CNP Options History — July 2007

In July 2007, CNP traded between $16.46 and $17.88. ATM implied volatility averaged 23.9%, placing in the 75.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.1% (HV 20d: 22.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2007-07-31: Highest Volume — 2,258 contracts
  • 2007-07-30: Largest IV spike — 41.8% change
  • 2007-07-30: Highest IV Rank — 100.0%
  • 2007-07-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.26$16.46$17.88$17.61$16.48
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV23.9%20.5%30.7%22.6%25.5%
Expected Move6.9%5.9%8.8%6.5%7.3%
HV 20d22.7%20.3%25.8%25.8%22.3%
HV 60d20.9%20.0%21.9%20.0%21.3%
IV Rank75.8%55.8%100.0%67.4%73.4%
IV Percentile87.4%48.2%100.0%80.2%97.2%
Term Structure-1.0%-7.2%3.7%1.6%-7.2%
VWIV23.2%13.4%30.5%22.6%21.0%
Skew 25d2.2%-7.6%12.4%4.1%-7.6%
Skew 10d4.4%-12.0%19.9%6.7%-5.9%
Call IV 25d22.7%15.9%30.9%20.7%29.9%
Put IV 25d24.8%20.3%36.7%24.8%22.2%
Bid-Ask Spread %20.3713.1738.1219.8030.47
Gamma HHI0.590.490.840.510.57
Net GEX172.1K81.9K441.1K174.8K81.9K
Net DEX-1.4M-2.8M300.2K-2.2M300.2K
Net VEX-12.4K-14.9K-9.6K-14.7K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.009.090.000.02
Total Volume291302,258702,258
Total OI7,161.7146,9058,2316,9217,315

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$17.61$17.5022.6%6.5%25.8%0.0%22.6%4.1%1.6%174.8K-2.2M-14.7K0.0019.80N/AN/A7005,3191,602
2007-07-03$17.71$17.5020.8%6.0%25.3%0.0%0.0%2.7%3.7%185.3K-2.5M-14.9K1.5423.71N/AN/A26405,3061,603
2007-07-05$17.66$17.5022.4%6.4%24.4%67.4%22.4%2.7%1.5%179.7K-2.2M-14.7K1.1518.22N/AN/A871005,3181,642
2007-07-06$17.78$17.5022.3%6.5%21.9%66.6%22.8%6.2%0.3%188.0K-2.5M-14.3K0.2913.17N/AN/A2475,3491,702
2007-07-09$17.64$17.5023.2%6.5%21.9%72.1%23.1%5.1%-0.1%189.3K-2.4M-13.7K0.6113.47N/AN/A38235,3591,708
2007-07-10$17.35$17.5023.0%7.4%22.2%70.6%25.7%12.4%-2.3%171.6K-1.9M-13.9K0.0029.11N/AN/A10105,3611,712
2007-07-11$17.31$17.5022.8%7.0%21.4%69.4%24.3%10.8%-1.4%170.1K-1.5M-13.5K5.0027.02N/AN/A5255,4391,712
2007-07-12$17.51$17.5025.0%7.2%20.3%82.9%25.0%3.8%-1.7%186.6K-1.9M-13.6K0.4715.18N/AN/A58275,4391,737
2007-07-13$17.88$17.5025.2%7.2%21.7%83.7%13.4%7.6%-2.3%204.4K-2.8M-14.0K0.5414.73N/AN/A106575,4381,751
2007-07-16$17.46$17.5024.6%7.1%23.1%80.6%25.4%-5.8%-0.9%194.7K-1.8M-13.2K0.3416.08N/AN/A89305,4481,802
2007-07-17$17.11$17.5024.4%7.0%23.7%78.9%24.4%1.1%-1.4%167.6K-1.1M-11.9K0.6014.84N/AN/A80485,4421,809
2007-07-18$17.11$17.5022.6%6.5%23.7%68.3%22.6%0.6%0.4%163.5K-766.7K-11.2K0.0818.60N/AN/A244205,4591,803
2007-07-19$17.56$17.5024.7%7.1%22.5%81.2%0.0%4.2%-0.9%236.2K-1.9M-12.7K0.0116.61N/AN/A1,407115,4561,823
2007-07-20$17.23$17.5024.3%7.0%23.6%78.4%27.5%-6.7%0.2%441.1K-1.4M-12.0K0.2213.91N/AN/A79176,3971,834
2007-07-23$17.18$17.5025.3%7.3%21.9%84.5%25.3%0.3%-1.7%143.8K-1.0M-11.4K0.3618.31N/AN/A64235,1301,775
2007-07-24$16.98$17.5025.1%7.2%22.4%83.3%24.7%-1.6%-1.5%131.9K-601.7K-10.4K9.0916.20N/AN/A111005,1771,796
2007-07-25$17.04$17.5024.8%7.1%22.4%81.2%24.8%-0.1%0.2%131.2K-576.6K-11.0K0.9819.23N/AN/A50495,1881,896
2007-07-26$16.77$17.5020.5%5.9%21.7%55.8%16.7%-4.0%0.8%104.6K-200.2K-10.3K1.2420.61N/AN/A851055,1511,899
2007-07-27$16.46$17.5021.6%6.2%22.5%62.5%18.5%3.7%-0.7%82.0K35.2K-10.3K0.8138.12N/AN/A2091695,1701,939
2007-07-30$16.64$17.5030.7%8.8%22.8%100.0%30.5%5.9%-6.9%85.8K23.8K-10.0K0.6630.33N/AN/A102675,2041,986
2007-07-31$16.48$17.5025.5%7.3%22.3%73.4%21.0%-7.6%-7.2%81.9K300.2K-9.6K0.0230.47N/AN/A2,221375,2642,051