CNP Options History — November 2023

In November 2023, CNP traded between $26.73 and $28.30. ATM implied volatility averaged 17.9%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.7% (HV 20d: 20.6%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2023-11-02: Highest Volume — 758 contracts
  • 2023-11-22: Largest IV drop — 16.6% change
  • 2023-11-01: Highest IV Rank — 39.2%
  • 2023-11-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.52$26.73$28.30$27.36$28.30
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV17.9%14.9%21.9%21.9%17.1%
Expected Move5.1%4.3%6.3%6.3%4.9%
HV 20d20.6%18.7%23.3%19.3%18.9%
HV 60d20.3%19.4%21.1%19.7%21.1%
IV Rank21.4%7.9%39.2%39.2%17.6%
IV Percentile18.4%1.6%52.4%52.4%14.7%
Term Structure-0.0%-1.9%1.0%-1.9%-0.9%
VWIV17.4%14.9%22.5%21.4%16.2%
Skew 25d2.5%-3.1%4.7%-3.1%4.7%
Skew 10d4.2%-26.8%12.7%-26.8%6.5%
Call IV 25d17.0%14.3%24.9%24.9%14.3%
Put IV 25d19.4%16.3%21.8%21.8%18.9%
Bid-Ask Spread %27.358.1468.5768.5710.16
Gamma HHI0.380.250.590.270.57
Net GEX225.5K-353.5K993.3K15.4K993.3K
Net DEX3.3M-7.9M10.3M5.5M-7.9M
Net VEX-48.0K-60.6K-39.5K-60.3K-43.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.007.270.040.31
Total Volume163.1436758148132
Total OI17,799.85712,88820,05919,83313,208

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$27.36$28.0021.9%6.3%19.3%39.2%21.4%-3.1%-1.9%15.4K5.5M-60.3K0.0468.57N/AN/A142612,6317,202
2023-11-02$27.66$28.0018.9%5.5%19.6%26.0%21.3%1.8%0.6%37.9K4.5M-60.6K0.1220.12N/AN/A6748412,6717,207
2023-11-03$27.44$28.0019.8%5.5%19.6%29.7%17.4%3.2%-0.1%-28.7K5.7M-59.2K0.4365.22N/AN/A2119012,5347,291
2023-11-06$27.26$28.0021.4%5.2%19.6%37.2%17.2%2.8%1.0%-93.4K7.4M-50.3K0.0526.86N/AN/A96512,5657,295
2023-11-07$27.23$28.0020.5%5.3%19.0%33.0%0.0%2.6%0.8%-134.2K7.8M-47.3K0.2921.26N/AN/A381112,5767,300
2023-11-08$26.80$28.0018.1%5.2%19.4%22.2%17.4%4.1%0.5%-210.0K9.6M-42.2K0.6127.07N/AN/A412512,5607,306
2023-11-09$26.76$28.0018.9%5.4%19.0%26.1%18.0%3.6%-0.1%-240.8K9.8M-41.4K0.0412.85N/AN/A26112,5497,324
2023-11-10$27.06$28.0018.0%5.2%19.5%21.8%22.5%2.1%0.8%-332.1K8.8M-45.7K7.279.46N/AN/A118012,5587,324
2023-11-13$26.73$28.0018.3%5.2%19.4%23.0%17.0%2.7%0.6%-353.5K10.3M-39.6K0.0631.51N/AN/A83512,5607,404
2023-11-14$27.63$28.0016.9%4.8%23.1%16.8%16.8%2.9%0.2%293.3K5.2M-51.9K3.8959.94N/AN/A3614012,5597,409
2023-11-15$27.43$28.0018.4%5.3%23.2%23.9%18.0%1.6%0.3%-186.0K5.6M-51.8K0.2416.21N/AN/A411012,5197,540
2023-11-16$27.71$28.0017.6%5.0%23.3%20.1%15.5%3.1%-0.9%352.0K3.9M-52.4K0.0312.80N/AN/A231612,5597,289
2023-11-17$27.79$28.0017.2%4.9%23.0%18.4%17.2%2.0%-0.1%447.2K3.9M-53.3K5.0013.29N/AN/A147012,6817,283
2023-11-20$27.63$28.0016.6%4.8%22.6%15.7%16.6%2.9%0.1%243.3K4.7M-47.7K0.0025.07N/AN/A545010,7585,619
2023-11-21$27.48$28.0017.9%5.1%21.9%21.3%16.1%2.5%-0.7%306.5K5.1M-47.8K0.4858.97N/AN/A462211,1835,619
2023-11-22$27.76$28.0014.9%4.3%22.1%7.9%14.9%1.5%0.6%336.7K4.2M-49.6K0.5217.53N/AN/A442311,2165,641
2023-11-24$27.87$28.0015.7%4.5%22.1%11.5%0.0%3.0%-0.2%765.8K-5.7M-39.5K1.008.15N/AN/A3311,2561,632
2023-11-27$28.01$28.0015.9%4.6%18.7%12.6%15.9%4.1%-0.3%819.9K-6.2M-39.9K0.1049.23N/AN/A40411,2581,633
2023-11-28$28.23$28.0016.1%4.6%18.8%13.4%15.8%2.4%-0.2%916.9K-7.3M-42.8K0.138.14N/AN/A2333011,3141,629
2023-11-29$27.84$28.0015.8%4.5%19.5%12.0%16.1%1.1%-0.2%787.0K-6.0M-40.1K0.0012.00N/AN/A124011,5141,621
2023-11-30$28.30$28.0017.1%4.9%18.9%17.6%16.2%4.7%-0.9%993.3K-7.9M-43.6K0.3110.16N/AN/A1013111,5871,621