CNP Options History — April 2007

In April 2007, CNP traded between $18.27 and $19.15. ATM implied volatility averaged 17.5%. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.9% (HV 20d: 15.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2007-04-09: Highest Volume — 349 contracts
  • 2007-04-23: Largest IV spike — 48.9% change
  • 2007-04-17: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.69$18.27$19.15$18.42$18.83
Max Pain$15.50$15.00$17.50$17.50$15.00
ATM IV17.5%12.0%23.8%12.3%15.2%
Expected Move5.1%3.4%6.8%3.5%4.4%
HV 20d15.6%14.2%16.2%16.2%16.2%
HV 60d16.6%16.5%17.1%17.1%16.7%
Term Structure0.4%-5.3%8.9%8.9%3.1%
VWIV21.6%11.4%37.0%11.9%37.0%
Skew 25d1.4%-8.2%6.8%0.7%-2.2%
Skew 10d4.1%-8.5%14.2%-0.1%7.0%
Call IV 25d16.6%12.4%22.0%12.9%16.6%
Put IV 25d18.1%13.3%22.2%13.6%14.4%
Bid-Ask Spread %16.126.4724.908.727.73
Gamma HHI0.570.500.650.640.52
Net GEX361.6K320.9K392.0K348.6K385.8K
Net DEX-9.1M-10.3M-7.9M-7.9M-9.1M
Net VEX-17.2K-18.8K-15.2K-18.2K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.005.000.630.02
Total Volume129.05734926283
Total OI8,323.757,7798,6598,0338,262

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$18.42$17.5012.3%3.5%16.2%0.0%11.9%0.7%8.9%348.6K-7.9M-18.2K0.638.72N/AN/A16106,8041,229
2007-04-03$18.38$17.5012.1%3.5%15.4%0.0%0.0%0.6%6.7%356.7K-8.1M-17.3K0.837.92N/AN/A12106,8091,239
2007-04-04$18.45$17.5012.5%3.6%15.3%0.0%11.4%1.7%8.7%355.9K-8.2M-17.4K0.007.44N/AN/A2106,8191,237
2007-04-05$18.49$17.5014.8%4.3%15.3%0.0%18.2%1.2%7.0%344.1K-8.4M-17.3K0.107.70N/AN/A217226,8231,237
2007-04-09$18.53$15.0016.7%5.5%15.3%0.0%11.7%5.9%-1.6%354.5K-8.8M-16.9K0.0024.90N/AN/A34906,9531,239
2007-04-10$18.64$15.0019.8%6.5%15.3%0.0%22.7%3.0%-2.4%360.8K-8.9M-18.6K0.3216.95N/AN/A53177,2991,239
2007-04-11$18.63$15.0021.0%6.2%14.2%0.0%21.6%5.0%-3.5%359.1K-9.2M-17.9K0.2224.80N/AN/A45107,3071,256
2007-04-12$18.47$15.0021.1%6.0%14.8%0.0%21.0%5.0%-1.0%377.5K-8.7M-18.8K0.2217.71N/AN/A229507,3301,266
2007-04-13$18.27$15.0019.4%5.6%15.5%0.0%19.3%5.1%0.6%388.6K-8.3M-18.1K0.0017.48N/AN/A707,3301,275
2007-04-16$18.48$15.0020.9%6.0%15.6%0.0%0.0%6.8%-1.0%392.0K-8.8M-17.5K5.0012.33N/AN/A2107,3011,275
2007-04-17$18.75$15.0023.8%6.8%15.8%0.0%22.1%-0.6%-4.2%367.9K-9.0M-18.2K0.4522.82N/AN/A110507,3011,285
2007-04-18$18.93$15.0016.8%4.8%15.8%0.0%18.3%-6.1%-0.1%320.9K-9.9M-15.9K0.0012.83N/AN/A7207,2981,328
2007-04-19$18.68$15.0022.0%6.3%16.0%0.0%21.7%4.0%-5.3%382.9K-9.3M-16.4K0.0022.20N/AN/A4207,3311,328
2007-04-20$18.86$15.0012.0%3.4%15.9%0.0%28.7%4.8%7.1%357.1K-9.2M-18.1K0.006.47N/AN/A24607,3261,328
2007-04-23$18.89$15.0017.8%5.1%15.5%0.0%22.5%-8.2%-4.9%346.0K-9.8M-15.2K0.0513.30N/AN/A293157,196583
2007-04-24$18.93$15.0017.6%5.1%15.4%0.0%15.4%-4.1%-1.8%341.4K-10.0M-15.5K0.3222.57N/AN/A96317,473578
2007-04-25$19.15$15.0016.7%4.8%15.7%0.0%34.8%1.6%-1.9%360.5K-10.3M-15.5K0.2822.65N/AN/A130367,517600
2007-04-26$18.94$15.0018.5%5.3%15.9%0.0%19.1%3.1%-3.7%358.3K-10.0M-15.6K0.0022.06N/AN/A8007,582636
2007-04-27$19.06$15.0018.7%5.4%15.9%0.0%31.8%1.6%-3.9%372.5K-10.0M-16.5K0.0023.78N/AN/A1707,620636
2007-04-30$18.83$15.0015.2%4.4%16.2%0.0%37.0%-2.2%3.1%385.8K-9.1M-18.2K0.027.73N/AN/A27857,626636