CNP Options History — April 2008

In April 2008, CNP traded between $14.66 and $15.69. ATM implied volatility averaged 25.7%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.1% (HV 20d: 21.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.85.

Notable Days

  • 2008-04-21: Highest Volume — 667 contracts
  • 2008-04-10: Largest IV spike — 26.3% change
  • 2008-04-29: Highest IV Rank — 53.4%
  • 2008-04-29: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.27$14.66$15.69$14.66$15.22
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV25.7%19.6%30.9%20.6%25.4%
Expected Move7.7%5.9%8.9%5.9%7.3%
HV 20d21.6%15.4%26.7%24.6%16.3%
HV 60d23.5%21.4%25.0%24.3%21.8%
IV Rank39.5%23.1%53.4%25.8%38.7%
IV Percentile68.5%26.6%89.7%34.1%68.3%
Term Structure-1.2%-9.3%6.1%6.1%-2.4%
VWIV25.9%17.2%30.1%20.6%25.0%
Skew 25d6.0%0.9%17.4%4.6%2.5%
Skew 10d9.5%2.8%27.4%4.6%4.7%
Call IV 25d21.3%17.1%27.2%21.9%24.1%
Put IV 25d27.3%22.8%44.0%26.6%26.6%
Bid-Ask Spread %17.638.0026.0220.0823.33
Gamma HHI0.410.350.590.590.36
Net GEX39.3K-33.5K72.2K-33.5K37.4K
Net DEX-314.7K-1.5M1.1M1.1M27.5K
Net VEX-11.8K-12.7K-10.5K-11.8K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0018.330.0811.67
Total Volume177.273266743338
Total OI8,134.6827,4338,5507,7098,550

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$14.66$15.0020.6%5.9%24.6%25.8%20.6%4.6%6.1%-33.5K1.1M-11.8K0.0820.08N/AN/A402313,1524,557
2008-04-02$15.04$15.0024.9%7.1%26.2%37.2%24.4%17.4%2.7%11.0K311.4K-12.7K0.0619.40N/AN/A197123,4104,586
2008-04-03$14.82$15.0024.5%7.0%26.7%36.3%0.0%2.4%2.5%9.7K473.9K-12.4K2.3326.02N/AN/A30703,4904,596
2008-04-04$14.94$15.0024.4%7.9%25.9%36.0%27.7%4.4%-1.5%23.6K126.3K-12.6K0.4217.27N/AN/A71303,4884,625
2008-04-07$15.14$15.0021.4%7.6%26.1%28.0%26.6%3.0%0.5%37.1K-112.4K-12.1K0.0012.88N/AN/A30203,5144,655
2008-04-08$15.15$15.0019.6%7.9%26.1%23.1%27.7%4.6%-2.3%58.0K-214.9K-12.6K0.1113.90N/AN/A87103,6794,655
2008-04-09$15.15$15.0021.3%7.8%25.4%27.6%27.1%5.5%-1.4%52.5K-347.1K-12.2K0.2915.35N/AN/A723,5924,665
2008-04-10$15.03$15.0026.9%7.7%23.6%42.6%26.8%3.0%-1.4%63.3K-156.9K-11.9K1.6717.79N/AN/A12203,5874,665
2008-04-11$15.09$15.0028.2%8.1%22.7%46.1%27.4%4.3%-1.4%53.5K-132.2K-12.0K0.468.00N/AN/A130603,5924,677
2008-04-14$15.14$15.0027.3%7.8%22.4%43.9%0.0%4.6%-0.1%70.2K-350.1K-11.6K0.2615.80N/AN/A38103,6464,702
2008-04-15$15.26$15.0028.7%8.2%22.2%47.6%28.8%6.4%-2.1%72.2K-674.1K-11.6K0.0018.31N/AN/A5003,6184,710
2008-04-16$15.45$15.0026.8%7.7%21.3%42.5%25.9%7.5%-1.0%51.4K-1.1M-11.0K1.6719.73N/AN/A27453,6674,710
2008-04-17$15.47$15.0026.5%7.6%20.1%41.6%26.4%7.5%-1.0%55.1K-1.1M-11.0K0.2020.87N/AN/A74153,6724,732
2008-04-18$15.69$15.0023.8%6.8%20.1%34.4%23.8%6.9%1.0%39.8K-1.5M-10.5K0.4712.88N/AN/A60283,6994,728
2008-04-21$15.49$15.0026.7%7.7%19.4%42.2%26.6%6.6%-2.0%24.3K-275.7K-10.7K0.0214.96N/AN/A657103,0534,380
2008-04-22$15.41$15.0024.3%7.0%18.5%35.9%24.4%7.1%-0.1%25.4K-150.9K-10.5K0.4115.90N/AN/A166683,0534,380
2008-04-23$15.47$15.0026.7%7.7%18.4%42.2%27.0%6.9%-1.7%36.6K-337.9K-11.8K0.3317.99N/AN/A186613,5144,448
2008-04-24$15.44$15.0028.4%8.1%18.4%46.8%17.2%0.9%-9.3%37.6K-319.0K-12.1K18.3319.07N/AN/A3553,6004,484
2008-04-25$15.57$15.0029.6%8.5%17.6%49.9%30.1%8.9%-6.0%42.7K-588.6K-12.0K0.0020.84N/AN/A203,5984,521
2008-04-28$15.69$15.0028.3%8.1%17.2%46.5%28.5%7.6%-2.4%47.9K-786.0K-11.7K0.0617.25N/AN/A435253,5964,521
2008-04-29$15.62$15.0030.9%8.9%15.4%53.4%0.0%9.5%-4.2%48.3K-715.7K-11.9K1.7920.28N/AN/A1342403,6624,534
2008-04-30$15.22$15.0025.4%7.3%16.3%38.7%25.0%2.5%-2.4%37.4K27.5K-12.2K11.6723.33N/AN/A3353,7794,771