CNP Options History — October 2007

In October 2007, CNP traded between $15.97 and $17.17. ATM implied volatility averaged 22.5%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 20.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.60.

Notable Days

  • 2007-10-19: Highest Volume — 2,119 contracts
  • 2007-10-08: Largest IV spike — 89.1% change
  • 2007-10-24: Highest IV Rank — 64.5%
  • 2007-10-24: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.52$15.97$17.17$16.40$16.76
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV22.5%10.9%35.0%15.0%21.3%
Expected Move6.8%4.2%10.0%4.3%6.1%
HV 20d20.0%18.5%21.2%20.2%19.0%
HV 60d28.3%24.9%29.7%29.5%24.9%
IV Rank30.9%0.0%64.5%10.3%27.7%
IV Percentile56.7%0.0%97.1%9.1%52.6%
Term Structure-0.0%-6.4%8.5%8.5%-4.1%
VWIV25.3%16.7%35.2%21.2%30.9%
Skew 25d4.2%-8.4%15.4%2.4%-3.8%
Skew 10d6.7%-3.1%16.4%3.8%-2.3%
Call IV 25d22.5%14.0%30.1%15.6%26.2%
Put IV 25d26.7%18.0%35.1%18.0%22.4%
Bid-Ask Spread %21.777.7832.277.7827.45
Gamma HHI0.340.300.410.330.30
Net GEX81.0K58.2K106.5K58.2K85.3K
Net DEX-2.0M-3.2M-1.0M-1.5M-2.3M
Net VEX-16.0K-19.7K-12.2K-12.2K-17.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0017.590.000.00
Total Volume245.60912,11926552
Total OI8,682.6966,85810,1666,85810,166

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$16.40$15.0015.0%4.3%20.2%10.3%0.0%2.4%8.5%58.2K-1.5M-12.2K0.007.78N/AN/A26504,0852,773
2007-10-02$16.47$15.0016.4%4.7%20.1%14.0%0.0%4.2%7.1%59.7K-1.6M-12.5K0.8813.30N/AN/A1901684,2282,773
2007-10-03$16.47$15.0017.9%5.1%19.9%18.1%0.0%7.2%5.5%60.2K-1.6M-13.5K0.5515.12N/AN/A2331274,4182,908
2007-10-04$16.47$15.0014.6%4.2%19.7%9.2%0.0%6.1%8.2%65.9K-1.8M-14.1K1.4613.06N/AN/A54794,6502,998
2007-10-05$16.87$15.0010.9%6.1%19.5%0.0%21.2%5.3%1.3%66.7K-2.3M-13.4K0.0225.99N/AN/A29454,6973,077
2007-10-08$17.00$15.0020.7%7.1%19.5%26.1%26.0%-2.3%0.3%86.0K-3.0M-14.6K0.6610.88N/AN/A2411584,9373,077
2007-10-09$17.17$15.0022.0%7.0%19.3%29.6%24.9%6.3%-1.6%101.6K-3.2M-14.9K0.0718.45N/AN/A138105,1123,120
2007-10-10$16.94$15.0014.5%7.1%20.1%9.5%24.7%-3.3%-2.3%106.5K-2.8M-14.7K1.9514.57N/AN/A19375,2333,113
2007-10-11$16.79$15.0023.0%6.6%20.1%32.3%0.0%6.3%0.8%103.1K-2.5M-14.8K0.0232.27N/AN/A16445,2523,114
2007-10-12$16.92$15.0023.0%6.6%20.2%32.4%23.2%6.8%0.7%105.5K-2.7M-15.6K0.0726.82N/AN/A4035,3223,118
2007-10-15$16.65$15.0025.1%7.2%21.1%38.0%0.0%4.7%-1.2%98.7K-2.4M-14.4K2.2126.96N/AN/A611355,3243,118
2007-10-16$16.44$15.0022.4%6.4%21.2%30.7%17.6%3.6%-3.3%91.1K-2.1M-15.3K0.1029.19N/AN/A105105,3793,251
2007-10-17$16.38$15.0027.3%7.8%20.1%43.7%28.1%4.0%-1.9%93.4K-2.0M-15.3K0.0023.30N/AN/A015,4573,224
2007-10-18$16.36$15.0022.8%6.5%19.2%31.7%0.0%3.2%-3.2%91.6K-2.1M-15.4K0.0026.92N/AN/A10005,4573,224
2007-10-19$15.97$15.0030.7%8.8%20.1%52.9%28.7%1.5%-0.9%86.9K-1.6M-15.0K17.5928.11N/AN/A1142,0055,5573,224
2007-10-22$16.16$15.0033.7%9.7%20.6%60.9%23.7%5.5%-4.7%66.4K-1.3M-19.3K1.2322.08N/AN/A35435,0934,516
2007-10-23$16.05$15.0033.7%9.7%20.6%60.9%0.0%15.4%-2.8%68.9K-1.1M-19.3K0.4719.41N/AN/A43205,1054,524
2007-10-24$16.04$15.0035.0%10.0%20.5%64.5%35.2%13.4%-6.4%69.0K-1.0M-19.0K5.0021.36N/AN/A15755,1314,544
2007-10-25$16.26$15.0020.7%5.9%20.9%26.1%24.0%13.6%5.1%68.1K-1.4M-19.7K2.6117.47N/AN/A23605,1444,603
2007-10-26$16.43$15.0019.5%5.6%20.1%23.0%16.7%12.5%6.4%71.7K-1.6M-19.1K0.0027.93N/AN/A5105,1674,634
2007-10-29$16.44$15.0024.4%7.0%18.5%36.1%28.7%-8.4%-5.8%75.1K-1.9M-18.1K0.4126.13N/AN/A2491015,1674,634
2007-10-30$16.57$15.0023.7%6.8%18.6%34.2%0.0%-6.7%-5.9%82.7K-2.1M-19.0K0.0026.23N/AN/A12205,3194,735
2007-10-31$16.76$15.0021.3%6.1%19.0%27.7%30.9%-3.8%-4.1%85.3K-2.3M-17.7K0.0027.45N/AN/A5205,4314,735