CNP Options History — January 2008

In January 2008, CNP traded between $15.33 and $16.98. ATM implied volatility averaged 25.0%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 2.3% (HV 20d: 22.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-01-17: Highest Volume — 1,465 contracts
  • 2008-01-03: Largest IV drop — 47.2% change
  • 2008-01-23: Highest IV Rank — 65.7%
  • 2008-01-23: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.25$15.33$16.98$16.87$15.99
Max Pain$15.24$15.00$17.50$17.50$15.00
ATM IV25.0%14.1%35.5%26.8%31.2%
Expected Move7.4%4.1%10.2%7.7%8.9%
HV 20d22.7%20.1%26.4%21.8%26.3%
HV 60d23.1%21.9%25.1%22.3%24.5%
IV Rank37.6%8.6%65.7%42.4%54.2%
IV Percentile61.7%5.2%97.6%90.0%91.7%
Term Structure-0.2%-12.1%9.3%-5.0%-2.8%
VWIV29.5%14.8%42.6%27.1%35.7%
Skew 25d-0.9%-12.0%6.0%-1.4%-3.3%
Skew 10d1.5%-11.2%11.5%-1.3%-2.3%
Call IV 25d28.3%15.8%41.7%26.3%34.7%
Put IV 25d27.4%17.4%35.2%24.9%31.4%
Bid-Ask Spread %28.6813.2642.2532.7426.83
Gamma HHI0.370.310.490.460.31
Net GEX88.9K45.2K145.1K132.1K58.7K
Net DEX-663.2K-2.2M1.2M-2.0M8.7K
Net VEX-15.3K-18.4K-12.9K-13.3K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.007.141.110.44
Total Volume201.238271,465344309
Total OI10,546.5249,57811,4569,57811,373

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$16.87$17.5026.8%7.7%21.8%42.4%27.1%-1.4%-5.0%132.1K-2.0M-13.3K1.1132.74N/AN/A1631814,9504,628
2008-01-03$16.68$17.5014.1%4.1%21.6%8.6%0.0%2.1%9.1%108.8K-1.3M-13.3K0.2913.26N/AN/A51154,9624,754
2008-01-04$16.52$15.0014.5%5.0%21.0%9.6%20.6%3.5%2.3%98.3K-1.2M-14.0K0.0031.67N/AN/A11805,0044,769
2008-01-07$16.62$15.0020.5%7.1%21.2%25.6%27.9%1.0%-0.6%106.6K-1.2M-14.5K0.3228.94N/AN/A3321065,0804,769
2008-01-08$16.73$15.0014.9%5.2%21.3%10.5%14.8%4.9%2.1%116.8K-1.9M-13.7K1.0733.70N/AN/A30325,2734,797
2008-01-09$16.98$15.0020.6%7.4%22.2%25.8%36.8%6.0%-0.6%139.4K-2.1M-15.3K0.0027.76N/AN/A16505,2784,807
2008-01-10$16.97$15.0025.0%7.2%21.9%37.7%24.4%-2.6%-1.8%145.1K-2.2M-14.4K0.0917.69N/AN/A115105,3724,807
2008-01-11$16.82$15.0019.1%5.5%22.0%21.8%18.9%-4.2%2.2%118.7K-2.1M-14.3K2.2725.15N/AN/A22505,3824,817
2008-01-14$16.75$15.0019.3%5.5%20.1%22.4%0.0%5.9%0.0%115.3K-1.9M-15.0K0.0028.79N/AN/A2905,4004,782
2008-01-15$16.43$15.0017.9%5.1%20.8%18.6%25.5%5.5%3.4%105.7K-1.4M-13.2K0.0036.82N/AN/A2705,4014,782
2008-01-16$16.55$15.0019.9%5.7%21.2%24.1%22.6%4.6%2.5%103.0K-1.5M-12.9K0.0033.48N/AN/A3105,3944,762
2008-01-17$16.01$15.0024.3%7.0%23.3%35.7%26.4%2.4%9.3%79.8K-619.3K-13.1K7.1442.25N/AN/A1801,2855,4114,762
2008-01-18$15.88$15.0028.6%8.2%23.3%47.3%0.0%-0.1%-0.1%56.9K236.3K-17.5K0.1927.51N/AN/A111215,5195,937
2008-01-22$15.46$15.0034.0%9.7%20.5%61.7%34.7%-3.8%-3.6%45.2K915.2K-18.4K0.6228.72N/AN/A89555,1595,948
2008-01-23$15.83$15.0035.5%10.2%22.9%65.7%31.6%1.6%-5.9%49.6K518.3K-18.3K0.8317.46N/AN/A87725,1595,947
2008-01-24$15.41$15.0030.1%8.6%22.9%51.2%29.1%-5.8%-1.4%54.5K1.0M-16.9K2.7120.61N/AN/A28765,1855,957
2008-01-25$15.33$15.0031.2%8.9%22.8%54.2%32.5%-8.6%-0.3%50.6K1.2M-17.1K0.3834.08N/AN/A116445,2136,001
2008-01-28$15.80$15.0031.6%9.1%26.4%55.3%39.8%-5.9%0.4%56.9K454.2K-17.1K0.0036.51N/AN/A9505,2276,025
2008-01-29$15.75$15.0030.2%8.7%26.4%51.6%42.6%-8.4%-0.9%63.8K568.7K-16.4K0.2036.45N/AN/A92185,3036,025
2008-01-30$15.77$15.0035.4%10.2%25.9%65.5%40.2%-12.0%-12.1%60.4K568.4K-16.4K0.0021.86N/AN/A0715,3136,043
2008-01-31$15.99$15.0031.2%8.9%26.3%54.2%35.7%-3.3%-2.8%58.7K8.7K-16.3K0.4426.83N/AN/A214955,3136,060