CNP Options History — January 2024

In January 2024, CNP traded between $27.16 and $29.37. ATM implied volatility averaged 19.5%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.4% (HV 20d: 20.9%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2024-01-22: Highest Volume — 931 contracts
  • 2024-01-10: Largest IV spike — 22.1% change
  • 2024-01-16: Highest IV Rank — 37.8%
  • 2024-01-16: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.28$27.16$29.37$28.93$27.94
Max Pain$28.43$27.00$29.00$27.00$28.00
ATM IV19.5%15.8%21.5%17.9%21.2%
Expected Move5.7%5.0%6.2%5.1%6.1%
HV 20d20.9%17.0%27.3%24.5%17.0%
HV 60d21.1%20.3%21.9%20.9%20.3%
IV Rank28.6%12.2%37.8%21.5%36.3%
IV Percentile42.9%7.9%63.9%25.4%63.9%
Term Structure0.3%-1.2%3.1%1.7%-1.2%
VWIV20.4%17.5%25.8%20.5%21.2%
Skew 25d2.6%0.3%4.6%0.7%0.3%
Skew 10d7.7%0.1%12.6%0.1%7.8%
Call IV 25d18.8%17.2%21.0%19.1%21.0%
Put IV 25d21.3%18.1%22.9%19.8%21.3%
Bid-Ask Spread %41.2711.3573.9236.0272.92
Gamma HHI0.450.230.820.750.25
Net GEX1.3M107.0K3.5M2.4M534.8K
Net DEX-6.8M-15.5M-1.7M-12.2M-3.8M
Net VEX-31.8K-48.3K-21.1K-47.5K-28.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.025.760.090.10
Total Volume223.2382893118943
Total OI15,976.7146,23821,61220,8618,148

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$28.93$27.0017.9%5.1%24.5%21.5%20.5%0.7%1.7%2.4M-12.2M-47.5K0.0936.02N/AN/A1741519,1551,706
2024-01-03$29.02$27.0017.5%5.0%24.5%19.5%17.5%0.5%3.1%2.5M-12.7M-46.6K0.0454.63N/AN/A132519,2781,719
2024-01-04$29.16$29.0017.5%5.8%24.1%19.5%18.7%3.1%1.6%2.8M-14.6M-48.3K0.0212.15N/AN/A95219,3421,720
2024-01-05$29.16$29.0016.5%5.6%24.0%15.1%21.0%3.6%1.4%2.9M-13.9M-47.3K0.0811.35N/AN/A26219,3901,723
2024-01-08$29.37$29.0017.9%5.7%24.1%21.3%20.1%4.6%0.2%3.5M-15.5M-46.0K3.0035.93N/AN/A7321919,3871,724
2024-01-09$29.20$29.0015.8%5.5%24.2%12.2%20.3%3.0%1.5%3.1M-12.4M-40.7K2.1154.42N/AN/A91919,4361,715
2024-01-10$29.29$29.0019.3%5.5%24.2%27.9%25.8%2.6%1.2%3.5M-13.1M-41.1K5.7640.94N/AN/A3419619,4401,726
2024-01-11$28.29$29.0020.1%5.7%27.3%31.1%19.0%3.5%1.4%640.8K-5.3M-27.0K0.1443.95N/AN/A3154419,4411,675
2024-01-12$28.49$28.0020.1%5.8%22.3%31.5%19.4%3.3%0.9%677.3K-5.8M-27.5K1.8824.90N/AN/A346419,3571,669
2024-01-16$28.45$29.0021.5%6.2%21.8%37.8%19.4%3.7%-0.6%507.9K-5.5M-26.0K0.3859.66N/AN/A552119,3751,701
2024-01-17$27.98$29.0021.2%6.1%18.5%36.1%21.1%3.9%-0.6%236.7K-3.9M-22.9K0.4625.13N/AN/A904119,4051,706
2024-01-18$27.77$29.0019.8%5.7%18.3%29.9%20.4%3.3%-0.4%107.0K-3.3M-21.1K0.0773.92N/AN/A5173519,4031,704
2024-01-19$27.77$29.0019.2%5.5%18.2%27.3%18.8%2.2%-0.3%138.5K-3.5M-23.6K0.6549.55N/AN/A543519,8891,723
2024-01-22$27.51$29.0019.3%5.5%17.6%27.5%19.4%2.7%0.9%275.5K-1.7M-21.4K0.0424.33N/AN/A891405,424814
2024-01-23$27.43$28.0020.3%5.8%17.5%32.4%19.5%1.9%-0.7%366.1K-2.2M-23.1K0.1432.79N/AN/A648886,103841
2024-01-24$27.16$28.0021.2%6.1%17.7%36.2%20.8%1.1%-1.1%400.1K-2.0M-23.1K5.3356.14N/AN/A492616,683928
2024-01-25$27.51$28.0021.1%6.1%18.2%35.9%23.4%2.7%-0.7%428.6K-2.6M-25.9K1.0454.02N/AN/A1031076,7141,148
2024-01-26$27.54$28.0020.2%5.8%17.9%31.8%20.3%3.1%-0.3%433.1K-2.5M-26.0K0.1743.92N/AN/A2446,8051,253
2024-01-29$27.88$28.0020.6%5.9%18.0%33.5%21.0%2.3%-0.7%516.7K-3.5M-27.2K0.2540.05N/AN/A2876,8121,253
2024-01-30$27.95$28.0021.2%6.1%18.0%36.1%21.6%1.9%-0.5%525.0K-3.8M-28.2K0.1019.93N/AN/A8186,8191,257
2024-01-31$27.94$28.0021.2%6.1%17.0%36.3%21.2%0.3%-1.2%534.8K-3.8M-28.0K0.1072.92N/AN/A3946,8911,257