CNP Options History — May 2008

In May 2008, CNP traded between $15.16 and $17.16. ATM implied volatility averaged 25.1%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.7% (HV 20d: 19.4%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2008-05-13: Highest Volume — 2,833 contracts
  • 2008-05-20: Largest IV drop — 26.3% change
  • 2008-05-13: Highest IV Rank — 68.8%
  • 2008-05-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.94$15.16$17.16$15.55$16.94
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV25.1%16.2%36.6%23.1%24.6%
Expected Move6.4%4.6%7.3%6.6%7.1%
HV 20d19.4%16.8%21.8%16.8%19.2%
HV 60d21.7%20.7%22.2%21.6%21.1%
IV Rank37.9%14.0%68.8%32.4%36.7%
IV Percentile56.3%7.9%97.2%49.6%58.7%
Term Structure2.9%-1.6%10.4%0.8%-1.6%
VWIV22.0%13.9%26.3%20.4%23.6%
Skew 25d6.0%-2.5%23.1%1.8%-2.5%
Skew 10d9.5%-3.6%32.6%8.0%-3.6%
Call IV 25d17.9%12.5%24.9%21.4%24.9%
Put IV 25d24.0%15.4%46.0%23.2%22.4%
Bid-Ask Spread %20.6211.2632.6232.6220.83
Gamma HHI0.490.370.820.380.81
Net GEX63.9K21.3K175.0K41.2K175.0K
Net DEX-1.7M-5.0M176.8K-471.2K-4.7M
Net VEX-12.5K-16.5K-10.7K-12.3K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.0012.000.000.03
Total Volume410102,83347300
Total OI7,695.4765,3169,0578,5727,753

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$15.55$15.0023.1%6.6%16.8%32.4%0.0%1.8%0.8%41.2K-471.2K-12.3K0.0032.62N/AN/A4703,7824,790
2008-05-02$15.72$15.0024.3%7.0%16.9%35.7%20.4%8.5%2.9%44.3K-776.7K-12.2K0.0431.91N/AN/A9643,8294,790
2008-05-05$15.54$15.0029.5%6.9%17.1%49.7%0.0%5.7%0.5%45.8K-484.2K-12.2K0.0021.68N/AN/A0103,8714,794
2008-05-06$15.44$15.0031.4%6.9%17.4%54.7%24.0%4.3%1.9%41.2K-184.9K-12.4K1.5621.28N/AN/A18283,8714,804
2008-05-07$15.16$15.0031.1%6.8%18.7%53.9%23.6%2.4%0.6%39.8K125.0K-11.7K3.8215.92N/AN/A1937373,8844,813
2008-05-08$15.39$15.0029.3%6.4%19.1%49.3%0.0%3.4%2.0%24.3K176.8K-13.1K12.0021.36N/AN/A4483,8635,175
2008-05-09$15.23$15.0028.8%6.6%19.5%47.9%23.1%2.3%1.8%62.7K-171.7K-11.0K1.4311.26N/AN/A28403,8674,523
2008-05-12$15.50$15.0029.8%6.7%20.5%50.5%23.5%4.5%0.6%57.9K-526.1K-10.8K1.1817.44N/AN/A11133,8914,561
2008-05-13$15.63$15.0036.6%6.6%20.5%68.8%22.9%5.4%3.8%52.5K-880.3K-10.7K0.1316.67N/AN/A2,4993343,8904,564
2008-05-14$15.78$15.0030.6%7.1%20.3%52.6%24.4%8.0%1.1%21.3K-1.0M-11.6K0.2426.41N/AN/A6741643,7784,896
2008-05-15$15.71$15.0023.9%6.8%20.4%34.7%23.9%7.8%1.0%46.5K-1.5M-12.2K0.3518.72N/AN/A2074,2194,838
2008-05-16$15.85$15.0023.6%6.8%20.0%33.9%23.5%7.2%0.8%49.5K-1.7M-11.9K0.0021.40N/AN/A21514,1764,838
2008-05-19$15.87$15.0025.5%7.3%19.4%38.9%25.5%8.4%-1.3%54.6K-1.8M-12.0K0.8620.30N/AN/A3743223,0362,280
2008-05-20$16.03$15.0018.8%5.4%19.5%20.9%13.9%9.2%10.4%58.7K-2.3M-13.2K0.1927.53N/AN/A96183,3882,494
2008-05-21$15.98$15.0019.5%5.6%19.5%22.9%15.7%7.9%8.2%64.2K-2.2M-13.0K0.3825.37N/AN/A39153,4592,512
2008-05-22$16.31$15.0016.2%4.6%20.6%14.0%26.3%1.9%8.8%68.6K-2.7M-12.9K0.0915.46N/AN/A222203,4872,527
2008-05-23$16.33$15.0016.6%4.8%20.5%15.2%14.6%5.3%9.7%68.3K-2.9M-12.3K0.4416.86N/AN/A113503,5772,527
2008-05-27$16.72$15.0018.6%5.3%21.8%20.4%0.0%8.0%7.8%79.9K-3.3M-12.4K0.0513.52N/AN/A202103,6762,577
2008-05-28$16.88$15.0022.0%6.3%21.7%29.7%22.6%4.4%1.1%81.6K-3.8M-12.4K0.0020.84N/AN/A1,23523,8192,585
2008-05-29$17.16$15.0023.7%6.8%19.0%34.1%23.6%23.1%-0.7%164.4K-5.0M-15.5K0.0415.65N/AN/A387145,0142,587
2008-05-30$16.94$15.0024.6%7.1%19.2%36.7%0.0%-2.5%-1.6%175.0K-4.7M-16.5K0.0320.83N/AN/A290105,1722,581