CNP Options History — March 2008

In March 2008, CNP traded between $13.84 and $14.58. ATM implied volatility averaged 20.9%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.8% (HV 20d: 22.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.61.

Notable Days

  • 2008-03-19: Highest Volume — 198 contracts
  • 2008-03-13: Largest IV spike — 74.2% change
  • 2008-03-05: Highest IV Rank — 52.5%
  • 2008-03-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.20$13.84$14.58$14.51$14.27
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV20.9%13.3%30.6%27.5%15.0%
Expected Move6.3%4.2%8.8%7.9%4.3%
HV 20d22.7%19.5%25.6%21.8%22.9%
HV 60d23.3%22.8%24.1%23.1%23.6%
IV Rank26.6%6.2%52.5%44.4%10.9%
IV Percentile40.7%3.6%88.9%82.1%7.9%
Term Structure3.9%-3.7%11.3%0.1%9.2%
VWIV27.5%15.6%53.1%27.5%27.6%
Skew 25d1.7%-5.6%15.9%0.3%5.7%
Skew 10d2.6%-5.2%13.7%0.8%8.8%
Call IV 25d23.7%16.0%29.9%27.4%16.9%
Put IV 25d25.4%17.7%32.5%27.6%22.6%
Bid-Ask Spread %25.759.2240.3424.9010.28
Gamma HHI0.590.480.760.490.72
Net GEX-59.6K-76.4K-44.8K-46.7K-54.2K
Net DEX1.8M1.3M2.3M1.4M1.7M
Net VEX-13.1K-14.6K-11.6K-14.6K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0512.500.340.38
Total Volume93.1419813040
Total OI7,592.657,3647,7147,4037,714

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$14.51$15.0027.5%7.9%21.8%44.4%27.5%0.3%0.1%-46.7K1.4M-14.6K0.3424.90N/AN/A97333,0134,390
2008-03-04$14.58$15.0026.6%7.6%21.2%42.0%26.9%1.1%1.2%-44.8K1.3M-14.5K12.5028.03N/AN/A6753,0394,412
2008-03-05$14.50$15.0030.6%8.8%19.5%52.5%30.6%0.0%-3.7%-48.8K1.4M-13.8K5.9226.81N/AN/A12713,0444,487
2008-03-06$14.26$15.0023.3%6.7%20.0%33.1%0.0%0.2%-0.0%-59.2K1.7M-14.0K0.6926.54N/AN/A52363,0564,558
2008-03-07$14.20$15.0017.3%7.5%20.0%16.9%0.0%6.0%2.1%-64.7K1.9M-13.6K0.0036.19N/AN/A043,0154,569
2008-03-10$14.28$15.0019.1%7.2%20.2%21.7%25.5%6.2%3.1%-62.7K1.8M-13.9K0.3430.77N/AN/A105363,0154,569
2008-03-11$14.56$15.0024.4%7.7%21.8%36.0%26.9%-1.6%1.0%-56.9K1.5M-14.2K0.0520.13N/AN/A9553,0624,579
2008-03-12$14.20$15.0013.3%5.6%22.3%6.2%0.0%-5.6%4.7%-58.4K1.7M-13.2K1.1022.07N/AN/A10113,0614,578
2008-03-13$14.00$15.0023.1%6.6%22.4%32.6%0.0%6.3%2.6%-69.3K2.1M-12.9K0.5939.24N/AN/A44263,0704,583
2008-03-14$13.91$15.0020.9%6.0%22.1%26.6%19.8%4.6%2.1%-76.4K2.2M-12.8K0.7040.34N/AN/A1073,0674,561
2008-03-17$13.84$15.0016.7%4.8%22.0%15.3%15.6%15.9%11.3%-75.6K2.3M-12.9K0.2129.24N/AN/A68143,0594,555
2008-03-18$14.17$15.0023.8%6.8%23.7%34.5%0.0%-1.5%5.0%-64.8K2.0M-13.0K0.8629.15N/AN/A22193,1114,561
2008-03-19$13.96$15.0021.9%6.3%23.7%29.3%0.0%-4.7%3.2%-67.8K2.0M-12.8K2.9630.61N/AN/A501483,1094,567
2008-03-20$14.16$15.0024.9%7.1%23.8%37.5%25.3%-1.9%1.7%-64.8K1.9M-13.0K0.3621.02N/AN/A123443,1264,581
2008-03-24$13.91$15.0014.8%4.2%23.7%10.4%24.0%-0.2%9.5%-66.1K1.9M-12.3K0.149.22N/AN/A140192,8854,479
2008-03-25$14.24$15.0018.5%5.3%25.6%20.2%0.0%-2.5%4.9%-52.5K1.6M-12.2K0.1624.74N/AN/A155252,9374,494
2008-03-26$14.22$15.0017.6%5.0%25.6%17.7%0.0%7.1%9.1%-50.4K1.6M-12.9K1.1926.40N/AN/A37443,0924,507
2008-03-27$14.19$15.0021.2%6.1%25.6%27.5%53.1%-3.2%0.9%-48.2K1.5M-12.7K1.2628.46N/AN/A57723,1104,544
2008-03-28$14.05$15.0017.1%4.9%25.6%16.5%27.6%2.0%9.1%-60.5K1.8M-12.0K0.8510.89N/AN/A27233,1454,549
2008-03-31$14.27$15.0015.0%4.3%22.9%10.9%0.0%5.7%9.2%-54.2K1.7M-11.6K0.3810.28N/AN/A29113,1674,547