CNP Options History — March 2023

In March 2023, CNP traded between $27.32 and $29.43. ATM implied volatility averaged 23.9%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 1.2% (HV 20d: 22.7%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.16.

Notable Days

  • 2023-03-07: Highest Volume — 684 contracts
  • 2023-03-14: Largest IV drop — 27.3% change
  • 2023-03-13: Highest IV Rank — 92.3%
  • 2023-03-23: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.42$27.32$29.43$27.36$29.43
Max Pain$29.00$29.00$29.00$29.00$29.00
ATM IV23.9%18.4%35.4%21.9%21.9%
Expected Move6.6%5.3%8.1%6.3%6.3%
HV 20d22.7%17.2%28.8%17.2%26.6%
HV 60d20.8%18.7%22.8%18.7%22.5%
IV Rank34.2%6.7%92.3%24.1%24.1%
IV Percentile49.2%2.0%98.8%31.3%31.0%
Term Structure1.7%-0.7%3.0%0.3%2.1%
VWIV22.5%17.8%27.4%21.9%18.7%
Skew 25d4.1%3.0%5.2%4.4%5.1%
Skew 10d9.0%-3.2%16.7%7.8%11.1%
Call IV 25d20.8%17.4%25.5%18.6%19.4%
Put IV 25d24.9%20.9%29.3%22.9%24.5%
Bid-Ask Spread %52.1918.1880.6871.8730.02
Gamma HHI0.270.210.390.390.22
Net GEX324.4K-35.6K591.3K274.2K591.3K
Net DEX-7.3M-11.0M-4.0M-4.0M-11.0M
Net VEX-74.0K-79.5K-64.8K-64.8K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.049.292.030.14
Total Volume228.21740684321177
Total OI13,280.69612,10414,02812,10413,870

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$27.36$29.0021.9%6.3%17.2%24.1%21.9%4.4%0.3%274.2K-4.0M-64.8K2.0371.87N/AN/A10621510,2791,825
2023-03-02$28.01$29.0020.4%5.8%19.3%16.8%20.5%3.9%-0.7%276.5K-5.5M-70.1K2.4742.83N/AN/A7819310,3411,971
2023-03-03$28.26$29.0018.4%5.3%19.4%6.7%17.8%3.0%1.2%256.8K-6.1M-70.1K0.6370.45N/AN/A1086810,3982,111
2023-03-06$28.44$29.0020.3%5.8%18.7%16.2%20.2%3.7%1.1%263.6K-6.7M-72.5K0.3327.55N/AN/A832710,4572,160
2023-03-07$27.88$29.0021.5%5.8%19.7%22.5%20.1%4.7%2.0%247.2K-5.2M-68.5K0.8330.05N/AN/A37431010,4972,178
2023-03-08$28.04$29.0021.3%6.0%19.7%21.5%20.5%3.7%2.3%277.1K-5.8M-73.4K0.6434.13N/AN/A332110,7832,442
2023-03-09$27.84$29.0024.0%6.1%18.9%35.0%21.4%3.4%1.6%277.5K-5.2M-72.1K9.2959.76N/AN/A2422310,8082,452
2023-03-10$27.45$29.0028.0%6.9%19.0%55.0%23.1%4.0%1.8%233.9K-4.0M-69.6K1.5064.84N/AN/A446610,8402,639
2023-03-13$28.23$29.0035.4%6.9%20.3%92.3%24.2%4.5%1.6%257.6K-6.1M-74.4K1.4665.90N/AN/A14521210,8722,648
2023-03-14$28.63$29.0025.7%6.5%21.0%43.7%24.1%5.2%1.2%243.6K-7.4M-77.6K0.6665.18N/AN/A976410,9682,809
2023-03-15$29.07$29.0023.9%6.8%21.8%34.3%24.5%4.0%2.1%247.9K-9.2M-79.5K0.3675.11N/AN/A1385010,9672,847
2023-03-16$29.27$29.0023.2%6.7%21.8%30.9%21.0%4.4%2.9%234.3K-9.8M-79.4K0.2075.98N/AN/A2805510,9572,860
2023-03-17$29.11$29.0024.1%6.9%21.9%35.5%24.1%5.1%1.5%-35.6K-9.6M-78.2K0.2757.41N/AN/A2516711,1842,844
2023-03-20$29.20$29.0023.9%6.9%21.8%34.6%22.6%4.7%1.5%467.2K-10.0M-77.7K0.5865.55N/AN/A20411810,8672,135
2023-03-21$28.30$29.0024.0%6.9%24.4%35.1%23.1%3.6%1.8%384.2K-7.2M-74.4K1.0964.46N/AN/A758211,0012,182
2023-03-22$27.95$29.0024.4%7.0%24.7%36.8%24.5%3.4%1.6%378.5K-6.9M-75.5K0.4380.68N/AN/A281211,0212,200
2023-03-23$27.32$29.0028.1%8.1%25.8%55.6%27.4%3.7%0.6%266.8K-4.4M-66.5K1.0438.73N/AN/A778011,0402,206
2023-03-24$28.26$29.0024.9%7.1%28.8%39.3%24.4%4.5%2.5%367.7K-6.8M-73.0K1.5776.43N/AN/A7611911,0412,255
2023-03-27$28.48$29.0024.9%7.1%28.8%39.4%22.3%3.6%2.0%401.3K-7.8M-73.7K0.6823.09N/AN/A966511,0942,316
2023-03-28$28.63$29.0022.9%6.6%27.9%29.3%23.8%3.5%3.0%445.0K-8.5M-76.3K0.0421.11N/AN/A2501111,1302,375
2023-03-29$29.27$29.0023.0%6.6%27.7%29.7%24.1%4.1%2.2%543.2K-10.3M-78.2K0.0941.17N/AN/A2272011,3132,379
2023-03-30$29.32$29.0022.9%6.6%26.7%29.3%23.2%3.8%2.7%560.9K-10.7M-78.4K0.3918.18N/AN/A1445611,5252,369
2023-03-31$29.43$29.0021.9%6.3%26.6%24.1%18.7%5.1%2.1%591.3K-11.0M-77.9K0.1430.02N/AN/A1552211,4972,373