CNP Options History — September 2007

In September 2007, CNP traded between $15.98 and $16.59. ATM implied volatility averaged 21.3%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 5.7% (HV 20d: 26.9%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.88.

Notable Days

2007-09-25: Highest Volume — 723 contracts
2007-09-28: Largest IV spike — 70.8% change
2007-09-14: Highest IV Rank — 56.8%
2007-09-14: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.26	$15.98	$16.59	$16.33	$16.03
Max Pain	$15.79	$15.00	$17.50	$15.00	$15.00
ATM IV	21.3%	13.1%	32.3%	15.4%	23.3%
Expected Move	6.6%	3.8%	9.2%	4.4%	6.7%
HV 20d	26.9%	18.4%	34.7%	34.7%	18.4%
HV 60d	29.3%	28.7%	29.9%	29.9%	29.2%
IV Rank	27.1%	5.2%	56.8%	11.3%	32.7%
IV Percentile	47.2%	4.9%	94.3%	10.1%	73.1%
Term Structure	3.0%	-3.9%	12.5%	12.5%	-3.8%
VWIV	18.1%	13.1%	31.0%	17.9%	17.0%
Skew 25d	8.1%	-2.2%	17.7%	4.5%	-1.8%
Skew 10d	8.9%	-1.5%	22.0%	5.9%	4.3%
Call IV 25d	18.8%	12.3%	24.6%	14.2%	18.8%
Put IV 25d	26.9%	17.0%	31.5%	18.7%	17.0%
Bid-Ask Spread %	25.01	9.48	37.05	9.48	11.85
Gamma HHI	0.48	0.27	0.79	0.60	0.27
Net GEX	65.4K	22.7K	170.8K	105.9K	31.0K
Net DEX	-705.9K	-1.3M	-189.2K	-334.7K	-730.0K
Net VEX	-11.0K	-12.7K	-9.9K	-10.3K	-12.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	0.00	21.76	0.00	0.06
Total Volume	178.421	7	723	56	329
Total OI	7,398.947	5,537	8,583	7,211	6,553

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-09-04	$16.33	$15.00	15.4%	4.4%	34.7%	11.3%	0.0%	4.5%	12.5%	105.9K	-334.7K	-10.3K	0.00	9.48	N/A	N/A	56	0	4,987	2,224
2007-09-05	$16.21	$15.00	21.2%	6.1%	33.9%	27.0%	0.0%	3.5%	7.5%	93.6K	-303.7K	-10.6K	0.00	15.44	N/A	N/A	100	0	5,037	2,215
2007-09-06	$16.36	$15.00	17.9%	5.1%	33.9%	18.1%	0.0%	8.0%	10.9%	136.2K	-586.8K	-10.8K	0.02	13.52	N/A	N/A	116	2	5,137	2,215
2007-09-07	$16.00	$15.00	22.1%	9.0%	33.6%	29.5%	0.0%	6.9%	1.0%	52.7K	-270.8K	-10.6K	0.80	36.94	N/A	N/A	25	20	5,237	2,217
2007-09-10	$15.98	$15.00	20.6%	8.7%	33.6%	25.5%	17.9%	5.6%	1.4%	22.7K	-189.2K	-9.9K	0.31	32.24	N/A	N/A	284	87	5,249	2,237
2007-09-11	$16.20	$17.50	23.6%	9.1%	33.9%	33.4%	22.3%	7.1%	-0.7%	67.7K	-378.6K	-10.8K	0.00	28.62	N/A	N/A	114	0	5,529	2,262
2007-09-12	$16.22	$17.50	27.7%	8.8%	31.2%	44.6%	0.0%	10.5%	4.4%	91.7K	-769.7K	-11.6K	3.27	30.14	N/A	N/A	11	36	5,640	2,260
2007-09-13	$16.07	$17.50	31.9%	9.1%	29.6%	55.8%	0.0%	5.8%	-3.9%	72.4K	-654.1K	-11.0K	0.00	29.12	N/A	N/A	7	0	5,650	2,248
2007-09-14	$16.14	$17.50	32.3%	9.2%	28.8%	56.8%	13.6%	16.8%	-0.2%	53.0K	-590.3K	-11.1K	0.00	17.86	N/A	N/A	10	0	5,649	2,224
2007-09-17	$16.06	$17.50	31.8%	9.1%	26.8%	55.6%	14.2%	13.9%	1.1%	26.4K	-477.2K	-10.5K	21.76	20.95	N/A	N/A	17	370	5,651	2,224
2007-09-18	$16.27	$17.50	23.7%	6.8%	21.7%	33.8%	31.0%	5.5%	-1.3%	39.6K	-599.4K	-11.0K	0.13	30.72	N/A	N/A	200	25	5,656	2,584
2007-09-19	$16.59	$15.00	16.7%	4.8%	22.8%	14.7%	16.0%	7.2%	2.8%	170.8K	-1.3M	-11.1K	2.48	36.30	N/A	N/A	29	72	5,856	2,597
2007-09-20	$16.32	$15.00	19.1%	5.5%	23.3%	21.3%	19.1%	9.0%	1.0%	96.4K	-1.1M	-10.7K	0.33	37.05	N/A	N/A	99	33	5,867	2,610
2007-09-21	$16.57	$15.00	16.4%	4.7%	23.6%	14.0%	13.1%	-2.2%	1.8%	43.3K	-1.3M	-10.4K	2.63	23.88	N/A	N/A	19	50	5,965	2,618
2007-09-24	$16.45	$15.00	14.5%	4.2%	23.7%	8.9%	14.9%	15.1%	8.4%	33.1K	-858.4K	-10.7K	2.73	27.04	N/A	N/A	105	287	3,117	2,420
2007-09-25	$16.36	$15.00	18.9%	5.4%	19.9%	20.9%	20.1%	6.0%	-1.1%	27.8K	-694.4K	-11.0K	0.36	25.91	N/A	N/A	531	192	3,206	2,563
2007-09-26	$16.46	$15.00	13.1%	3.8%	19.3%	5.2%	0.0%	17.7%	8.3%	40.0K	-1.2M	-12.6K	0.39	25.24	N/A	N/A	31	12	3,717	2,717
2007-09-27	$16.32	$15.00	13.6%	3.9%	18.4%	6.6%	0.0%	15.2%	6.6%	37.9K	-1.1M	-12.7K	0.46	22.83	N/A	N/A	83	38	3,713	2,729
2007-09-28	$16.03	$15.00	23.3%	6.7%	18.4%	32.7%	17.0%	-1.8%	-3.8%	31.0K	-730.0K	-12.3K	0.06	11.85	N/A	N/A	310	19	3,786	2,767