CNP Options History — March 2024

In March 2024, CNP traded between $27.29 and $28.49. ATM implied volatility averaged 18.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.0% (HV 20d: 16.0%). 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 0.54.

Notable Days

  • 2024-03-06: Highest Volume — 3,479 contracts
  • 2024-03-13: Largest IV drop — 15.7% change
  • 2024-03-11: Highest IV Rank — 46.6%
  • 2024-03-11: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.99$27.29$28.49$27.37$28.44
Max Pain$27.90$27.00$28.00$28.00$28.00
ATM IV18.0%15.9%23.5%16.2%16.0%
Expected Move5.0%4.6%5.7%4.6%4.6%
HV 20d16.0%13.5%18.1%15.2%18.1%
HV 60d17.5%15.7%19.8%19.2%16.8%
IV Rank24.5%13.8%46.6%13.8%16.9%
IV Percentile30.1%8.3%83.3%11.1%10.3%
Term Structure2.4%1.3%4.0%2.1%3.5%
VWIV17.4%15.6%19.4%16.3%15.6%
Skew 25d1.6%-2.2%3.7%-2.2%2.9%
Skew 10d3.0%-11.8%9.3%-11.8%9.3%
Call IV 25d16.7%13.6%19.6%17.0%13.6%
Put IV 25d18.2%14.8%21.5%14.8%16.6%
Bid-Ask Spread %66.1944.3491.9660.6650.18
Gamma HHI0.390.250.490.250.38
Net GEX770.1K385.0K1.3M385.0K1.3M
Net DEX-5.2M-9.5M-2.1M-2.1M-9.5M
Net VEX-32.5K-46.9K-21.8K-21.8K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.002.790.120.04
Total Volume518.75413,479533180
Total OI9,265.056,62312,5277,03912,527

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$27.37$28.0016.2%4.6%15.2%13.8%16.3%-2.2%2.1%385.0K-2.1M-21.8K0.1260.66N/AN/A474596,185854
2024-03-04$27.89$27.0018.0%5.1%16.7%21.8%17.7%3.1%1.3%492.0K-3.3M-23.2K1.5770.11N/AN/A49775,756879
2024-03-05$27.76$27.0018.4%5.3%15.9%23.7%17.8%3.7%1.6%473.1K-3.0M-22.3K0.0754.26N/AN/A631465,783840
2024-03-06$28.27$28.0020.6%5.7%17.2%33.4%19.4%1.8%2.3%582.9K-5.2M-29.1K0.0054.29N/AN/A3,47456,245832
2024-03-07$28.34$28.0020.7%5.7%17.0%34.1%18.7%1.0%1.8%901.9K-7.6M-40.2K0.1144.34N/AN/A3748,953835
2024-03-08$28.41$28.0021.0%5.7%16.7%35.5%19.2%2.7%1.9%925.5K-8.0M-40.2K0.5957.40N/AN/A39238,969837
2024-03-11$28.49$28.0023.5%5.7%16.6%46.6%19.3%1.3%1.9%955.8K-8.3M-40.5K0.0657.78N/AN/A13188,996855
2024-03-12$28.13$28.0021.2%5.0%17.1%36.3%18.2%1.1%2.4%952.1K-6.4M-36.2K0.0772.69N/AN/A663489,041863
2024-03-13$28.09$28.0017.9%5.1%16.1%21.3%17.4%1.4%1.8%987.5K-6.4M-36.8K0.0667.77N/AN/A6449,346855
2024-03-14$27.76$28.0017.7%5.1%16.8%26.9%18.6%1.8%2.0%897.8K-4.2M-31.0K0.6483.92N/AN/A55359,345858
2024-03-15$27.77$28.0017.2%4.9%15.8%24.2%17.4%1.6%2.5%899.0K-3.9M-32.5K0.1877.45N/AN/A321599,3451,045
2024-03-18$27.95$28.0016.4%4.7%15.9%19.3%16.7%0.5%2.8%733.4K-4.8M-33.6K0.1771.60N/AN/A92168,592581
2024-03-19$28.05$28.0016.5%4.7%15.8%19.9%16.2%2.3%2.7%775.1K-5.1M-33.7K1.0279.26N/AN/A65668,662574
2024-03-20$28.02$28.0016.5%4.7%14.8%19.7%16.1%2.0%2.5%771.4K-5.0M-33.8K2.7991.96N/AN/A561568,707613
2024-03-21$28.07$28.0016.7%4.8%14.4%21.0%16.6%3.0%2.5%778.6K-5.2M-33.2K0.0263.41N/AN/A5718,698600
2024-03-22$27.87$28.0016.5%4.7%14.7%19.8%16.5%1.0%2.6%685.0K-4.1M-29.9K1.1965.70N/AN/A1301558,714600
2024-03-25$27.59$28.0016.9%4.8%13.5%22.4%17.8%-1.2%2.0%608.4K-3.4M-28.4K0.6774.37N/AN/A69468,817728
2024-03-26$27.29$28.0016.0%4.6%13.8%16.9%15.7%2.4%4.0%491.8K-2.4M-24.5K1.4072.13N/AN/A55778,879770
2024-03-27$28.16$28.0015.9%4.6%17.8%16.4%15.9%1.4%3.1%784.8K-5.3M-32.4K0.0154.51N/AN/A2,816328,902820
2024-03-28$28.44$28.0016.0%4.6%18.1%16.9%15.6%2.9%3.5%1.3M-9.5M-46.9K0.0450.18N/AN/A173711,695832