CNP Options History — March 2007

In March 2007, CNP traded between $17.09 and $18.20. ATM implied volatility averaged 18.9%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.1% (HV 20d: 18.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2007-03-19: Highest Volume — 1,912 contracts
  • 2007-03-27: Largest IV spike — 38.3% change
  • 2007-03-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.74$17.09$18.20$17.87$17.94
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV18.9%11.2%23.6%22.7%16.0%
Expected Move5.3%3.2%6.5%6.5%4.6%
HV 20d18.7%16.4%20.8%16.4%16.7%
HV 60d16.6%16.3%17.0%17.0%16.3%
Term Structure1.2%-4.5%8.7%-4.5%2.9%
VWIV19.0%15.8%22.7%22.7%16.0%
Skew 25d2.8%-0.9%10.2%1.0%0.7%
Skew 10d6.9%-1.3%22.3%7.0%9.5%
Call IV 25d17.1%12.2%25.4%24.3%15.4%
Put IV 25d19.9%13.3%27.3%25.2%16.1%
Bid-Ask Spread %19.3712.7829.0224.6024.13
Gamma HHI0.750.650.880.740.70
Net GEX423.9K306.6K820.6K408.8K328.3K
Net DEX-6.1M-7.2M-4.5M-6.9M-6.4M
Net VEX-20.2K-21.7K-18.6K-21.0K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.007.040.160.00
Total Volume161.63611,91217720
Total OI7,551.2276,5488,0287,2728,028

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$17.87$17.5022.7%6.5%16.4%0.0%22.7%1.0%-4.5%408.8K-6.9M-21.0K0.1624.60N/AN/A152256,875397
2007-03-02$17.50$17.5021.0%6.0%17.6%0.0%21.0%1.9%-2.0%417.7K-5.8M-20.6K0.0622.44N/AN/A1716,864422
2007-03-05$17.09$17.5023.6%5.7%19.5%0.0%19.5%-0.7%-0.2%391.5K-4.5M-19.5K0.1614.06N/AN/A177296,862421
2007-03-06$17.41$17.5020.4%5.6%19.9%0.0%19.5%1.6%-0.1%443.2K-5.5M-20.2K0.1717.18N/AN/A111196,899415
2007-03-07$17.53$17.5018.0%5.9%19.5%0.0%20.5%3.8%0.0%465.4K-6.0M-20.5K0.0516.99N/AN/A13076,911430
2007-03-08$17.54$17.5020.0%5.8%19.1%0.0%0.0%2.5%-0.6%463.2K-5.8M-20.1K0.6315.49N/AN/A16106,884430
2007-03-09$17.63$17.5021.1%5.6%18.4%0.0%19.4%2.5%-0.1%477.8K-6.0M-20.0K0.0016.95N/AN/A1006,896440
2007-03-12$17.62$17.5022.1%5.6%18.3%0.0%19.7%3.6%0.7%506.9K-5.8M-19.6K0.0015.61N/AN/A3006,896440
2007-03-13$17.40$17.5022.2%5.7%18.8%0.0%0.0%2.0%3.6%503.6K-5.3M-19.7K0.9118.11N/AN/A11106,886440
2007-03-14$17.44$17.5020.9%5.9%18.0%0.0%20.6%1.2%0.2%540.1K-5.2M-19.3K7.0412.90N/AN/A231626,876450
2007-03-15$17.56$17.5021.0%6.0%18.2%0.0%0.0%3.7%0.6%606.9K-5.8M-19.8K0.0012.78N/AN/A1206,887513
2007-03-16$17.46$17.5019.7%5.6%18.3%0.0%19.7%3.1%1.7%820.6K-5.4M-19.7K0.0614.36N/AN/A207126,886512
2007-03-19$17.68$17.5016.9%4.8%19.0%0.0%16.9%10.2%2.3%345.0K-5.2M-18.6K0.7617.75N/AN/A1,0878256,054494
2007-03-20$17.83$17.5017.4%5.0%19.1%0.0%17.4%10.2%1.8%306.6K-5.8M-21.7K0.0022.91N/AN/A2206,6781,207
2007-03-21$18.12$17.5017.5%5.0%20.1%0.0%0.0%3.8%0.3%330.5K-7.0M-20.6K0.0927.22N/AN/A112106,7001,207
2007-03-22$17.98$17.5016.0%4.6%20.2%0.0%15.8%0.7%2.3%326.6K-6.6M-20.8K0.0014.82N/AN/A13706,7161,207
2007-03-23$18.20$17.5017.5%5.0%20.8%0.0%17.5%3.9%1.6%320.2K-7.2M-20.7K0.4723.33N/AN/A43206,7251,207
2007-03-26$18.18$17.5011.2%3.2%20.5%0.0%0.0%1.1%8.7%319.4K-7.2M-20.1K0.0016.13N/AN/A4806,7291,227
2007-03-27$18.15$17.5015.5%4.4%17.7%0.0%0.0%4.6%5.3%334.0K-7.0M-20.1K0.0029.02N/AN/A4806,7451,227
2007-03-28$17.98$17.5015.5%4.4%18.0%0.0%18.2%-0.9%2.9%329.1K-6.7M-20.5K0.2026.37N/AN/A1026,7891,227
2007-03-29$18.10$17.5018.5%5.3%18.2%0.0%0.0%1.1%-0.0%340.4K-6.9M-20.0K0.0023.10N/AN/A106,7991,229
2007-03-30$17.94$17.5016.0%4.6%16.7%0.0%16.0%0.7%2.9%328.3K-6.4M-20.1K0.0024.13N/AN/A2006,7991,229