CNP Options History — June 2007

In June 2007, CNP traded between $16.90 and $18.71. ATM implied volatility averaged 22.6%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.5% (HV 20d: 21.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2007-06-05: Highest Volume — 645 contracts
  • 2007-06-13: Largest IV drop — 22.9% change
  • 2007-06-04: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.66$16.90$18.71$18.71$17.40
Max Pain$17.62$17.50$20.00$20.00$17.50
ATM IV22.6%18.6%25.5%22.5%21.8%
Expected Move6.4%5.3%7.1%6.4%6.3%
HV 20d21.1%15.8%25.2%15.8%25.2%
HV 60d18.7%16.1%20.3%16.1%19.9%
Term Structure0.8%-5.1%3.6%-5.1%2.0%
VWIV22.1%19.1%24.8%24.8%21.8%
Skew 25d3.5%-2.8%9.9%1.7%1.1%
Skew 10d5.5%-3.0%15.8%2.6%1.6%
Call IV 25d19.2%15.3%26.3%15.3%22.1%
Put IV 25d22.8%16.9%28.3%16.9%23.2%
Bid-Ask Spread %18.059.5041.929.5022.43
Gamma HHI0.520.470.580.540.54
Net GEX179.2K135.4K256.9K256.9K165.2K
Net DEX-2.4M-4.3M-1.1M-4.3M-1.8M
Net VEX-14.1K-15.8K-12.6K-15.8K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.007.540.000.00
Total Volume160.381864537138
Total OI6,422.7625,8466,8866,0666,886

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$18.71$20.0022.5%6.4%15.8%0.0%0.0%1.7%-5.1%256.9K-4.3M-15.8K0.009.50N/AN/A3705,397669
2007-06-04$18.67$17.5023.9%7.1%15.8%0.0%24.8%3.7%-0.5%253.8K-4.2M-15.5K1.7322.12N/AN/A11195,414669
2007-06-05$18.32$17.5024.5%6.6%16.8%0.0%22.8%3.0%-0.1%240.4K-3.6M-14.7K0.1022.98N/AN/A587585,405669
2007-06-06$17.97$17.5024.0%6.7%15.9%0.0%23.4%6.6%-0.2%194.6K-2.8M-13.5K0.3915.83N/AN/A152605,119727
2007-06-07$17.43$17.5025.0%6.5%17.6%0.0%22.0%2.1%0.9%169.4K-2.0M-12.6K7.5413.66N/AN/A614605,243737
2007-06-08$17.56$17.5023.9%6.6%18.1%0.0%0.0%9.9%1.2%157.2K-2.1M-13.7K1.6713.95N/AN/A18305,2451,082
2007-06-11$17.79$17.5024.5%6.9%18.9%0.0%23.2%5.9%-0.8%182.6K-2.6M-13.1K0.8415.79N/AN/A2452065,2471,054
2007-06-12$17.50$17.5025.5%6.7%19.1%0.0%19.7%3.5%-0.0%161.4K-2.2M-14.3K1.7011.32N/AN/A20345,4431,244
2007-06-13$17.89$17.5019.7%6.6%21.5%0.0%0.0%6.6%0.7%177.2K-2.8M-14.7K0.0014.85N/AN/A805,4571,241
2007-06-14$17.94$17.5023.9%6.8%21.7%0.0%24.1%7.1%0.0%182.6K-3.0M-14.5K0.0715.32N/AN/A2925,4571,241
2007-06-15$18.06$17.5022.8%6.5%21.9%0.0%20.1%7.3%0.1%192.1K-3.2M-14.4K0.6013.90N/AN/A84505,4531,241
2007-06-18$17.85$17.5022.7%6.5%22.0%0.0%0.0%-2.8%0.8%178.9K-2.7M-13.9K2.4313.46N/AN/A21514,8391,200
2007-06-19$17.91$17.5023.1%6.6%22.1%0.0%23.1%4.4%1.3%177.8K-2.8M-14.3K0.0018.24N/AN/A16504,8561,225
2007-06-20$17.31$17.5020.6%5.9%24.5%0.0%19.1%4.1%3.0%171.4K-1.9M-13.2K1.5111.68N/AN/A1041575,0131,225
2007-06-21$17.31$17.5021.7%6.2%24.5%0.0%21.7%3.2%1.7%161.2K-1.8M-13.3K0.2015.13N/AN/A194395,0561,382
2007-06-22$16.90$17.5022.5%6.4%24.3%0.0%0.0%0.7%1.2%142.7K-1.3M-13.3K0.0041.92N/AN/A0855,2111,396
2007-06-25$16.92$17.5022.1%6.3%24.4%0.0%0.0%1.0%1.6%142.9K-1.2M-13.4K0.0021.33N/AN/A01105,2111,481
2007-06-26$16.92$17.5018.6%5.3%23.4%0.0%0.0%-0.9%3.6%135.4K-1.1M-14.0K0.0023.03N/AN/A3705,2111,591
2007-06-27$17.28$17.5020.8%6.0%25.1%0.0%0.0%3.2%3.4%155.4K-1.6M-14.5K0.0023.91N/AN/A0135,2241,591
2007-06-28$17.31$17.5021.6%6.2%25.1%0.0%21.6%3.3%2.3%163.8K-1.9M-14.6K0.0218.72N/AN/A8125,2241,602
2007-06-29$17.40$17.5021.8%6.3%25.2%0.0%21.8%1.1%2.0%165.2K-1.8M-14.6K0.0022.43N/AN/A13805,2841,602