CNP Options History — May 2007

In May 2007, CNP traded between $18.71 and $20.02. ATM implied volatility averaged 18.4%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.2% (HV 20d: 17.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2007-05-11: Highest Volume — 5,777 contracts
  • 2007-05-30: Largest IV drop — 26.4% change
  • 2007-05-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.43$18.71$20.02$19.34$18.93
Max Pain$18.41$15.00$20.00$15.00$20.00
ATM IV18.4%12.3%21.4%16.7%12.3%
Expected Move5.2%3.5%6.1%4.8%3.5%
HV 20d17.1%16.1%18.7%16.3%16.2%
HV 60d17.1%15.9%17.4%17.4%15.9%
Term Structure1.4%-4.0%9.9%-0.7%9.9%
VWIV20.2%15.7%40.7%40.7%20.4%
Skew 25d1.3%-3.9%10.4%-3.9%4.3%
Skew 10d1.7%-6.5%11.3%-1.8%6.4%
Call IV 25d17.9%12.6%21.4%21.2%12.6%
Put IV 25d19.1%15.3%25.3%17.2%16.9%
Bid-Ask Spread %15.788.4428.3923.078.44
Gamma HHI0.620.500.770.510.52
Net GEX324.9K220.2K420.5K317.6K231.0K
Net DEX-7.8M-12.8M-3.9M-10.8M-4.2M
Net VEX-15.0K-16.0K-14.1K-14.8K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.230.000.00
Total Volume473.68205,777369459
Total OI7,072.9555,2609,3018,2575,640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$19.34$15.0016.7%4.8%16.3%0.0%40.7%-3.9%-0.7%317.6K-10.8M-14.8K0.0023.07N/AN/A36907,616641
2007-05-02$19.36$15.0018.5%5.3%16.2%0.0%15.7%4.5%-4.0%336.7K-10.8M-14.9K0.2412.63N/AN/A168407,655641
2007-05-03$19.61$15.0021.4%6.1%16.6%0.0%21.6%6.5%-2.3%321.9K-11.5M-14.9K0.1210.21N/AN/A417507,775679
2007-05-04$19.57$15.0020.7%5.6%16.7%0.0%19.8%6.8%0.5%336.8K-11.5M-15.3K0.0126.54N/AN/A47258,004719
2007-05-07$19.53$15.0017.2%5.4%16.8%0.0%18.7%6.8%1.3%372.8K-11.6M-15.3K0.1222.75N/AN/A82108,298718
2007-05-08$19.87$17.5021.1%5.4%17.6%0.0%18.8%0.8%1.2%403.1K-12.6M-14.8K0.1710.21N/AN/A300528,303720
2007-05-09$20.02$17.5020.3%5.4%17.6%0.0%18.8%0.6%2.5%420.5K-12.8M-15.4K0.1713.63N/AN/A351618,361772
2007-05-10$19.75$17.5019.5%5.6%18.1%0.0%19.5%-0.2%0.6%409.7K-12.1M-15.6K0.0013.81N/AN/A37508,468833
2007-05-11$19.87$17.5019.6%5.6%17.3%0.0%19.6%0.9%1.1%406.6K-10.9M-16.0K0.0012.21N/AN/A5,757207,728833
2007-05-14$19.64$20.0019.2%5.5%18.0%0.0%19.2%-1.7%0.8%402.1K-6.3M-15.3K0.4916.63N/AN/A102505,613851
2007-05-15$19.61$20.0018.8%5.4%17.5%0.0%0.0%-1.8%1.3%409.1K-6.1M-15.1K0.0016.04N/AN/A16605,665901
2007-05-16$19.51$20.0019.8%5.7%17.5%0.0%19.8%-2.2%0.6%351.5K-5.9M-15.3K0.0014.93N/AN/A13505,772901
2007-05-17$19.53$20.0019.6%5.6%16.6%0.0%19.6%-2.3%1.0%364.7K-5.9M-15.3K0.2611.66N/AN/A77205,787901
2007-05-18$19.56$20.0018.8%5.4%16.3%0.0%18.8%-1.9%1.9%344.8K-5.8M-15.2K1.2313.34N/AN/A65805,765916
2007-05-21$19.56$20.0017.7%5.1%16.4%0.0%17.8%-1.2%2.2%256.3K-5.3M-14.6K0.6816.56N/AN/A66454,692568
2007-05-22$19.48$20.0019.0%5.5%16.5%0.0%19.1%-1.6%0.0%263.2K-5.4M-14.3K0.2221.88N/AN/A93204,739586
2007-05-23$19.24$20.0014.8%4.3%16.7%0.0%18.1%-2.7%1.5%254.0K-4.9M-14.3K0.4428.39N/AN/A79354,757604
2007-05-24$18.76$20.0018.3%5.2%18.7%0.0%22.3%3.9%-2.0%227.7K-4.1M-14.9K0.2224.15N/AN/A116254,835624
2007-05-25$18.71$20.0020.5%5.9%18.5%0.0%15.7%10.4%6.7%220.2K-3.9M-15.0K0.1311.11N/AN/A154204,821649
2007-05-29$18.98$20.0017.5%5.0%18.7%0.0%20.4%-2.7%-0.8%251.7K-4.4M-14.8K0.169.39N/AN/A73124,945669
2007-05-30$19.07$20.0012.9%3.7%16.1%0.0%0.0%4.4%7.9%245.9K-4.4M-14.4K0.009.48N/AN/A004,971669
2007-05-31$18.93$20.0012.3%3.5%16.2%0.0%0.0%4.3%9.9%231.0K-4.2M-14.1K0.008.44N/AN/A45904,971669