CNP Options History — January 2007

In January 2007, CNP traded between $16.51 and $17.49. ATM implied volatility averaged 19.3%. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.3% (HV 20d: 15.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2007-01-12: Highest Volume — 1,779 contracts
  • 2007-01-16: Largest IV spike — 29.6% change
  • 2007-01-25: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.99$16.51$17.49$17.05$17.26
Max Pain$12.75$12.50$15.00$15.00$12.50
ATM IV19.3%12.5%23.7%14.2%21.9%
Expected Move5.5%3.9%6.8%4.1%6.3%
HV 20d15.0%14.4%15.7%15.7%14.8%
Term Structure-1.8%-4.9%1.1%-0.5%-2.5%
VWIV20.5%11.8%27.9%16.7%21.9%
Skew 25d3.5%-6.6%50.4%1.9%-0.2%
Skew 10d5.5%-7.6%73.1%0.2%0.1%
Call IV 25d19.8%14.1%24.6%18.9%22.3%
Put IV 25d23.3%15.1%72.3%20.9%22.1%
Bid-Ask Spread %17.0210.6329.7715.5716.28
Gamma HHI0.870.780.950.910.94
Net GEX583.4K361.2K869.4K384.2K848.9K
Net DEX-9.9M-13.2M-7.9M-9.3M-11.6M
Net VEX-26.4K-30.4K-23.0K-23.7K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.002.170.000.00
Total Volume506.65451,779270267
Total OI11,735.059,21314,1129,21313,607

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$17.05$15.0014.2%4.1%0.0%0.0%16.7%1.9%-0.5%384.2K-9.3M-23.7K0.0015.57N/AN/A27008,516697
2007-01-04$17.08$15.0014.7%4.2%0.0%0.0%17.5%2.0%0.4%396.0K-9.5M-24.3K0.0329.77N/AN/A689228,686697
2007-01-05$16.79$12.5012.5%3.9%0.0%0.0%15.9%7.4%1.1%383.1K-8.6M-23.8K0.4517.57N/AN/A2631188,849719
2007-01-08$16.63$12.5015.6%4.3%0.0%0.0%13.5%5.7%1.0%362.2K-7.9M-23.0K2.1725.54N/AN/A481048,926832
2007-01-09$16.70$12.5016.0%4.2%0.0%0.0%27.9%5.2%0.6%361.2K-7.9M-23.5K0.4026.45N/AN/A126508,957932
2007-01-10$16.79$12.5015.2%4.2%0.0%0.0%11.8%8.5%-0.3%372.3K-8.2M-23.5K0.8017.96N/AN/A25208,843881
2007-01-11$16.87$12.5015.1%4.3%0.0%0.0%16.4%11.2%-2.3%394.0K-8.5M-23.6K0.1311.10N/AN/A390508,868891
2007-01-12$16.84$12.5015.8%4.5%0.0%0.0%18.9%-3.9%-2.0%391.6K-8.4M-24.3K0.0021.10N/AN/A1,77729,046924
2007-01-16$16.90$12.5020.5%5.9%0.0%0.0%21.1%-2.9%-2.8%503.7K-9.1M-25.5K0.0014.59N/AN/A805010,167926
2007-01-17$16.71$12.5023.5%6.7%0.0%0.0%23.9%-5.9%-4.2%509.9K-8.9M-26.4K0.0010.63N/AN/A1,291010,976926
2007-01-18$16.51$12.5019.4%5.6%0.0%0.0%22.8%2.6%-3.8%584.5K-8.7M-26.9K0.0012.48N/AN/A83012,139926
2007-01-19$16.72$12.5023.7%6.8%0.0%0.0%24.0%-6.6%-4.9%544.6K-8.9M-27.0K0.0217.97N/AN/A1,2192011,662925
2007-01-22$16.85$12.5021.5%6.2%0.0%0.0%22.1%-3.5%-1.3%715.2K-9.9M-28.1K0.0017.32N/AN/A237012,687916
2007-01-23$17.01$12.5022.2%6.4%0.0%0.0%22.5%-2.2%-1.3%741.0K-10.5M-28.7K0.0011.54N/AN/A124012,512916
2007-01-24$17.31$12.5023.6%6.8%0.0%0.0%23.6%-0.6%-3.1%787.9K-12.4M-29.8K0.0714.70N/AN/A4032712,437916
2007-01-25$17.41$12.5023.7%6.8%15.7%0.0%23.8%1.1%-3.3%815.1K-12.7M-30.1K0.5916.08N/AN/A593512,588941
2007-01-26$17.49$12.5022.2%6.4%15.2%0.0%22.2%-0.9%-2.5%869.4K-13.2M-30.4K0.8713.82N/AN/A57250012,599973
2007-01-29$17.43$12.5022.2%6.4%14.8%0.0%22.2%0.7%-2.4%868.6K-12.4M-30.0K0.0317.10N/AN/A4651212,7411,371
2007-01-30$17.47$12.5021.9%6.3%14.4%0.0%21.9%50.4%-2.3%835.6K-11.8M-28.1K0.0012.87N/AN/A60012,2031,383
2007-01-31$17.26$12.5021.9%6.3%14.8%0.0%0.0%-0.2%-2.5%848.9K-11.6M-27.6K0.0016.28N/AN/A267012,2241,383