CNP Options History — August 2008

In August 2008, CNP traded between $15.21 and $16.59. ATM implied volatility averaged 30.3%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.1% (HV 20d: 26.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2008-08-12: Highest Volume — 20,922 contracts
  • 2008-08-14: Largest IV drop — 33.1% change
  • 2008-08-13: Highest IV Rank — 100.0%
  • 2008-08-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.91$15.21$16.59$15.32$15.88
Max Pain$15.24$15.00$17.50$15.00$15.00
ATM IV30.3%17.3%42.1%31.1%19.7%
Expected Move7.4%5.0%8.9%8.9%5.7%
HV 20d26.2%20.1%28.5%20.1%25.8%
HV 60d22.5%20.8%23.6%20.9%22.9%
IV Rank57.1%20.4%100.0%54.1%28.2%
IV Percentile73.1%11.1%100.0%85.3%21.0%
Term Structure1.0%-2.9%11.6%-1.0%2.8%
VWIV24.7%16.8%28.2%27.6%23.7%
Skew 25d7.5%-3.7%13.4%4.5%-3.7%
Skew 10d9.3%2.3%19.3%8.0%4.6%
Call IV 25d18.2%11.7%29.0%29.0%19.4%
Put IV 25d25.7%15.7%33.5%33.5%15.7%
Bid-Ask Spread %20.909.8230.4919.919.89
Gamma HHI0.560.460.900.560.49
Net GEX24.3K-18.3K85.3K49.4K18.6K
Net DEX-692.1K-2.5M77.3K-320.1K-456.1K
Net VEX-13.2K-15.0K-11.3K-13.6K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.009.851.310.00
Total Volume1,148.619020,922035
Total OI6,689.4294,5778,0307,9965,952

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$15.32$15.0031.1%8.9%20.1%54.1%0.0%4.5%-1.0%49.4K-320.1K-13.6K0.0019.91N/AN/A004,3643,632
2008-08-04$15.21$15.0034.8%7.9%20.2%63.8%27.6%4.2%-0.8%44.7K28.3K-12.8K1.3114.52N/AN/A39514,3643,632
2008-08-05$15.51$15.0038.6%7.8%21.6%74.0%27.3%5.9%0.1%47.8K-440.8K-13.0K0.8415.58N/AN/A1381164,3773,653
2008-08-06$16.03$15.0038.5%7.1%24.4%73.8%0.0%9.0%2.4%70.1K-1.7M-13.9K0.1927.98N/AN/A91174,3833,610
2008-08-07$15.83$15.0031.6%7.6%24.8%55.4%0.0%10.0%-0.1%59.5K-1.2M-12.7K0.6318.89N/AN/A48304,3493,620
2008-08-08$16.25$15.0038.8%8.2%26.3%74.5%0.0%12.9%0.5%74.5K-2.0M-12.6K0.4224.97N/AN/A116494,3333,640
2008-08-11$16.59$15.0033.2%5.0%26.5%59.5%17.2%13.4%11.6%85.3K-2.5M-12.7K0.0925.06N/AN/A5554,3103,650
2008-08-12$16.15$15.0041.3%7.5%28.3%81.2%16.8%9.7%0.4%27.8K-2.1M-11.3K0.0024.41N/AN/A20,882404,3403,626
2008-08-13$15.97$17.5042.1%7.7%28.4%100.0%26.8%10.0%1.5%-18.3K-232.0K-11.4K9.8513.42N/AN/A131283,1853,666
2008-08-14$15.94$17.5028.2%8.1%28.4%55.3%27.3%1.7%1.4%-13.7K-224.9K-11.5K1.7530.49N/AN/A2083653,1923,767
2008-08-15$15.84$15.0025.5%7.3%28.5%46.6%25.0%7.8%2.0%-16.5K-222.7K-12.0K0.0015.64N/AN/A17103,3643,989
2008-08-18$15.72$15.0028.2%8.1%27.9%55.2%28.2%10.2%-2.9%-2.8K77.3K-12.2K1.1122.52N/AN/A3093442,1922,385
2008-08-19$15.89$15.0027.3%7.8%28.1%52.3%27.3%7.8%0.7%-12.3K-50.0K-13.2K0.1122.08N/AN/A4652,3922,710
2008-08-20$15.86$15.0027.7%7.9%27.6%53.6%0.0%8.2%-0.1%-9.2K-91.6K-13.9K0.0023.45N/AN/A0302,4382,715
2008-08-21$16.00$15.0028.2%8.1%27.3%55.4%0.0%9.1%-1.5%-8.4K-248.0K-13.7K0.0018.19N/AN/A66702,4382,745
2008-08-22$16.08$15.0027.4%7.9%27.2%52.8%0.0%10.1%-0.4%21.0K-524.9K-15.0K0.2626.83N/AN/A38103,1032,745
2008-08-25$15.99$15.0025.4%7.3%27.3%46.4%0.0%7.6%2.5%21.7K-545.4K-14.9K0.0024.54N/AN/A003,1402,745
2008-08-26$16.15$15.0028.2%8.1%27.4%55.2%0.0%9.9%-0.2%25.7K-656.9K-14.7K0.0023.75N/AN/A1003,1402,745
2008-08-27$15.84$15.0024.1%6.9%26.8%42.0%23.7%5.2%0.7%18.5K-419.4K-14.3K0.0726.98N/AN/A6143,1502,745
2008-08-28$16.14$15.0017.3%5.0%27.3%20.4%0.0%3.1%0.4%26.5K-690.7K-14.3K0.009.82N/AN/A003,2042,748
2008-08-29$15.88$15.0019.7%5.7%25.8%28.2%0.0%-3.7%2.8%18.6K-456.1K-14.3K0.009.89N/AN/A3503,2042,748