CNP Options History — February 2008

In February 2008, CNP traded between $14.68 and $16.34. ATM implied volatility averaged 29.4%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 4.6% (HV 20d: 24.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.64.

Notable Days

  • 2008-02-15: Highest Volume — 1,143 contracts
  • 2008-02-11: Largest IV spike — 35.7% change
  • 2008-02-11: Highest IV Rank — 77.8%
  • 2008-02-06: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.51$14.68$16.34$16.15$14.68
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV29.4%24.4%40.0%29.9%27.1%
Expected Move8.0%7.0%8.7%8.6%7.8%
HV 20d24.8%18.9%28.2%26.4%22.3%
HV 60d22.4%21.7%23.7%23.7%23.2%
IV Rank49.5%36.0%77.8%50.8%43.3%
IV Percentile85.9%68.7%99.2%88.9%81.7%
Term Structure0.5%-10.6%3.1%-10.6%2.0%
VWIV29.2%23.9%37.4%37.4%27.1%
Skew 25d-1.6%-17.5%7.8%-17.5%0.2%
Skew 10d-1.9%-12.1%9.5%-4.1%0.2%
Call IV 25d29.0%21.0%37.9%37.9%27.2%
Put IV 25d27.3%20.4%31.9%20.4%27.4%
Bid-Ask Spread %21.7712.6433.2112.6420.68
Gamma HHI0.380.300.470.310.47
Net GEX31.2K-36.7K108.5K53.5K-36.7K
Net DEX623.9K-546.4K1.2M-28.4K1.1M
Net VEX-14.7K-16.9K-13.4K-16.9K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.0015.006.121.34
Total Volume174.9101,143121334
Total OI9,234.356,16811,43311,3057,161

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$16.15$15.0029.9%8.6%26.4%50.8%37.4%-17.5%-10.6%53.5K-28.4K-16.9K6.1212.64N/AN/A171045,2096,096
2008-02-04$16.34$15.0030.0%7.0%26.7%51.0%23.9%7.8%1.7%55.3K-546.4K-16.8K0.6124.05N/AN/A59365,2056,153
2008-02-05$15.89$15.0030.4%8.7%28.2%52.2%0.0%0.5%2.6%59.2K495.7K-16.0K0.1033.21N/AN/A100105,2316,174
2008-02-06$15.85$15.0032.2%8.7%28.0%56.8%0.0%2.6%0.8%63.5K412.6K-16.6K0.0030.68N/AN/A0105,3266,074
2008-02-07$15.76$15.0035.2%8.6%27.3%64.9%0.0%0.8%1.0%70.3K707.2K-15.2K0.0019.24N/AN/A0505,3266,070
2008-02-08$15.58$15.0029.5%8.2%27.4%49.6%0.0%-2.7%3.1%79.2K880.9K-15.3K15.0029.70N/AN/A2305,3266,085
2008-02-11$15.47$15.0040.0%8.4%27.3%77.8%33.6%-6.6%1.4%94.8K1.2M-14.9K0.8818.52N/AN/A24215,3286,096
2008-02-12$15.68$15.0036.8%8.1%28.1%69.3%28.4%-4.8%2.5%82.5K783.0K-14.1K0.5217.43N/AN/A105555,3426,091
2008-02-13$15.49$15.0025.5%7.6%27.6%38.9%31.4%-4.8%2.1%47.3K832.1K-13.4K2.1822.55N/AN/A711555,0516,106
2008-02-14$15.28$15.0026.7%7.7%27.6%42.2%0.0%-7.0%2.6%108.5K1.1M-13.8K0.0022.02N/AN/A2605,0996,072
2008-02-15$15.30$15.0028.8%8.3%25.4%47.9%35.1%-7.2%0.5%84.2K982.8K-13.7K0.1315.04N/AN/A1,0131305,0976,072
2008-02-19$15.45$15.0027.0%7.7%25.6%42.9%31.1%-6.1%1.5%-20.4K572.0K-13.6K0.0924.66N/AN/A283262,2143,954
2008-02-20$15.53$15.0028.1%8.1%23.9%45.9%28.1%7.1%-1.1%-14.5K576.8K-13.8K0.7221.99N/AN/A64462,4473,965
2008-02-21$15.18$15.0026.2%7.5%23.5%40.9%26.2%2.5%-0.8%-19.3K645.9K-13.6K0.2714.81N/AN/A59162,4973,993
2008-02-22$15.34$15.0027.7%7.9%22.0%44.8%27.7%4.9%0.6%-18.1K639.2K-14.3K0.0020.15N/AN/A1502,5564,009
2008-02-25$15.39$15.0026.5%7.6%21.9%41.5%26.5%-8.6%-0.4%-12.5K451.0K-13.8K0.0027.01N/AN/A1502,5514,009
2008-02-26$15.33$15.0028.6%8.2%18.9%47.2%0.0%3.8%-0.6%-15.7K543.0K-13.9K1.0017.60N/AN/A2492492,5563,999
2008-02-27$15.24$15.0027.8%8.0%18.9%45.1%27.7%2.0%-0.6%-20.6K595.8K-14.7K0.5315.20N/AN/A38202,8054,245
2008-02-28$15.27$15.0024.4%7.0%19.0%36.0%25.3%0.1%1.4%-15.6K454.8K-14.3K0.0228.28N/AN/A6512,8324,265
2008-02-29$14.68$15.0027.1%7.8%22.3%43.3%27.1%0.2%2.0%-36.7K1.1M-14.5K1.3420.68N/AN/A1431912,8974,264