CNP Options History — September 2008

In September 2008, CNP traded between $13.98 and $16.03. ATM implied volatility averaged 29.0%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.8% (HV 20d: 31.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 4.35.

Notable Days

  • 2008-09-15: Highest Volume — 1,398 contracts
  • 2008-09-19: Largest IV spike — 68.8% change
  • 2008-09-29: Highest IV Rank — 86.7%
  • 2008-09-29: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.01$13.98$16.03$15.69$14.57
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV29.0%20.6%38.0%20.9%33.1%
Expected Move8.4%5.9%10.9%6.0%9.5%
HV 20d31.8%20.5%44.0%26.1%44.0%
HV 60d26.5%21.8%31.4%22.4%31.4%
IV Rank57.8%31.0%86.7%32.0%71.2%
IV Percentile68.7%24.6%97.6%27.0%89.7%
Term Structure2.7%-1.5%12.2%-1.5%3.7%
VWIV29.5%14.9%37.9%28.0%37.9%
Skew 25d4.7%-7.6%16.1%-7.6%0.0%
Skew 10d9.6%-6.6%27.8%5.5%0.6%
Call IV 25d25.8%15.4%38.9%23.0%32.8%
Put IV 25d30.5%15.3%45.8%15.3%32.8%
Bid-Ask Spread %34.068.64106.178.6427.82
Gamma HHI0.430.370.500.480.38
Net GEX-22.1K-49.4K23.6K9.3K-44.9K
Net DEX1.0M-523.9K2.8M-107.6K1.8M
Net VEX-13.2K-15.0K-12.0K-13.7K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.350.0038.940.008.00
Total Volume115.95201,3986136
Total OI6,491.815,9867,2855,9866,726

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$15.69$15.0020.9%6.0%26.1%32.0%0.0%-7.6%-1.5%9.3K-107.6K-13.7K0.008.64N/AN/A6103,2382,748
2008-09-03$15.68$15.0021.8%6.2%25.2%34.6%0.0%3.9%7.1%5.5K-33.7K-13.3K0.0029.04N/AN/A053,2382,748
2008-09-04$15.69$15.0024.7%7.1%22.1%44.2%28.0%5.4%4.6%7.0K-32.9K-13.6K0.0032.94N/AN/A0193,2382,749
2008-09-05$15.75$15.0022.8%7.8%21.7%38.1%0.0%8.9%0.8%5.8K-75.5K-13.6K0.0018.04N/AN/A103,2382,763
2008-09-08$16.03$15.0021.5%6.4%20.5%33.8%14.9%10.2%10.9%23.6K-523.9K-13.0K0.0418.69N/AN/A304123,2372,763
2008-09-09$15.30$15.0024.4%7.3%24.7%43.2%25.5%5.4%1.7%-9.5K412.2K-12.5K1.5022.61N/AN/A10153,3152,753
2008-09-10$15.63$15.0024.2%8.0%24.7%42.4%0.0%11.1%1.4%3.7K56.8K-12.8K0.0022.71N/AN/A003,3152,763
2008-09-11$15.29$15.0027.9%8.0%25.6%54.3%0.0%5.6%0.5%-14.9K586.1K-12.2K1.5020.10N/AN/A10153,3252,763
2008-09-12$15.45$15.0027.1%7.8%26.0%51.9%27.1%9.5%1.3%-4.5K201.0K-12.5K0.0023.22N/AN/A0223,3352,778
2008-09-15$14.97$15.0031.9%9.2%28.0%67.3%0.0%4.3%0.2%-18.4K837.6K-12.0K38.9415.92N/AN/A351,3633,3352,798
2008-09-16$14.87$15.0030.7%8.8%28.0%63.2%0.0%16.1%7.1%-45.3K1.7M-15.0K0.21106.17N/AN/A158333,3603,866
2008-09-17$14.13$15.0026.9%7.7%32.3%51.1%26.5%0.8%8.0%-44.2K2.4M-13.4K2.7569.71N/AN/A4113,3373,896
2008-09-18$13.98$15.0020.6%5.9%32.3%31.0%0.0%2.0%12.2%-49.4K2.8M-12.2K8.5770.59N/AN/A7603,3333,906
2008-09-19$14.83$15.0034.8%10.0%39.6%76.4%0.0%4.1%-1.2%-44.1K1.7M-14.3K1.7423.42N/AN/A23403,3403,945
2008-09-22$14.67$15.0034.8%10.0%39.5%76.4%34.8%0.8%-0.0%-38.3K1.5M-13.7K0.4917.61N/AN/A35173,0983,542
2008-09-23$14.24$15.0035.3%10.1%40.5%78.1%0.0%10.2%-1.5%-46.2K1.9M-12.6K0.0022.49N/AN/A203,1213,557
2008-09-24$14.53$15.0035.5%10.2%41.2%78.8%35.5%-2.3%0.2%-42.9K1.8M-13.1K0.8020.09N/AN/A20163,1233,557
2008-09-25$14.83$15.0035.7%10.2%41.8%79.2%35.7%0.4%0.2%-36.5K1.5M-13.8K0.4721.30N/AN/A30143,1233,569
2008-09-26$14.81$15.0035.9%10.3%41.0%79.9%0.0%12.3%-0.3%-39.4K1.5M-13.5K4.6022.80N/AN/A5233,1533,583
2008-09-29$14.22$15.0038.0%10.9%42.8%86.7%37.9%-2.9%0.8%-41.4K1.9M-12.7K0.00101.41N/AN/A0293,1583,595
2008-09-30$14.57$15.0033.1%9.5%44.0%71.2%0.0%0.0%3.7%-44.9K1.8M-13.0K8.0027.82N/AN/A4323,1583,568