CNP Options History — December 2023

In December 2023, CNP traded between $28.29 and $30.19. ATM implied volatility averaged 17.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.3% (HV 20d: 21.8%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2023-12-13: Highest Volume — 3,929 contracts
  • 2023-12-11: Largest IV spike — 21.7% change
  • 2023-12-21: Highest IV Rank — 25.1%
  • 2023-12-21: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.79$28.29$30.19$28.74$28.49
Max Pain$27.05$27.00$28.00$28.00$27.00
ATM IV17.5%14.9%18.7%14.9%18.0%
Expected Move5.0%4.3%5.4%4.3%5.2%
HV 20d21.8%16.8%25.4%19.3%24.5%
HV 60d21.8%20.7%23.8%20.9%20.7%
IV Rank19.4%8.0%25.1%8.0%21.9%
IV Percentile20.1%2.0%30.6%2.0%26.6%
Term Structure2.2%0.9%3.8%0.9%3.8%
VWIV17.4%14.9%19.1%16.3%14.9%
Skew 25d2.2%0.0%4.8%4.8%1.5%
Skew 10d4.4%-2.1%12.0%5.1%1.0%
Call IV 25d16.9%12.9%19.1%12.9%17.7%
Put IV 25d19.1%17.7%21.0%17.7%19.2%
Bid-Ask Spread %28.297.9777.057.9739.68
Gamma HHI0.650.600.700.610.69
Net GEX1.6M1.1M2.3M1.1M1.7M
Net DEX-12.4M-22.7M-8.8M-10.4M-9.0M
Net VEX-52.7K-69.2K-43.0K-48.5K-43.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.012.310.060.45
Total Volume489.2153,9291,32732
Total OI17,799.713,25420,84113,25420,841

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$28.74$28.0014.9%4.3%19.3%8.0%16.3%4.8%0.9%1.1M-10.4M-48.5K0.067.97N/AN/A1,2567111,6031,651
2023-12-04$28.84$27.0017.2%5.0%18.9%18.3%16.8%2.7%1.7%1.4M-12.0M-54.0K0.3125.89N/AN/A1615012,8071,703
2023-12-05$28.51$27.0016.9%4.9%19.3%17.1%16.1%3.1%2.1%1.2M-9.9M-49.8K0.0369.46N/AN/A1,2394012,8821,753
2023-12-06$28.74$27.0015.7%5.0%19.3%11.7%17.1%3.1%2.1%1.5M-12.0M-55.6K0.298.06N/AN/A381113,8491,792
2023-12-07$28.80$27.0017.8%5.0%18.1%20.8%16.5%2.0%2.4%1.5M-12.7M-55.6K0.1617.74N/AN/A1282113,8811,806
2023-12-08$28.84$27.0015.2%4.9%18.0%9.3%17.7%2.4%2.2%1.6M-12.7M-55.0K0.8211.52N/AN/A282313,9641,811
2023-12-11$28.95$27.0018.5%4.9%17.8%24.1%16.3%1.8%2.5%1.6M-13.3M-55.0K0.1718.13N/AN/A1131913,9861,813
2023-12-12$28.95$27.0017.7%4.7%16.8%20.7%16.5%3.0%2.1%1.7M-13.1M-53.4K0.0711.03N/AN/A14113,9551,825
2023-12-13$30.19$27.0017.4%5.0%19.0%19.0%18.2%0.0%2.1%1.8M-22.7M-58.1K0.0161.96N/AN/A3,8715813,9671,826
2023-12-14$29.71$27.0017.8%5.1%20.0%20.9%18.3%2.4%1.1%2.3M-22.3M-69.2K0.4243.94N/AN/A2058617,8791,884
2023-12-15$28.64$27.0017.9%5.1%24.5%21.3%18.5%2.5%1.3%1.7M-12.5M-56.4K0.1977.05N/AN/A4889517,9151,901
2023-12-18$28.86$27.0017.4%5.0%24.6%19.1%17.4%1.6%2.8%2.0M-13.3M-57.9K0.2210.36N/AN/A601317,7191,660
2023-12-19$28.95$27.0018.0%5.2%24.4%21.9%19.1%2.7%1.8%2.1M-13.8M-57.4K0.8412.96N/AN/A252117,7611,657
2023-12-20$28.46$27.0018.5%5.3%25.2%24.0%18.1%1.7%3.2%1.6M-10.2M-50.7K1.0028.30N/AN/A141417,7711,677
2023-12-21$28.30$27.0018.7%5.4%25.1%25.1%18.5%1.3%2.5%1.5M-9.1M-47.7K0.209.19N/AN/A15317,7821,687
2023-12-22$28.39$27.0018.0%5.2%25.1%22.0%18.3%1.4%2.9%1.5M-9.3M-46.8K0.0311.29N/AN/A1,0232917,7921,690
2023-12-26$28.59$27.0018.0%5.2%25.2%21.8%0.0%2.9%2.6%1.9M-10.5M-49.3K2.3117.43N/AN/A163718,7941,689
2023-12-27$28.29$27.0018.4%5.3%25.4%23.9%18.5%0.7%2.9%1.5M-8.8M-44.2K0.0935.67N/AN/A1191118,8071,698
2023-12-28$28.61$27.0017.0%4.9%25.1%17.4%18.5%1.8%1.8%1.8M-10.0M-45.6K0.0348.12N/AN/A3261018,8181,698
2023-12-29$28.49$27.0018.0%5.2%24.5%21.9%14.9%1.5%3.8%1.7M-9.0M-43.0K0.4539.68N/AN/A221019,1381,703