CNP Options History — September 2024

In September 2024, CNP traded between $27.30 and $29.38. ATM implied volatility averaged 18.7%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.6% (HV 20d: 16.2%). Max pain ranged from $27.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2024-09-23: Highest Volume — 2,695 contracts
  • 2024-09-23: Largest IV drop — 10.6% change
  • 2024-09-09: Highest IV Rank — 37.4%
  • 2024-09-09: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.15$27.30$29.38$27.44$29.38
Max Pain$27.00$27.00$27.00$27.00$27.00
ATM IV18.7%16.2%21.1%19.9%18.1%
Expected Move5.4%4.6%6.0%5.7%5.2%
HV 20d16.2%13.7%17.5%17.5%14.9%
HV 60d26.7%26.3%27.1%26.6%26.8%
IV Rank26.9%15.7%37.4%31.9%24.3%
IV Percentile51.6%19.4%75.8%65.9%45.6%
Term Structure2.8%-0.7%4.8%-0.7%4.5%
VWIV19.1%16.2%21.8%18.9%17.9%
Skew 25d3.0%1.1%5.2%4.4%5.2%
Skew 10d9.6%2.2%22.3%10.0%8.4%
Call IV 25d17.7%14.4%19.7%16.1%14.4%
Put IV 25d20.7%17.6%23.6%20.5%19.7%
Bid-Ask Spread %75.4554.3398.7766.6361.59
Gamma HHI0.320.260.440.270.44
Net GEX765.8K400.2K1.5M447.1K1.5M
Net DEX-10.3M-20.6M-4.1M-6.0M-20.6M
Net VEX-77.9K-83.0K-72.4K-77.0K-79.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.059.791.172.89
Total Volume505.55962,6951,170323
Total OI24,998.1521,62126,19224,05624,634

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$27.44$27.0019.9%5.7%17.5%31.9%18.9%4.4%-0.7%447.1K-6.0M-77.0K1.1766.63N/AN/A53963116,5557,501
2024-09-04$27.64$27.0018.5%5.3%17.4%25.9%19.2%2.2%0.5%560.7K-7.1M-79.9K0.0765.47N/AN/A1691216,8678,104
2024-09-05$27.76$27.0019.6%5.5%17.0%30.6%18.5%3.6%1.2%573.8K-7.2M-81.1K0.1575.75N/AN/A871316,8728,111
2024-09-06$27.30$27.0020.4%5.8%17.2%34.2%21.1%1.5%3.1%400.2K-4.1M-78.0K1.4570.85N/AN/A13018816,9058,123
2024-09-09$27.39$27.0021.1%6.0%17.2%37.4%19.3%3.7%2.5%455.3K-4.4M-76.9K0.4069.97N/AN/A1064216,8818,235
2024-09-10$27.52$27.0020.2%5.6%16.5%33.3%20.2%1.5%2.2%491.0K-5.8M-78.3K9.7971.47N/AN/A4746016,8628,249
2024-09-11$27.89$27.0018.8%5.4%16.4%27.3%19.5%3.2%2.9%549.4K-8.1M-77.6K0.8176.77N/AN/A836716,9048,668
2024-09-12$27.57$27.0018.9%5.4%16.8%27.6%19.3%1.8%2.6%504.8K-6.0M-77.3K0.1179.25N/AN/A1421616,9138,731
2024-09-13$27.88$27.0019.4%5.6%17.0%29.9%19.9%2.9%2.7%603.2K-7.9M-77.4K0.4585.22N/AN/A25511617,0088,742
2024-09-16$28.11$27.0020.0%5.7%17.0%32.4%21.8%4.3%2.8%612.9K-9.2M-75.4K0.0688.33N/AN/A1,1036217,1628,846
2024-09-17$28.34$27.0019.8%5.7%17.1%31.5%18.9%2.4%2.3%788.9K-11.9M-78.4K1.7654.33N/AN/A9416517,1878,882
2024-09-18$28.20$27.0019.8%5.7%16.8%31.5%21.1%3.5%2.4%693.0K-10.6M-78.4K0.1598.77N/AN/A941417,1789,010
2024-09-19$28.24$27.0018.7%5.4%16.4%26.7%16.9%3.6%2.6%663.9K-10.4M-74.6K0.1083.41N/AN/A87917,1829,010
2024-09-20$28.23$27.0018.4%5.3%13.7%25.2%18.2%4.2%2.8%560.1K-10.4M-72.4K1.0889.92N/AN/A29832217,1789,012
2024-09-23$28.89$27.0016.4%4.7%15.1%16.6%19.4%3.3%3.2%988.0K-13.8M-74.0K0.0566.24N/AN/A2,56612913,9267,695
2024-09-24$28.74$27.0016.2%4.6%14.4%15.7%17.6%1.1%4.8%1.2M-15.2M-80.2K1.4675.52N/AN/A22633016,0827,796
2024-09-25$28.52$27.0016.8%4.8%14.8%18.1%18.6%2.8%3.9%1.1M-12.9M-78.6K4.6077.43N/AN/A5324416,1547,931
2024-09-26$28.88$27.0017.5%5.0%15.2%21.5%18.9%1.3%4.6%1.2M-15.5M-83.0K0.2976.09N/AN/A3048816,1788,154
2024-09-27$29.16$27.0016.6%4.7%14.9%17.3%16.2%2.6%4.8%1.4M-18.6M-80.5K0.1576.02N/AN/A4346316,3928,143
2024-09-30$29.38$27.0018.1%5.2%14.9%24.3%17.9%5.2%4.5%1.5M-20.6M-79.7K2.8961.59N/AN/A8324016,4798,155