CNP Options History — December 2022

In December 2022, CNP traded between $29.93 and $31.07. ATM implied volatility averaged 22.9%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.6% (HV 20d: 18.2%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.12.

Notable Days

  • 2022-12-19: Highest Volume — 1,039 contracts
  • 2022-12-14: Largest IV drop — 22.8% change
  • 2022-12-12: Highest IV Rank — 59.6%
  • 2022-12-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.51$29.93$31.07$31.07$29.99
Max Pain$27.19$27.00$29.00$29.00$27.00
ATM IV22.9%20.2%28.9%22.8%21.7%
Expected Move6.2%5.8%6.7%6.5%6.2%
HV 20d18.2%16.0%22.6%21.8%17.2%
HV 60d27.5%25.0%29.0%28.9%25.0%
IV Rank29.2%15.8%59.6%28.9%23.4%
IV Percentile39.3%16.7%87.3%38.1%28.6%
Term Structure1.1%-1.1%2.1%-1.1%2.0%
VWIV21.5%18.4%24.7%24.7%22.0%
Skew 25d3.7%2.9%4.7%4.7%2.9%
Skew 10d6.8%3.4%16.8%3.4%4.0%
Call IV 25d19.8%18.3%21.8%20.4%19.9%
Put IV 25d23.5%21.7%25.2%25.1%22.8%
Bid-Ask Spread %66.6452.0290.0061.9667.32
Gamma HHI0.210.180.340.180.23
Net GEX888.2K604.8K1.3M970.8K631.0K
Net DEX-24.0M-28.2M-19.3M-28.0M-19.3M
Net VEX-108.6K-118.2K-99.4K-117.7K-99.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.073.280.130.61
Total Volume222.571301,039153323
Total OI26,441.1925,18726,90326,33826,639

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$31.07$29.0022.8%6.5%21.8%28.9%24.7%4.7%-1.1%970.8K-28.0M-117.7K0.1361.96N/AN/A1351817,3718,967
2022-12-02$30.64$29.0020.5%5.9%22.6%17.5%18.4%3.0%0.9%993.0K-26.3M-118.2K0.8564.96N/AN/A524417,3978,983
2022-12-05$30.55$27.0023.2%6.1%22.5%30.7%23.0%4.4%1.2%952.2K-25.0M-114.4K1.1169.70N/AN/A273017,4088,960
2022-12-06$30.66$27.0024.3%6.3%21.1%36.5%22.6%4.0%1.2%974.9K-26.0M-114.7K0.5552.02N/AN/A311717,4278,973
2022-12-07$30.41$27.0028.3%6.7%21.3%56.8%22.5%3.3%0.9%936.0K-24.5M-114.8K0.3653.22N/AN/A25917,4368,982
2022-12-08$30.30$27.0025.8%6.6%21.4%44.1%22.5%3.6%0.5%943.7K-24.1M-113.0K2.3361.12N/AN/A92117,4508,983
2022-12-09$30.41$27.0024.1%6.4%16.5%35.6%21.6%3.5%0.7%964.5K-24.4M-111.0K2.0070.68N/AN/A5310617,4518,993
2022-12-12$30.95$27.0028.9%6.4%17.0%59.6%23.1%3.9%1.5%1.1M-27.1M-111.0K0.0954.21N/AN/A1921717,4449,068
2022-12-13$30.98$27.0026.5%5.9%17.1%47.7%20.2%2.9%0.8%1.2M-27.9M-106.6K0.0771.12N/AN/A6554917,5309,070
2022-12-14$30.98$27.0020.5%5.9%16.8%17.2%21.7%3.8%1.4%1.3M-28.2M-108.8K2.0690.00N/AN/A163317,8079,096
2022-12-15$30.59$27.0020.7%5.9%17.2%18.3%20.6%4.1%1.4%1.1M-25.1M-107.3K0.2252.48N/AN/A591317,7719,090
2022-12-16$30.11$27.0020.6%5.9%17.7%18.0%21.6%3.6%2.0%925.8K-21.9M-106.5K1.7384.82N/AN/A8614917,7799,093
2022-12-19$29.93$27.0022.2%6.4%16.5%25.7%22.2%3.9%1.5%631.4K-19.5M-104.7K1.3268.07N/AN/A44859116,3648,823
2022-12-20$30.06$27.0021.3%6.1%16.4%21.1%21.1%4.3%1.4%604.8K-19.6M-107.4K1.5368.30N/AN/A477216,5749,374
2022-12-21$30.48$27.0021.3%6.1%16.0%21.5%19.2%3.8%1.1%682.2K-22.0M-106.2K0.3173.32N/AN/A50015716,5999,393
2022-12-22$30.14$27.0022.3%6.4%16.0%26.3%21.9%3.7%1.0%663.9K-20.4M-106.8K1.0572.26N/AN/A212217,0549,531
2022-12-23$30.64$27.0020.2%5.8%16.7%15.8%20.8%3.2%1.1%785.9K-23.5M-107.0K2.1970.55N/AN/A367917,0639,517
2022-12-27$30.96$27.0021.2%6.1%17.0%20.7%20.1%2.9%0.3%866.1K-25.4M-102.2K0.0970.49N/AN/A1471317,0819,515
2022-12-28$30.48$27.0021.9%6.3%17.6%24.6%21.7%3.8%0.7%766.1K-22.8M-102.6K1.7362.44N/AN/A8013817,1019,521
2022-12-29$30.48$27.0021.5%6.2%16.3%22.5%20.7%4.3%2.1%777.7K-22.5M-101.3K3.2860.47N/AN/A3611817,1019,486
2022-12-30$29.99$27.0021.7%6.2%17.2%23.4%22.0%2.9%2.0%631.0K-19.3M-99.4K0.6167.32N/AN/A20112217,1099,530