CNP Options History — December 2007

In December 2007, CNP traded between $17.13 and $18.37. ATM implied volatility averaged 20.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.3% (HV 20d: 19.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2007-12-28: Highest Volume — 577 contracts
  • 2007-12-13: Largest IV spike — 60.7% change
  • 2007-12-13: Highest IV Rank — 38.4%
  • 2007-12-13: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.90$17.13$18.37$17.94$17.13
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV20.5%15.7%25.3%22.4%18.2%
Expected Move6.1%5.1%7.2%6.4%5.2%
HV 20d19.2%14.2%25.6%25.6%21.5%
HV 60d21.7%21.0%22.9%21.4%22.6%
IV Rank25.5%12.9%38.4%30.7%19.4%
IV Percentile42.4%11.8%83.3%58.4%22.0%
Term Structure1.7%-0.6%6.7%0.6%2.3%
VWIV21.9%18.4%25.3%22.4%18.4%
Skew 25d5.7%0.3%11.3%7.4%0.3%
Skew 10d9.5%-0.8%21.9%21.9%-0.8%
Call IV 25d17.6%14.0%22.1%21.1%19.2%
Put IV 25d23.3%19.5%33.4%28.5%19.5%
Bid-Ask Spread %21.4514.4028.6419.5524.17
Gamma HHI0.440.380.590.380.55
Net GEX140.3K114.6K215.3K129.3K142.5K
Net DEX-4.3M-5.2M-2.7M-4.0M-2.7M
Net VEX-13.0K-15.0K-11.3K-15.0K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.003.500.100.07
Total Volume152.918577115290
Total OI8,812.958,4859,3678,6049,367

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$17.94$17.5022.4%6.4%25.6%30.7%22.4%7.4%0.6%129.3K-4.0M-15.0K0.1019.55N/AN/A105104,3284,276
2007-12-04$18.07$17.5022.4%6.4%23.4%30.7%0.0%5.0%0.6%135.1K-4.4M-14.6K0.0020.56N/AN/A3104,4194,276
2007-12-05$18.27$17.5022.9%6.6%20.8%32.1%22.6%5.9%-0.3%127.4K-4.8M-14.7K0.0025.46N/AN/A8604,4404,276
2007-12-06$18.08$17.5017.7%5.1%21.0%18.0%0.0%4.9%6.7%138.5K-4.6M-14.3K0.5228.64N/AN/A25134,4734,276
2007-12-07$18.16$17.5018.0%6.4%19.0%19.0%22.4%7.0%0.4%141.8K-4.6M-14.3K0.0018.36N/AN/A5604,4834,275
2007-12-10$18.25$17.5016.1%6.0%18.2%13.9%0.0%7.1%3.2%129.4K-5.0M-13.1K0.0918.08N/AN/A108104,4944,275
2007-12-11$18.02$17.5020.2%6.1%15.0%24.9%21.4%6.6%1.3%143.4K-4.6M-13.3K1.2526.55N/AN/A8104,5074,275
2007-12-12$18.00$17.5015.7%6.3%14.2%12.9%21.8%5.2%1.4%151.2K-4.6M-13.2K0.0022.37N/AN/A7904,5074,275
2007-12-13$18.37$17.5025.3%7.2%15.8%38.4%25.3%10.6%-0.6%123.0K-5.2M-12.7K0.1023.07N/AN/A2024,5174,275
2007-12-14$18.33$17.5021.6%6.2%15.8%28.4%0.0%7.2%1.1%125.2K-5.2M-11.3K0.4214.40N/AN/A24104,5234,277
2007-12-17$18.16$17.5021.7%6.2%15.7%28.9%21.5%7.7%0.8%126.4K-5.0M-12.1K0.0024.21N/AN/A5104,5324,285
2007-12-18$18.20$17.5021.3%6.1%15.6%27.9%21.3%5.7%2.8%125.3K-5.0M-12.2K0.0023.79N/AN/A15804,5354,285
2007-12-19$18.10$17.5020.2%5.8%15.3%24.8%21.4%4.2%2.8%141.2K-4.9M-11.6K3.5024.46N/AN/A4144,5834,285
2007-12-20$17.34$17.5022.2%6.4%20.9%30.2%22.1%11.3%0.9%155.1K-3.1M-12.7K0.2917.83N/AN/A140414,5854,291
2007-12-21$17.38$17.5021.4%6.1%20.9%28.1%21.4%10.5%0.9%215.3K-3.0M-12.7K0.5522.44N/AN/A3141744,6314,314
2007-12-24$17.65$17.5021.7%6.2%21.6%28.8%21.7%2.9%0.5%114.6K-3.6M-11.9K0.0021.96N/AN/A25104,2534,232
2007-12-26$17.60$17.5022.2%6.4%21.6%30.1%22.2%2.2%0.5%132.9K-3.6M-12.4K0.4719.19N/AN/A2771294,4074,232
2007-12-27$17.52$17.5018.4%5.3%21.1%20.1%0.0%1.7%4.5%156.3K-3.5M-12.8K0.3216.28N/AN/A31104,6244,361
2007-12-28$17.47$17.5019.6%5.6%21.1%23.1%0.0%1.6%2.8%151.9K-3.5M-13.1K1.1117.73N/AN/A2743034,6394,371
2007-12-31$17.13$17.5018.2%5.2%21.5%19.4%18.4%0.3%2.3%142.5K-2.7M-13.0K0.0724.17N/AN/A270204,7554,612