CNP Options History — June 2008

In June 2008, CNP traded between $15.54 and $17.10. ATM implied volatility averaged 21.6%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.1% (HV 20d: 20.5%). 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 20 of 21 days. Put/call ratio averaged 3.22.

Notable Days

  • 2008-06-20: Highest Volume — 398 contracts
  • 2008-06-26: Largest IV spike — 49.0% change
  • 2008-06-23: Highest IV Rank — 49.1%
  • 2008-06-23: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.46$15.54$17.10$16.87$16.05
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV21.6%16.3%29.3%18.6%18.0%
Expected Move6.4%4.8%8.4%5.3%5.2%
HV 20d20.5%17.2%24.3%19.3%24.3%
HV 60d20.3%19.2%21.1%20.7%20.5%
IV Rank28.6%14.5%49.1%20.5%18.8%
IV Percentile35.7%7.1%81.3%13.9%13.1%
Term Structure4.0%-1.4%13.6%1.0%10.4%
VWIV23.7%19.9%26.8%26.8%25.4%
Skew 25d2.9%-3.1%9.4%-1.1%1.1%
Skew 10d5.1%-5.4%12.3%-1.0%3.1%
Call IV 25d22.1%15.3%28.0%21.5%28.0%
Put IV 25d25.0%17.6%29.1%20.4%29.1%
Bid-Ask Spread %27.3512.5341.2233.0613.63
Gamma HHI0.820.720.880.830.87
Net GEX164.6K81.3K202.1K193.8K128.3K
Net DEX-3.4M-4.9M-998.6K-4.7M-1.9M
Net VEX-15.6K-17.0K-13.5K-16.3K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.0028.330.000.14
Total Volume88.71403982041
Total OI7,833.4297,0728,2807,9397,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$16.87$15.0018.6%5.3%19.3%20.5%0.0%-1.1%1.0%193.8K-4.7M-16.3K0.0033.06N/AN/A2005,3482,591
2008-06-03$16.70$15.0018.4%5.3%19.1%19.9%26.8%6.6%7.9%185.0K-4.4M-16.4K2.8715.97N/AN/A30865,3612,591
2008-06-04$16.97$15.0021.9%6.3%19.2%29.5%22.4%-2.0%0.0%199.3K-4.9M-16.5K0.0021.98N/AN/A25805,3732,661
2008-06-05$17.10$15.0023.6%6.8%17.2%33.9%23.7%-2.4%0.5%202.1K-4.9M-16.3K0.1020.36N/AN/A218215,2052,661
2008-06-06$16.64$15.0022.1%6.8%20.5%30.0%23.8%3.5%3.3%181.1K-4.0M-16.9K0.4428.42N/AN/A70315,3242,682
2008-06-09$16.91$15.0019.9%6.9%20.2%23.9%24.2%-3.1%2.6%198.2K-4.5M-16.5K0.0015.44N/AN/A12905,3792,708
2008-06-10$16.83$15.0016.3%7.1%19.9%14.5%24.8%6.5%2.3%197.5K-4.4M-17.0K1.7928.33N/AN/A14255,4562,708
2008-06-11$16.53$15.0018.0%5.8%21.3%19.0%24.4%2.1%2.0%180.2K-4.0M-16.5K0.0032.94N/AN/A2705,4582,703
2008-06-12$16.45$15.0023.3%6.7%21.3%33.0%0.0%2.2%2.3%174.6K-3.7M-15.9K3.0035.76N/AN/A5155,4572,703
2008-06-13$16.56$15.0022.9%6.6%21.3%32.1%0.0%2.7%1.5%175.6K-3.7M-16.0K1.5031.64N/AN/A8125,4622,696
2008-06-16$16.56$15.0016.7%4.8%21.1%15.3%19.9%5.7%4.4%184.7K-3.7M-15.4K0.3335.68N/AN/A30105,4702,686
2008-06-17$16.52$15.0023.4%6.7%21.2%33.4%0.0%4.7%2.6%183.5K-3.8M-15.1K0.0031.49N/AN/A0105,4552,696
2008-06-18$16.49$15.0022.9%6.6%21.0%31.9%0.0%5.7%3.9%176.2K-3.6M-15.4K0.2439.33N/AN/A85205,4552,706
2008-06-19$16.52$15.0019.7%5.6%21.0%23.5%0.0%4.1%1.8%180.4K-3.7M-15.1K28.3341.22N/AN/A3855,5002,716
2008-06-20$16.15$15.0029.0%8.3%21.4%48.4%21.7%-1.9%-1.4%145.1K-3.2M-15.0K19.9537.13N/AN/A193795,5002,780
2008-06-23$16.21$15.0029.3%8.4%21.5%49.1%0.0%9.4%2.1%140.2K-2.3M-14.9K1.1627.60N/AN/A45524,7572,315
2008-06-24$16.03$15.0022.3%6.4%19.8%30.4%0.0%7.8%13.6%124.3K-1.9M-15.1K0.0727.04N/AN/A1414,8022,367
2008-06-25$16.21$15.0017.1%4.9%19.9%16.4%0.0%1.0%13.4%117.3K-1.9M-14.2K0.1812.53N/AN/A1124,8102,366
2008-06-26$15.89$15.0025.4%7.3%19.6%38.7%0.0%5.9%5.3%108.4K-1.6M-14.4K0.0023.68N/AN/A004,8122,367
2008-06-27$15.54$15.0025.4%7.3%20.5%38.6%25.4%1.9%5.4%81.3K-998.6K-13.5K1.0221.08N/AN/A43444,8122,367
2008-06-30$16.05$15.0018.0%5.2%24.3%18.8%0.0%1.1%10.4%128.3K-1.9M-14.2K0.1413.63N/AN/A3654,8302,406