CNP Options History — June 2023

In June 2023, CNP traded between $28.30 and $29.32. ATM implied volatility averaged 18.1%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.2% (HV 20d: 13.0%). 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 19 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2023-06-12: Highest Volume — 467 contracts
  • 2023-06-14: Largest IV drop — 27.7% change
  • 2023-06-12: Highest IV Rank — 29.0%
  • 2023-06-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.96$28.30$29.32$28.30$29.09
Max Pain$28.14$28.00$29.00$28.00$28.00
ATM IV18.1%15.4%23.2%21.1%15.4%
Expected Move5.0%4.4%6.0%6.0%4.4%
HV 20d13.0%9.5%15.5%14.1%15.5%
HV 60d17.6%15.2%20.1%20.0%16.3%
IV Rank6.9%0.0%29.0%17.8%0.0%
IV Percentile8.3%0.0%51.2%25.4%0.0%
Term Structure3.1%-1.2%4.8%-1.2%4.2%
VWIV17.7%14.8%21.0%20.6%16.5%
Skew 25d3.1%0.2%6.9%3.5%3.0%
Skew 10d6.5%-1.9%15.9%3.9%5.4%
Call IV 25d15.8%13.4%19.3%19.3%13.4%
Put IV 25d18.9%15.9%22.8%22.8%16.4%
Bid-Ask Spread %59.3814.3895.7848.5550.73
Gamma HHI0.280.230.350.230.34
Net GEX734.2K514.0K1.1M514.0K679.5K
Net DEX-9.6M-12.2M-7.6M-7.6M-8.8M
Net VEX-61.3K-64.7K-55.9K-61.3K-56.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.016.780.880.38
Total Volume124.5713346745110
Total OI12,351.76211,34013,29912,66611,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$28.30$28.0021.1%6.0%14.1%17.8%20.6%3.5%-1.2%514.0K-7.6M-61.3K0.8848.55N/AN/A242111,1191,547
2023-06-02$28.62$28.0019.6%5.6%14.5%10.0%21.0%6.9%-0.5%600.0K-8.6M-63.0K1.8252.82N/AN/A448011,1381,535
2023-06-05$28.73$29.0020.0%5.4%14.3%12.2%18.9%3.4%1.9%657.0K-9.1M-62.2K0.2460.55N/AN/A411011,1751,459
2023-06-06$28.64$29.0019.0%5.2%14.2%7.1%18.3%4.6%2.1%647.4K-8.7M-61.3K0.4378.60N/AN/A231011,1941,459
2023-06-07$28.98$29.0019.8%5.2%15.0%11.3%17.7%3.7%2.9%726.2K-10.1M-63.4K0.1374.47N/AN/A991311,2041,466
2023-06-08$29.16$28.0018.9%5.1%15.3%6.4%17.9%3.8%2.5%822.4K-10.6M-64.7K0.0171.01N/AN/A171211,2931,474
2023-06-09$29.01$28.0018.6%4.9%14.4%4.7%17.9%2.9%3.0%805.0K-10.4M-62.9K0.1861.13N/AN/A38711,3231,473
2023-06-12$29.11$28.0023.2%5.0%14.2%29.0%20.1%3.0%2.9%816.3K-10.6M-61.7K0.2364.44N/AN/A3808711,3421,479
2023-06-13$29.14$28.0022.9%4.9%13.4%27.3%20.4%2.7%3.1%929.7K-11.1M-64.0K1.6056.79N/AN/A152411,6941,562
2023-06-14$29.09$28.0016.6%4.7%10.9%0.0%18.5%2.3%4.7%993.2K-11.0M-62.6K0.3295.78N/AN/A341111,7111,545
2023-06-15$29.29$28.0017.0%4.9%10.5%1.9%17.1%2.9%3.5%1.1M-12.2M-63.2K0.6568.36N/AN/A312011,7331,546
2023-06-16$29.27$28.0016.9%4.8%9.6%1.4%15.9%3.4%4.2%974.4K-12.1M-61.6K0.3077.54N/AN/A34610411,7511,548
2023-06-20$29.13$28.0016.7%4.8%9.5%0.4%16.7%2.9%4.0%672.6K-9.5M-62.8K0.3458.16N/AN/A1194110,395945
2023-06-21$29.32$28.0016.1%4.6%9.7%0.0%16.2%2.2%3.6%693.0K-10.0M-62.6K0.0638.11N/AN/A64410,476979
2023-06-22$29.11$28.0016.6%4.8%9.5%2.6%14.8%3.4%3.5%697.6K-9.3M-60.9K0.4036.55N/AN/A481910,521979
2023-06-23$28.48$28.0017.4%5.0%12.2%6.3%15.6%2.0%4.0%568.5K-7.6M-55.9K6.7882.34N/AN/A3221710,561992
2023-06-26$28.87$28.0016.4%4.7%12.8%1.8%16.6%2.9%3.1%634.2K-8.4M-59.5K0.4874.53N/AN/A311510,5531,181
2023-06-27$29.26$28.0017.2%4.9%13.3%5.4%17.2%3.9%3.7%704.0K-9.5M-60.2K0.0324.47N/AN/A36110,5821,173
2023-06-28$28.74$28.0016.1%4.6%15.0%0.1%0.0%2.5%4.2%607.5K-8.1M-58.1K5.6714.38N/AN/A1810210,5871,174
2023-06-29$28.73$28.0015.5%4.5%15.0%0.0%15.6%0.2%4.8%609.6K-8.1M-57.6K6.2957.55N/AN/A1710710,5831,171
2023-06-30$29.09$28.0015.4%4.4%15.5%0.0%16.5%3.0%4.2%679.5K-8.8M-56.9K0.3850.73N/AN/A803010,6001,165