CNP Options History — September 2023

In September 2023, CNP traded between $26.73 and $29.13. ATM implied volatility averaged 17.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.9% (HV 20d: 15.2%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 8.32.

Notable Days

  • 2023-09-07: Highest Volume — 4,108 contracts
  • 2023-09-05: Largest IV spike — 33.4% change
  • 2023-09-26: Highest IV Rank — 33.3%
  • 2023-09-26: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.11$26.73$29.13$27.66$26.82
Max Pain$28.00$27.00$29.00$29.00$28.00
ATM IV17.1%13.1%21.1%13.1%20.1%
Expected Move4.9%3.8%6.0%3.8%5.8%
HV 20d15.2%12.5%19.3%12.5%19.3%
HV 60d17.3%16.6%17.8%16.7%17.7%
IV Rank16.5%0.0%33.3%0.0%29.4%
IV Percentile12.7%0.0%41.3%0.0%30.6%
Term Structure3.5%2.3%5.0%3.1%5.0%
VWIV17.1%12.0%21.1%12.0%17.8%
Skew 25d3.0%1.9%5.0%3.6%2.2%
Skew 10d7.6%0.0%14.7%3.9%9.6%
Call IV 25d15.5%12.0%19.4%12.0%19.4%
Put IV 25d18.5%15.6%22.5%15.6%21.5%
Bid-Ask Spread %18.457.4551.1410.4110.91
Gamma HHI0.230.140.480.430.16
Net GEX198.8K-94.4K517.5K496.6K-94.4K
Net DEX1.0M-4.4M7.9M-3.5M7.8M
Net VEX-61.7K-75.9K-36.9K-42.1K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.320.0096.812.060.38
Total Volume466.35134,10815351
Total OI14,444.6511,04416,73211,09416,732

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$27.66$29.0013.1%3.8%12.5%0.0%12.0%3.6%3.1%496.6K-3.5M-42.1K2.0610.41N/AN/A501039,4501,644
2023-09-05$27.38$28.0017.5%5.1%12.8%18.4%18.4%3.2%3.0%433.8K-2.6M-37.6K0.4814.07N/AN/A114559,4801,581
2023-09-06$27.34$28.0015.5%5.0%12.8%10.0%15.9%2.7%3.6%410.8K-2.5M-36.9K0.1016.56N/AN/A526539,4151,629
2023-09-07$27.95$28.0016.6%5.0%15.3%14.6%16.8%3.5%2.9%517.5K-4.4M-42.2K96.8117.55N/AN/A424,0669,3761,678
2023-09-08$28.32$28.0014.8%5.0%15.3%7.1%16.3%4.0%3.0%176.2K1.8M-70.0K0.3219.40N/AN/A78259,3965,712
2023-09-11$28.23$27.0016.8%4.8%15.0%15.6%15.6%2.2%3.2%208.3K2.2M-69.0K1.7610.96N/AN/A29519,4255,727
2023-09-12$28.36$28.0020.3%4.8%15.1%30.4%16.6%2.7%3.6%191.7K1.8M-68.4K0.0115.63N/AN/A7719,4435,716
2023-09-13$28.63$28.0015.6%4.5%13.9%10.5%17.3%2.6%3.3%144.8K139.7K-71.7K0.8817.87N/AN/A94839,4645,704
2023-09-14$28.91$28.0015.0%4.3%14.2%7.8%16.3%2.3%4.2%40.0K-819.6K-73.3K0.1323.07N/AN/A189259,5105,729
2023-09-15$29.11$28.0015.2%4.4%14.1%8.8%16.3%3.1%4.3%-939-2.2M-75.9K0.049.76N/AN/A528229,6615,747
2023-09-18$29.13$28.0015.6%4.5%14.0%10.5%15.5%3.2%3.3%248.3K-1.3M-75.4K0.7428.25N/AN/A3022238,9565,421
2023-09-19$29.04$28.0015.3%4.4%14.1%9.3%16.8%2.0%3.7%293.8K-1.5M-75.7K4.0020.03N/AN/A10409,2165,640
2023-09-20$28.82$28.0015.7%4.5%14.5%10.6%15.2%1.9%3.5%265.9K-199.0K-73.1K0.0044.22N/AN/A1309,2235,669
2023-09-21$28.51$28.0016.1%4.6%14.8%12.5%17.2%2.9%3.7%202.3K1.7M-67.7K0.2811.65N/AN/A113329,2315,669
2023-09-22$28.38$28.0018.0%5.2%14.8%20.6%17.7%2.5%2.5%201.4K2.1M-68.2K1.2316.32N/AN/A65809,3405,698
2023-09-25$28.31$28.0017.8%5.1%14.1%19.4%17.6%4.8%3.5%196.9K2.3M-67.4K0.238.74N/AN/A122289,4455,767
2023-09-26$27.34$28.0021.1%6.0%18.8%33.3%21.1%2.8%2.3%89.0K5.5M-56.5K1.2714.99N/AN/A2683419,5435,758
2023-09-27$27.13$28.0020.8%6.0%18.9%32.2%20.0%5.0%3.6%40.0K6.1M-55.4K54.527.45N/AN/A231,2549,4785,984
2023-09-28$26.73$28.0020.1%5.8%19.3%29.2%20.7%3.3%4.6%-86.2K7.9M-51.6K1.0751.14N/AN/A73789,4757,161
2023-09-29$26.82$28.0020.1%5.8%19.3%29.4%17.8%2.2%5.0%-94.4K7.8M-54.8K0.3810.91N/AN/A37149,5107,222