CNP Options History — September 2022

In September 2022, CNP traded between $28.32 and $33.06. ATM implied volatility averaged 24.5%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.9% (HV 20d: 20.6%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2022-09-07: Highest Volume — 1,893 contracts
  • 2022-09-12: Largest IV spike — 32.7% change
  • 2022-09-29: Highest IV Rank — 93.9%
  • 2022-09-29: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.60$28.32$33.06$31.79$28.32
Max Pain$30.00$28.00$31.00$31.00$30.00
ATM IV24.5%17.7%30.8%22.1%30.1%
Expected Move7.0%5.8%8.8%6.3%8.6%
HV 20d20.6%16.0%28.5%16.1%28.5%
HV 60d22.3%19.1%26.4%26.4%21.7%
IV Rank50.8%4.1%93.9%34.1%89.2%
IV Percentile56.5%0.8%99.6%36.5%97.6%
Term Structure1.3%-0.2%2.7%0.9%1.5%
VWIV25.5%20.3%33.4%23.5%27.8%
Skew 25d4.7%3.3%8.0%4.6%4.6%
Skew 10d10.2%4.5%17.9%9.2%9.8%
Call IV 25d22.6%18.8%29.0%21.1%28.1%
Put IV 25d27.2%22.4%34.2%25.7%32.8%
Bid-Ask Spread %60.4831.29103.6763.0537.58
Gamma HHI0.320.180.440.280.18
Net GEX691.1K157.2K1.0M736.2K157.2K
Net DEX-14.7M-20.6M-2.7M-16.1M-2.7M
Net VEX-74.7K-80.3K-64.4K-77.3K-64.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.040.910.410.42
Total Volume799.619451,893451,605
Total OI19,052.1918,78919,64118,78919,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$31.79$31.0022.1%6.3%16.1%34.1%23.5%4.6%0.9%736.2K-16.1M-77.3K0.4163.05N/AN/A321311,0237,766
2022-09-02$31.74$31.0021.7%6.2%16.1%32.0%21.1%3.3%0.5%741.9K-15.9M-77.6K0.91103.67N/AN/A433911,0367,763
2022-09-06$31.77$28.0022.7%6.6%16.0%38.7%33.4%4.0%1.6%767.1K-15.8M-75.8K0.2785.89N/AN/A1,27134811,0517,776
2022-09-07$32.63$28.0020.6%6.1%17.9%24.2%22.3%4.1%2.1%895.4K-20.0M-72.5K0.2548.18N/AN/A1,51138211,1727,796
2022-09-08$32.59$28.0019.2%6.0%18.0%14.8%22.1%3.3%2.6%933.8K-19.5M-77.8K0.2245.75N/AN/A55912311,3317,852
2022-09-09$32.90$30.0017.7%5.8%17.9%4.1%23.6%3.7%2.7%916.3K-20.0M-73.1K0.3853.94N/AN/A1907310,8787,962
2022-09-12$33.06$30.0023.4%6.0%17.0%43.6%20.3%3.7%1.9%907.1K-20.6M-72.3K0.1270.37N/AN/A2462910,9028,015
2022-09-13$32.20$30.0027.0%6.4%19.3%68.0%26.9%4.5%2.6%820.9K-16.8M-72.4K0.3876.64N/AN/A92035411,0538,041
2022-09-14$32.76$30.0022.4%6.4%20.2%36.3%20.4%5.3%1.2%1.0M-18.4M-80.3K0.0434.01N/AN/A4762111,1238,058
2022-09-15$32.07$30.0023.4%6.7%21.3%43.1%22.4%5.9%2.3%824.1K-16.6M-77.0K0.1631.29N/AN/A1532411,5628,079
2022-09-16$32.06$30.0024.5%7.0%21.2%51.0%23.6%4.8%1.0%978.0K-16.4M-75.7K0.2679.52N/AN/A1,46638811,5368,080
2022-09-19$32.47$30.0023.8%6.8%21.7%46.2%23.4%3.9%1.2%708.8K-17.8M-77.2K0.4345.00N/AN/A1295611,0607,764
2022-09-20$32.02$30.0023.8%6.8%21.1%46.0%23.8%4.3%2.1%670.8K-15.9M-76.1K0.6835.77N/AN/A604111,1477,818
2022-09-21$31.95$31.0023.5%6.7%21.1%44.2%22.8%4.2%1.8%667.5K-15.9M-75.2K0.5291.95N/AN/A311611,1777,856
2022-09-22$31.85$31.0024.0%6.9%20.9%47.3%25.2%4.6%1.4%661.5K-14.6M-79.2K0.2861.72N/AN/A832311,1927,866
2022-09-23$31.55$30.0025.5%7.3%21.1%57.9%24.7%4.7%0.3%602.3K-14.0M-76.5K0.5873.86N/AN/A1237111,2437,871
2022-09-26$30.69$31.0028.9%8.3%22.7%80.7%32.7%8.0%-0.2%473.0K-10.5M-77.0K0.3464.12N/AN/A1,00334611,2407,891
2022-09-27$29.97$31.0030.1%8.6%23.4%88.9%30.4%5.3%-0.2%377.3K-8.2M-71.1K0.3254.19N/AN/A1,17237011,1317,895
2022-09-28$30.29$30.0029.0%8.3%23.4%81.7%32.3%5.7%0.4%418.3K-9.1M-71.3K0.4447.39N/AN/A1,08047711,0657,888
2022-09-29$28.91$30.0030.8%8.8%28.2%93.9%31.8%5.2%0.7%242.0K-4.7M-69.6K0.4866.19N/AN/A97447111,0777,997
2022-09-30$28.32$30.0030.1%8.6%28.5%89.2%27.8%4.6%1.5%157.2K-2.7M-64.4K0.4237.58N/AN/A1,13047511,0707,993