CNP Options History — August 2007

In August 2007, CNP traded between $15.15 and $17.09. ATM implied volatility averaged 29.2%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 6.3% (HV 20d: 35.6%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 3.47.

Notable Days

  • 2007-08-22: Highest Volume — 964 contracts
  • 2007-08-30: Largest IV spike — 156.7% change
  • 2007-08-03: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.36$15.15$17.09$17.07$16.22
Max Pain$15.43$15.00$17.50$17.50$15.00
ATM IV29.2%13.5%48.3%28.9%34.7%
Expected Move7.7%3.8%10.8%8.3%9.9%
HV 20d35.6%26.1%41.3%26.1%35.9%
HV 60d27.5%22.5%30.6%22.7%29.9%
IV Rank57.7%6.3%100.0%91.0%63.3%
IV Percentile78.2%5.5%100.0%99.3%95.8%
Term Structure-0.7%-21.3%12.1%-6.3%-5.6%
VWIV25.4%16.1%38.4%29.4%16.1%
Skew 25d7.4%-20.3%22.5%-3.0%10.9%
Skew 10d8.1%-4.9%12.2%-4.9%10.4%
Call IV 25d23.2%13.0%43.6%30.2%18.9%
Put IV 25d30.6%19.2%38.7%27.2%29.8%
Bid-Ask Spread %28.7219.0652.9323.9925.37
Gamma HHI0.720.450.880.790.66
Net GEX178.3K24.6K333.7K253.2K146.3K
Net DEX-758.9K-2.4M1.0M-1.5M-983.9K
Net VEX-12.2K-15.2K-8.4K-15.2K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.0050.200.540.88
Total Volume2671096417660
Total OI8,163.7835,42610,0959,2147,165

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$17.07$17.5028.9%8.3%26.1%91.0%29.4%-3.0%-6.3%253.2K-1.5M-15.2K0.5423.99N/AN/A114627,1432,071
2007-08-02$16.80$17.5020.1%5.7%26.5%45.5%23.5%0.0%-0.7%246.6K-1.1M-14.0K0.0025.56N/AN/A9407,1702,071
2007-08-03$16.01$17.5036.0%10.3%30.8%100.0%32.6%-20.3%-21.3%143.9K-115.4K-13.0K1.5452.93N/AN/A50777,1682,071
2007-08-06$16.44$17.5023.6%3.8%32.8%50.1%38.4%22.5%12.1%152.0K-468.2K-13.2K0.0048.55N/AN/A11807,1712,133
2007-08-07$16.78$15.0026.4%7.0%33.4%61.2%25.0%7.7%-0.1%223.1K-587.8K-12.7K0.0430.76N/AN/A263107,1692,133
2007-08-08$16.58$15.0034.6%7.5%33.6%94.1%26.7%6.2%-1.2%185.9K-429.9K-12.5K0.0024.50N/AN/A24107,2242,143
2007-08-09$16.16$15.0038.6%10.0%34.2%100.0%26.6%8.3%-0.2%148.6K-115.8K-12.1K0.0424.64N/AN/A5227,3292,143
2007-08-10$16.17$15.0042.1%9.9%33.0%100.0%27.3%8.3%-2.0%146.4K-1.5K-11.5K0.2727.04N/AN/A244657,3422,145
2007-08-13$16.12$15.0048.3%9.4%32.3%100.0%29.6%3.8%-3.5%136.7K340.7K-10.9K0.0019.63N/AN/A71307,4282,210
2007-08-14$15.56$15.0030.1%8.9%33.7%51.1%31.0%10.9%0.7%76.9K885.3K-9.6K0.0021.64N/AN/A1007,8852,210
2007-08-15$15.15$15.0037.8%9.1%34.5%71.6%23.1%5.1%-1.8%24.6K1.0M-8.4K0.2125.25N/AN/A140307,8951,955
2007-08-16$15.48$15.0037.8%10.8%34.0%71.8%37.8%11.9%-3.8%50.7K709.9K-9.2K2.2125.17N/AN/A1052327,9261,972
2007-08-17$15.97$15.0032.5%9.3%36.1%57.4%16.6%14.4%1.2%112.9K401.6K-10.1K4.5919.06N/AN/A663037,9522,029
2007-08-20$16.70$15.0026.7%7.7%40.0%41.9%27.5%7.8%-1.2%187.7K-1.8M-12.4K0.0723.88N/AN/A337254,3841,042
2007-08-21$16.80$15.0022.5%6.5%39.9%30.6%23.3%7.0%3.1%262.5K-2.1M-12.8K0.0730.10N/AN/A567424,6001,066
2007-08-22$16.89$15.0021.1%6.0%39.9%26.6%21.2%9.6%2.4%283.6K-2.0M-13.0K16.8529.12N/AN/A549104,8621,098
2007-08-23$17.09$15.0020.3%5.8%39.7%24.7%20.4%9.7%3.6%317.7K-2.4M-14.0K0.0824.83N/AN/A200164,8751,598
2007-08-24$17.04$15.0018.8%5.4%39.1%20.5%18.7%10.9%4.4%333.7K-2.2M-13.6K0.2125.73N/AN/A146304,8901,614
2007-08-27$16.43$15.0019.3%5.5%41.1%21.7%23.5%6.8%-0.7%187.7K-1.6M-13.3K0.5036.21N/AN/A66334,9391,634
2007-08-28$16.19$15.0024.3%7.0%41.3%35.2%16.8%1.4%2.6%150.8K-926.9K-12.0K0.2543.51N/AN/A97244,9531,656
2007-08-29$16.49$15.0013.5%3.9%39.8%6.3%22.4%17.5%10.5%179.9K-1.5M-12.8K1.2126.43N/AN/A14174,9571,680
2007-08-30$16.20$15.0034.7%10.0%39.9%63.5%16.1%12.3%-8.4%149.6K-1.1M-12.2K50.2026.75N/AN/A105024,9691,697
2007-08-31$16.22$15.0034.7%9.9%35.9%63.3%0.0%10.9%-5.6%146.3K-983.9K-12.9K0.8825.37N/AN/A32284,9692,196