CNP Options History — February 2007 In February 2007, CNP traded between $17.50 and $18.37. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.1% (HV 20d: 14.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.20.
Notable Days 2007-02-13 : Highest Volume — 9,360 contracts2007-02-27 : Largest IV spike — 65.0% change2007-02-01 : Largest Expected Move — 6.7%Monthly Statistics Metric Avg Min Max Open Close Price $18.01 $17.50 $18.37 $17.50 $17.83 Max Pain $16.18 $15.00 $17.50 $15.00 $17.50 ATM IV 20.9% 11.9% 27.9% 23.5% 20.9% Expected Move 5.7% 3.4% 6.7% 6.7% 6.0% HV 20d 14.8% 13.0% 17.1% 15.2% 17.1% Term Structure -1.7% -5.0% 4.5% -5.0% -1.8% VWIV 20.2% 11.8% 31.9% 31.9% 20.9% Skew 25d 1.8% -6.1% 7.1% -0.0% 0.6% Skew 10d 6.3% -4.7% 20.8% -0.0% 6.2% Call IV 25d 19.1% 15.2% 26.0% 23.5% 23.4% Put IV 25d 20.9% 13.9% 24.0% 23.5% 24.0% Bid-Ask Spread % 24.20 8.50 81.47 18.55 25.03 Gamma HHI 0.83 0.67 0.94 0.93 0.73 Net GEX 667.2K 342.4K 1.1M 767.4K 407.0K Net DEX -12.5M -18.6M -6.8M -11.7M -6.8M Net VEX -23.6K -29.3K -18.8K -29.3K -21.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.00 2.18 0.00 0.49 Total Volume 845.632 6 9,360 387 223 Total OI 11,440.211 7,000 15,113 14,231 7,375
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $17.50 $15.00 23.5% 6.7% 15.2% 0.0% 31.9% -0.0% -5.0% 767.4K -11.7M -29.3K 0.00 18.55 N/A N/A 387 0 12,348 1,883 2007-02-02 $17.50 $15.00 21.6% 5.3% 15.2% 0.0% 21.4% 1.9% -1.2% 841.8K -12.0M -29.0K 0.00 11.39 N/A N/A 166 0 12,460 1,883 2007-02-05 $17.77 $15.00 25.6% 5.6% 14.3% 0.0% 19.8% 2.4% -1.9% 880.2K -14.2M -26.4K 0.05 15.23 N/A N/A 481 25 12,326 1,383 2007-02-06 $18.00 $15.00 27.9% 5.6% 13.9% 0.0% 20.1% -4.4% -1.9% 799.7K -16.0M -25.3K 0.02 28.73 N/A N/A 1,245 25 12,408 1,401 2007-02-07 $17.80 $15.00 23.0% 5.4% 14.9% 0.0% 18.8% 1.4% -1.0% 1.1M -15.4M -26.8K 0.00 16.16 N/A N/A 225 1 13,155 1,426 2007-02-08 $18.06 $15.00 20.6% 5.9% 15.5% 0.0% 21.1% 3.9% -2.0% 847.8K -16.8M -25.9K 2.18 14.64 N/A N/A 229 500 13,150 1,427 2007-02-09 $17.95 $15.00 19.2% 5.5% 15.8% 0.0% 19.3% 2.8% -1.7% 915.0K -15.8M -26.2K 0.00 18.63 N/A N/A 204 0 13,197 1,916 2007-02-12 $17.94 $15.00 19.7% 5.6% 15.8% 0.0% 19.7% 4.0% -1.4% 1.1M -16.9M -24.2K 0.21 16.81 N/A N/A 581 124 13,231 1,416 2007-02-13 $18.19 $15.00 19.6% 5.6% 16.2% 0.0% 19.6% 7.1% -1.4% 933.3K -18.6M -23.7K 0.00 15.03 N/A N/A 9,357 3 13,569 1,437 2007-02-14 $18.17 $15.00 21.7% 6.2% 15.4% 0.0% 21.7% 5.7% -3.2% 900.7K -14.7M -22.5K 0.07 81.47 N/A N/A 745 50 10,941 1,437 2007-02-15 $18.18 $17.50 19.9% 5.7% 14.2% 0.0% 19.9% -6.1% -1.4% 468.3K -15.7M -21.8K 0.09 29.66 N/A N/A 126 11 11,036 1,487 2007-02-16 $18.16 $17.50 20.5% 5.9% 14.1% 0.0% 20.5% 3.0% -1.5% 534.5K -15.4M -22.1K 0.03 22.02 N/A N/A 255 8 10,990 1,488 2007-02-20 $18.28 $17.50 19.6% 5.6% 14.0% 0.0% 19.3% 3.4% -0.8% 365.0K -8.0M -21.3K 0.00 23.99 N/A N/A 111 0 6,654 393 2007-02-21 $18.25 $17.50 21.9% 6.3% 14.0% 0.0% 19.1% 4.2% -4.1% 363.9K -7.9M -21.1K 0.06 26.19 N/A N/A 167 10 6,623 393 2007-02-22 $18.24 $17.50 19.7% 5.7% 13.1% 0.0% 19.5% 1.4% -2.5% 374.5K -7.9M -20.3K 0.51 27.13 N/A N/A 127 65 6,597 403 2007-02-23 $18.23 $17.50 21.5% 6.2% 13.0% 0.0% 20.8% 2.5% -3.7% 372.4K -7.9M -20.4K 0.00 14.56 N/A N/A 6 0 6,676 443 2007-02-26 $18.37 $17.50 11.9% 3.4% 13.2% 0.0% 11.8% -1.3% 4.5% 342.4K -8.5M -18.8K 0.08 8.50 N/A N/A 359 30 6,673 443 2007-02-27 $17.85 $17.50 19.7% 5.6% 17.1% 0.0% 17.9% 1.9% -0.0% 394.9K -7.0M -20.8K 0.00 46.01 N/A N/A 221 0 6,865 431 2007-02-28 $17.83 $17.50 20.9% 6.0% 17.1% 0.0% 20.9% 0.6% -1.8% 407.0K -6.8M -21.7K 0.49 25.03 N/A N/A 150 73 6,944 431
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