CNP Options History — July 2008

In July 2008, CNP traded between $15.15 and $16.08. ATM implied volatility averaged 29.3%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 9.3% (HV 20d: 20.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 6.97.

Notable Days

  • 2008-07-08: Highest Volume — 1,020 contracts
  • 2008-07-10: Largest IV spike — 46.6% change
  • 2008-07-28: Highest IV Rank — 64.9%
  • 2008-07-28: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.63$15.15$16.08$16.03$15.77
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV29.3%19.9%35.2%20.1%32.4%
Expected Move8.7%5.7%10.1%5.7%9.3%
HV 20d20.0%12.8%24.1%24.1%17.6%
HV 60d20.4%19.6%20.9%20.3%20.4%
IV Rank49.2%23.9%64.9%24.4%57.4%
IV Percentile75.6%21.8%95.2%22.6%90.5%
Term Structure-3.7%-10.3%7.0%7.0%-6.8%
VWIV32.3%19.5%44.9%30.5%33.4%
Skew 25d4.2%-3.3%14.8%2.9%6.1%
Skew 10d5.6%-5.7%13.6%2.5%13.6%
Call IV 25d26.0%16.2%33.7%27.3%25.4%
Put IV 25d30.2%18.8%33.1%30.1%31.5%
Bid-Ask Spread %18.656.9534.326.9521.82
Gamma HHI0.640.450.900.840.90
Net GEX53.8K12.7K129.5K112.1K59.7K
Net DEX-694.3K-2.0M326.3K-1.7M-1.2M
Net VEX-14.5K-16.4K-12.6K-13.7K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.970.00101.000.000.19
Total Volume130.90901,0208663
Total OI7,970.4557,2608,5297,2608,009

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$16.03$15.0020.1%5.7%24.1%24.4%0.0%2.9%7.0%112.1K-1.7M-13.7K0.006.95N/AN/A8604,8492,411
2008-07-02$16.01$15.0027.5%7.9%23.1%44.2%0.0%-3.3%-4.7%129.5K-2.0M-14.3K1.8811.75N/AN/A40754,9072,411
2008-07-03$15.90$15.0021.6%6.2%22.8%28.6%0.0%1.8%4.5%93.7K-1.6M-13.5K0.0017.80N/AN/A1404,9312,486
2008-07-07$15.81$15.0026.6%8.7%21.1%41.9%30.5%1.9%-4.1%102.3K-1.4M-13.1K3.8532.50N/AN/A13504,9352,486
2008-07-08$15.83$15.0019.9%8.9%20.0%23.9%0.0%11.6%-2.9%75.0K-1.3M-12.6K101.0014.53N/AN/A101,0104,9482,536
2008-07-09$16.00$15.0020.6%8.9%20.6%25.9%0.0%14.8%-3.5%50.3K-1.1M-16.3K0.0015.10N/AN/A2004,9553,546
2008-07-10$16.08$15.0030.2%8.7%19.9%51.6%19.5%4.2%-2.4%59.7K-1.2M-16.3K1.8229.52N/AN/A11204,9753,546
2008-07-11$15.94$15.0030.9%8.9%20.0%53.5%31.1%4.3%-2.7%48.9K-1.2M-16.4K1.0034.32N/AN/A20204,9763,546
2008-07-14$15.71$15.0032.0%9.2%20.3%56.4%0.0%0.1%-4.5%35.3K-714.1K-16.0K0.0026.45N/AN/A004,9843,545
2008-07-15$15.56$15.0032.5%9.3%20.4%57.6%32.5%9.1%-3.4%30.8K-446.3K-15.7K0.9114.77N/AN/A11104,9843,543
2008-07-16$15.42$15.0032.6%9.4%20.5%58.1%33.2%-2.9%-4.3%21.3K-48.6K-15.2K0.0314.38N/AN/A3014,9743,534
2008-07-17$15.37$15.0032.1%9.2%20.5%56.5%32.1%6.7%-4.0%20.9K23.0K-15.0K0.0015.13N/AN/A4404,9943,535
2008-07-18$15.34$15.0031.1%8.9%20.4%53.8%0.0%4.8%-4.2%12.7K326.3K-14.4K0.6317.18N/AN/A40254,9863,535
2008-07-21$15.63$15.0030.5%8.8%20.6%52.4%30.5%10.1%-4.4%23.0K-211.2K-14.3K0.0716.87N/AN/A155113,8473,518
2008-07-22$15.65$15.0032.2%9.2%20.5%56.8%32.2%-1.6%-5.1%35.7K-558.4K-14.5K0.0017.51N/AN/A73813,9703,529
2008-07-23$15.43$15.0030.5%8.7%20.7%52.3%30.5%6.3%-3.9%53.6K-526.0K-14.9K0.0017.22N/AN/A4204,3143,529
2008-07-24$15.26$15.0030.5%8.7%20.4%52.4%30.1%4.5%-2.9%46.9K-187.7K-14.5K0.4315.65N/AN/A28124,3223,528
2008-07-25$15.19$15.0031.7%9.1%19.4%55.6%44.9%3.8%-5.0%43.6K9.6K-14.1K22.5014.28N/AN/A4904,3283,536
2008-07-28$15.15$15.0035.2%10.1%17.9%64.9%35.8%2.5%-9.2%38.6K134.7K-13.9K3.1316.97N/AN/A321004,3323,586
2008-07-29$15.16$15.0034.4%9.9%12.8%62.9%37.6%-0.4%-10.3%36.5K294.5K-13.6K0.0017.39N/AN/A1404,3493,616
2008-07-30$15.60$15.0030.2%8.7%17.0%51.6%30.3%5.5%-3.9%54.2K-647.8K-13.6K9.0022.11N/AN/A4364,3633,616
2008-07-31$15.77$15.0032.4%9.3%17.6%57.4%33.4%6.1%-6.8%59.7K-1.2M-13.7K0.1921.82N/AN/A53104,3673,642