CNP Options History — October 2022

In October 2022, CNP traded between $25.64 and $29.37. ATM implied volatility averaged 32.6%, placing in the 84.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.5% (HV 20d: 34.0%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2022-10-12: Highest Volume — 2,961 contracts
  • 2022-10-06: Largest IV spike — 11.6% change
  • 2022-10-06: Highest IV Rank — 100.0%
  • 2022-10-12: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.32$25.64$29.37$28.84$28.55
Max Pain$29.62$28.00$32.00$30.00$28.00
ATM IV32.6%28.6%36.9%28.6%31.5%
Expected Move9.4%8.2%10.6%8.2%9.0%
HV 20d34.0%29.0%38.0%29.7%34.5%
HV 60d25.8%22.0%27.6%22.0%27.6%
IV Rank84.7%61.8%100.0%79.2%72.7%
IV Percentile96.9%90.1%100.0%94.4%94.8%
Term Structure-3.0%-5.0%2.1%2.1%-5.0%
VWIV32.0%27.3%39.4%28.2%32.8%
Skew 25d5.6%4.3%7.0%5.5%5.3%
Skew 10d12.6%7.8%18.7%14.6%8.0%
Call IV 25d30.0%25.9%33.7%27.0%28.9%
Put IV 25d35.6%31.3%39.5%32.5%34.2%
Bid-Ask Spread %35.3922.8352.9531.0252.95
Gamma HHI0.150.120.220.200.13
Net GEX24.5K-229.2K290.8K242.4K270.2K
Net DEX-553.5K-6.6M4.4M-5.0M-6.0M
Net VEX-61.2K-68.7K-55.8K-68.7K-59.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.472.360.660.92
Total Volume1,344.3336962,9611,287802
Total OI21,725.71419,10623,53519,10623,535

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$28.84$30.0028.6%8.2%29.7%79.2%28.2%5.5%2.1%242.4K-5.0M-68.7K0.6631.02N/AN/A77751011,1147,992
2022-10-04$29.37$30.0029.1%8.4%30.7%82.5%28.2%5.3%-0.0%268.9K-5.4M-63.6K1.2148.77N/AN/A44053111,1248,032
2022-10-05$28.78$30.0028.8%8.3%29.0%80.1%28.3%4.8%1.1%204.4K-3.9M-65.9K0.7130.00N/AN/A69849911,1408,060
2022-10-06$27.36$32.0032.1%9.5%32.9%100.0%34.8%6.3%-4.9%85.5K-348.4K-59.5K0.8042.97N/AN/A63250411,3088,059
2022-10-07$26.74$31.0031.1%9.4%32.5%93.5%35.4%6.2%-3.1%46.9K967.1K-60.9K2.3632.89N/AN/A6641,56811,4408,137
2022-10-10$26.80$32.0033.3%10.0%32.4%100.0%38.5%7.0%-4.7%-28.4K1.6M-60.7K1.5930.26N/AN/A9871,56611,4159,142
2022-10-11$26.68$32.0035.2%10.4%31.9%100.0%38.1%6.4%-4.6%-19.6K1.6M-63.3K1.4623.91N/AN/A1,0041,46611,6189,142
2022-10-12$25.64$32.0036.9%10.6%32.0%100.0%39.4%5.8%-4.5%-122.1K4.3M-59.4K2.2122.83N/AN/A9222,03911,6109,162
2022-10-13$26.12$31.0035.7%10.2%33.6%94.0%35.4%6.4%-4.4%-195.1K3.8M-62.5K0.9139.24N/AN/A62356511,62410,542
2022-10-14$25.86$31.0035.2%10.1%33.4%91.4%31.9%6.6%-4.3%-229.2K4.4M-62.3K0.7423.18N/AN/A68850711,72910,588
2022-10-17$26.30$31.0036.0%10.3%33.8%95.4%32.7%5.2%-4.2%-191.8K3.2M-61.2K0.4836.41N/AN/A99247411,76710,612
2022-10-18$26.93$28.0034.3%9.8%35.9%87.0%29.7%6.2%-3.7%-57.0K1.0M-63.2K1.1036.04N/AN/A39543412,43910,653
2022-10-19$26.99$28.0034.1%9.8%36.0%85.9%29.3%5.7%-4.6%-43.4K811.6K-62.5K1.0933.90N/AN/A39042612,48610,675
2022-10-20$26.46$28.0033.9%9.7%36.2%85.0%31.2%5.5%-1.5%-139.9K2.2M-61.3K1.1433.12N/AN/A39745112,51410,686
2022-10-21$27.10$28.0033.1%9.5%38.0%80.5%32.0%5.6%-3.3%-76.3K305.4K-60.0K0.7744.23N/AN/A70654412,53110,706
2022-10-24$27.17$28.0033.6%9.6%37.4%83.4%31.1%6.0%-3.3%-40.8K-275.5K-60.1K1.0837.74N/AN/A33436211,86310,662
2022-10-25$27.71$28.0030.8%8.8%37.9%69.3%31.7%5.1%-1.9%42.6K-2.2M-58.6K1.2829.97N/AN/A41553211,93210,669
2022-10-26$27.69$28.0030.5%8.7%37.5%67.8%27.9%4.6%-2.1%55.5K-2.3M-55.8K0.6032.71N/AN/A85651612,00710,762
2022-10-27$27.98$28.0030.6%8.8%34.4%68.1%27.3%4.5%-3.4%150.0K-3.7M-56.7K0.4731.50N/AN/A70933412,48810,776
2022-10-28$28.75$28.0029.3%8.4%35.0%61.8%28.9%4.3%-2.0%290.8K-6.6M-59.2K0.5949.61N/AN/A61236012,72310,776
2022-10-31$28.55$28.0031.5%9.0%34.5%72.7%32.8%5.3%-5.0%270.2K-6.0M-59.4K0.9252.95N/AN/A41838412,75310,782