03-29$30.74$27.0017.4%5.9%17.4%0.0%21.3%2.0%3.5%1.0M-25.6M-89.3K0.3039.74N/AN/A3,7441,11212,8855,829
2022-03-30$30.76$27.0017.1%5.8%14.5%0.0%22.2%1.5%3.0%1.0M-23.5M-98.1K0.4242.70N/AN/A2,5561,06313,1415,839
2022-03-31$30.52$27.0019.0%6.1%14.6%3.5%22.9%1.2%2.3%1.1M-22.4M-99.6K0.4647.33N/AN/A2,1971,02113,5205,853