CNP Options History — November 2007

In November 2007, CNP traded between $16.67 and $18.51. ATM implied volatility averaged 24.9%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.5% (HV 20d: 25.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2007-11-13: Highest Volume — 2,944 contracts
  • 2007-11-14: Largest IV drop — 22.5% change
  • 2007-11-07: Highest IV Rank — 52.2%
  • 2007-11-26: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.69$16.67$18.51$16.67$17.85
Max Pain$17.14$15.00$17.50$15.00$17.50
ATM IV24.9%20.9%30.4%22.6%20.9%
Expected Move7.0%6.0%7.6%6.5%6.0%
HV 20d25.4%19.2%27.7%19.2%26.9%
HV 60d23.5%21.8%26.2%24.8%21.9%
IV Rank37.4%26.7%52.2%31.1%26.7%
IV Percentile77.4%43.9%91.6%65.7%43.9%
Term Structure0.6%-2.6%3.4%-2.6%1.2%
VWIV24.5%21.0%27.5%27.5%21.0%
Skew 25d5.2%-6.4%17.8%-6.4%11.9%
Skew 10d7.8%-5.6%26.7%-5.6%26.7%
Call IV 25d20.7%16.7%27.4%27.4%18.0%
Put IV 25d25.9%20.7%41.8%20.9%29.9%
Bid-Ask Spread %19.3913.0531.5424.2024.16
Gamma HHI0.360.280.490.300.37
Net GEX108.9K-39.2K182.9K90.3K129.0K
Net DEX-4.2M-7.1M-2.5M-2.5M-3.7M
Net VEX-17.5K-19.1K-14.6K-18.4K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.410.240.81
Total Volume335.81272,944146112
Total OI9,728.8578,35511,38210,1998,542

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$16.67$15.0022.6%6.5%19.2%31.1%27.5%-6.4%-2.6%90.3K-2.5M-18.4K0.2424.20N/AN/A118285,4644,735
2007-11-02$17.11$15.0023.5%6.7%19.5%33.5%24.0%17.8%-1.5%101.0K-2.9M-17.7K0.0017.90N/AN/A6405,5304,748
2007-11-05$17.64$15.0022.4%7.2%22.1%30.6%25.0%1.7%-0.7%146.2K-4.4M-16.9K0.1816.18N/AN/A8461505,5604,748
2007-11-06$18.21$17.5026.3%7.3%24.4%41.1%24.9%6.9%0.6%153.3K-6.0M-14.6K0.0916.62N/AN/A729685,8124,833
2007-11-07$18.06$17.5030.4%7.2%24.0%52.2%25.1%5.7%0.9%159.4K-5.9M-18.4K0.0818.28N/AN/A507406,1594,811
2007-11-08$18.51$17.5026.1%7.6%24.7%40.7%26.9%1.9%1.2%177.1K-7.1M-16.4K0.2131.54N/AN/A290606,4574,850
2007-11-09$18.22$17.5026.2%7.0%25.7%40.8%24.5%0.6%3.0%154.4K-6.2M-19.1K0.0026.60N/AN/A13806,3674,869
2007-11-12$17.67$17.5025.8%7.0%27.7%39.7%24.3%2.7%1.0%167.3K-5.0M-19.0K1.4121.20N/AN/A44626,4584,869
2007-11-13$17.92$17.5029.8%6.8%27.3%50.4%23.7%3.5%3.4%182.9K-5.6M-19.1K0.0014.84N/AN/A2,934106,4614,921
2007-11-14$17.83$17.5023.1%6.9%27.3%32.4%24.2%5.9%0.4%14.5K-4.2M-17.7K0.0321.98N/AN/A14655,2464,931
2007-11-15$17.84$17.5025.3%7.3%27.3%38.4%25.3%5.8%0.7%28.2K-4.3M-17.9K0.7113.05N/AN/A49355,3194,931
2007-11-16$17.66$17.5026.3%7.5%25.8%41.1%26.3%4.5%0.5%-39.2K-3.8M-18.7K0.8016.91N/AN/A30245,3234,936
2007-11-19$17.57$17.5022.8%6.5%25.9%31.7%22.8%3.1%2.3%96.2K-3.3M-17.5K0.3513.44N/AN/A2384,1414,214
2007-11-20$17.78$17.5025.7%7.4%25.7%39.6%25.7%6.0%-0.1%96.3K-3.5M-17.5K1.2719.65N/AN/A26334,1414,222
2007-11-21$17.46$17.5023.7%6.8%26.9%34.2%23.7%2.3%-0.2%96.6K-3.3M-17.1K0.4015.06N/AN/A135544,1434,243
2007-11-23$17.49$17.5022.8%6.5%26.7%31.6%22.8%2.0%3.1%97.5K-3.1M-18.1K0.0817.09N/AN/A5954,1744,236
2007-11-26$17.44$17.5026.6%7.6%26.7%42.0%0.0%2.5%-1.3%99.7K-3.2M-17.7K0.0020.06N/AN/A8504,2244,241
2007-11-27$17.40$17.5025.8%7.4%26.7%39.9%0.0%9.5%0.1%103.6K-3.0M-16.7K0.5017.17N/AN/A20104,2074,241
2007-11-28$17.63$17.5023.3%6.7%26.9%33.2%23.3%15.0%-0.2%111.5K-3.3M-16.9K0.0022.34N/AN/A7804,2174,251
2007-11-29$17.60$17.5024.1%6.9%26.8%35.2%24.1%7.3%0.4%121.8K-3.4M-16.2K0.0818.97N/AN/A2524,2864,245
2007-11-30$17.85$17.5020.9%6.0%26.9%26.7%21.0%11.9%1.2%129.0K-3.7M-16.1K0.8124.16N/AN/A62504,2964,246