CNP Options History — November 2022

In November 2022, CNP traded between $27.93 and $31.09. ATM implied volatility averaged 24.7%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.4% (HV 20d: 25.1%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2022-11-15: Highest Volume — 5,302 contracts
  • 2022-11-28: Largest IV spike — 15.7% change
  • 2022-11-08: Highest IV Rank — 64.0%
  • 2022-11-01: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.39$27.93$31.09$28.38$31.09
Max Pain$28.19$28.00$29.00$28.00$29.00
ATM IV24.7%19.6%29.8%29.4%22.6%
Expected Move7.0%5.6%8.4%8.4%6.5%
HV 20d25.1%21.7%33.8%33.8%22.2%
HV 60d28.5%27.4%29.4%27.6%29.4%
IV Rank38.7%12.6%64.0%62.0%27.6%
IV Percentile55.0%11.1%90.5%89.7%34.9%
Term Structure-0.1%-3.3%1.1%-3.3%-1.0%
VWIV24.6%16.6%29.6%29.6%21.1%
Skew 25d4.6%3.3%5.5%4.2%5.5%
Skew 10d11.5%2.6%44.6%2.6%3.4%
Call IV 25d22.5%18.3%26.1%25.9%20.3%
Put IV 25d27.0%22.2%30.1%30.1%25.8%
Bid-Ask Spread %54.3715.99104.9473.9489.56
Gamma HHI0.190.150.360.150.18
Net GEX505.0K239.4K962.6K316.0K962.6K
Net DEX-11.3M-28.3M-3.5M-5.7M-28.2M
Net VEX-68.7K-121.2K-44.5K-53.4K-118.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.031.610.580.03
Total Volume1,368.048205,30293576
Total OI24,436.1919,73228,66323,58326,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$28.38$28.0029.4%8.4%33.8%62.0%29.6%4.2%-3.3%316.0K-5.7M-53.4K0.5873.94N/AN/A59134412,75610,827
2022-11-02$28.16$28.0028.2%8.1%33.2%56.1%28.2%3.7%-2.0%247.6K-4.9M-54.2K1.4424.46N/AN/A34850212,87310,830
2022-11-03$28.03$28.0027.5%7.3%27.7%52.7%26.0%4.1%0.4%258.1K-4.2M-55.0K1.6138.42N/AN/A30749312,85910,924
2022-11-04$28.41$28.0027.0%7.4%26.4%50.1%26.8%4.7%0.9%314.9K-5.4M-51.8K1.1557.35N/AN/A33037812,87410,986
2022-11-07$27.93$28.0027.4%7.5%27.4%51.9%27.5%4.8%0.1%239.4K-3.5M-52.7K1.4538.87N/AN/A29042012,92911,006
2022-11-08$28.30$28.0029.8%7.6%27.5%64.0%26.7%4.9%0.4%317.8K-4.7M-54.1K1.1540.51N/AN/A35240412,92511,024
2022-11-09$28.22$28.0028.0%8.0%22.6%55.2%28.4%4.4%-0.4%271.7K-4.0M-51.2K1.42104.94N/AN/A33848012,93311,045
2022-11-10$29.37$28.0024.4%7.0%25.4%37.1%24.9%5.3%0.5%474.3K-9.0M-50.4K0.9758.04N/AN/A52150712,93511,028
2022-11-11$29.16$28.0024.0%6.9%25.2%34.8%24.2%4.5%0.7%462.9K-8.5M-44.5K1.0673.63N/AN/A47850512,84411,049
2022-11-14$29.26$28.0024.6%7.1%24.9%38.1%24.5%4.7%-0.1%488.1K-8.6M-48.9K0.5159.79N/AN/A1,72888712,87511,081
2022-11-15$29.10$28.0024.4%7.0%24.2%36.9%27.3%5.0%0.0%340.1K-6.8M-49.8K1.0254.00N/AN/A2,6302,67213,03511,460
2022-11-16$29.49$28.0025.1%7.2%24.4%40.3%22.3%4.8%-0.4%553.7K-7.5M-63.6K1.53103.62N/AN/A1,4822,27314,96713,301
2022-11-17$29.13$28.0025.1%7.2%23.6%40.3%25.0%4.5%-1.2%374.9K-4.9M-68.8K0.8464.20N/AN/A1,4301,20615,14713,289
2022-11-18$29.71$28.0022.5%6.4%23.2%27.3%24.0%4.6%0.3%736.2K-8.6M-68.2K0.2925.42N/AN/A1,47142015,39713,266
2022-11-21$29.91$28.0021.5%6.2%23.2%22.3%23.1%5.5%0.8%436.9K-12.3M-66.0K0.8334.48N/AN/A47239011,0308,702
2022-11-22$30.42$28.0022.2%6.4%22.9%25.8%22.1%3.3%0.5%513.8K-15.0M-68.1K1.0815.99N/AN/A43847111,1928,728
2022-11-23$30.75$28.0019.6%5.6%22.9%12.6%20.1%3.6%0.8%551.0K-16.3M-62.4K0.2237.57N/AN/A2,35052411,2568,801
2022-11-25$31.05$29.0020.1%5.7%22.9%15.1%16.6%3.9%1.1%950.6K-28.3M-119.5K0.1865.16N/AN/A17317,2598,936
2022-11-28$30.86$29.0023.2%6.6%21.7%30.9%25.0%4.3%-0.7%911.5K-26.4M-121.2K0.2216.64N/AN/A982217,2618,936
2022-11-29$30.55$29.0023.2%6.6%21.9%30.7%23.0%5.3%-0.6%882.4K-24.6M-120.3K0.3365.25N/AN/A612017,3308,948
2022-11-30$31.09$29.0022.6%6.5%22.2%27.6%21.1%5.5%-1.0%962.6K-28.2M-118.6K0.0389.56N/AN/A74217,3498,967