CNP Options History — October 2008

In October 2008, CNP traded between $9.08 and $14.40. ATM implied volatility averaged 68.5%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded below realized volatility by 19.3% (HV 20d: 87.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 9.95.

Notable Days

  • 2008-10-08: Highest Volume — 2,064 contracts
  • 2008-10-06: Largest IV spike — 105.6% change
  • 2008-10-06: Highest IV Rank — 100.0%
  • 2008-10-10: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$9.08$14.40$14.40$11.52
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV68.5%28.2%116.7%35.3%59.7%
Expected Move18.2%8.1%23.8%10.1%17.1%
HV 20d87.8%44.1%118.7%44.1%118.5%
HV 60d56.9%31.5%73.3%31.5%73.3%
IV Rank66.6%41.9%100.0%78.0%44.9%
IV Percentile95.7%68.7%100.0%94.0%93.3%
Term Structure-12.3%-26.6%14.1%-0.5%-3.3%
VWIV63.3%30.9%81.6%37.3%75.4%
Skew 25d11.2%-14.6%34.3%-2.8%19.3%
Skew 10d12.6%-10.1%44.3%-5.3%23.4%
Call IV 25d53.8%24.2%69.4%35.8%53.8%
Put IV 25d65.0%28.5%82.9%32.9%73.1%
Bid-Ask Spread %38.6216.5965.9127.9124.68
Gamma HHI0.450.330.820.380.38
Net GEX-57.8K-163.0K-25.4K-47.0K-54.9K
Net DEX3.4M2.0M4.4M2.0M3.3M
Net VEX-10.6K-15.3K-5.3K-12.4K-15.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.950.0097.290.131.15
Total Volume438.043202,06420393
Total OI9,266.5226,76011,6676,76011,667

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$14.40$15.0035.3%10.1%44.1%78.0%0.0%-2.8%-0.5%-47.0K2.0M-12.4K0.0027.91N/AN/A0203,1623,598
2008-10-02$13.99$15.0031.6%9.1%44.9%66.2%37.3%-6.5%-0.1%-47.4K2.3M-11.7K0.1357.50N/AN/A4053,1623,609
2008-10-03$13.60$15.0028.2%8.1%45.4%55.3%0.0%4.3%14.1%-48.6K2.6M-10.4K0.0045.73N/AN/A3703,2023,614
2008-10-06$12.73$15.0058.0%14.2%48.9%100.0%30.9%8.0%-11.9%-36.9K2.9M-9.0K7.4128.67N/AN/A171263,2093,614
2008-10-07$11.73$15.0063.3%15.7%53.6%100.0%53.2%3.9%-15.2%-31.7K3.1M-7.2K0.8134.60N/AN/A37303,2193,680
2008-10-08$11.41$15.0060.4%16.6%52.2%94.2%68.6%11.0%-12.5%-25.4K2.9M-7.7K97.2930.84N/AN/A212,0433,2463,670
2008-10-09$10.13$15.00116.7%22.2%63.8%100.0%49.6%8.5%-26.6%-55.6K3.7M-7.5K0.0057.33N/AN/A0353,2655,609
2008-10-10$9.08$15.0093.6%23.8%70.0%77.7%71.1%25.3%-23.8%-48.0K3.9M-5.3K0.6265.91N/AN/A2821753,2655,603
2008-10-13$10.29$15.00103.4%20.8%88.2%87.2%69.2%14.8%-22.0%-71.6K3.8M-5.8K11.8340.65N/AN/A1011,1953,4055,555
2008-10-14$10.80$15.0084.7%21.4%91.3%69.1%72.5%26.4%-20.6%-81.2K3.7M-9.1K0.4642.36N/AN/A121563,4246,412
2008-10-15$9.54$15.0087.9%22.8%98.4%72.2%0.0%7.9%-25.5%-80.9K4.4M-7.3K2.6039.41N/AN/A20523,5226,468
2008-10-16$10.27$15.0079.3%22.7%103.9%63.9%77.7%19.7%-24.6%-107.1K3.9M-8.6K1.4532.15N/AN/A2073003,5426,468
2008-10-17$10.20$15.0067.9%19.5%100.2%52.9%63.0%-14.6%-20.1%-163.0K3.9M-8.2K3.7348.63N/AN/A3141,1703,7106,526
2008-10-20$11.11$15.0069.9%20.0%106.8%54.7%68.9%9.3%-16.9%-45.9K3.4M-11.9K0.3951.13N/AN/A3521373,3235,879
2008-10-21$11.06$15.0063.2%18.1%106.7%48.3%61.6%4.9%-5.5%-40.1K3.3M-12.1K3.4221.70N/AN/A12413,6575,948
2008-10-22$10.44$15.0066.3%19.0%107.1%51.3%56.2%-2.1%-9.1%-36.7K3.6M-11.0K42.6448.77N/AN/A114693,6695,954
2008-10-23$10.78$15.0073.4%21.0%107.7%58.1%73.8%4.0%-12.1%-42.6K3.6M-12.2K13.6146.88N/AN/A334493,6706,353
2008-10-24$10.51$15.0068.4%19.6%107.6%53.3%0.0%25.7%-10.0%-46.6K3.7M-12.5K0.0059.00N/AN/A04133,7036,729
2008-10-27$10.13$15.0070.9%20.3%107.5%55.7%72.8%34.3%-7.4%-48.2K4.0M-12.8K1.2323.85N/AN/A1331643,7037,112
2008-10-28$11.40$15.0060.2%17.3%117.0%45.4%81.6%23.2%-1.9%-54.6K3.5M-14.3K9.3720.13N/AN/A706563,8257,145
2008-10-29$11.17$15.0077.6%22.3%117.0%62.2%61.8%15.5%-20.7%-57.4K3.6M-15.2K0.3723.91N/AN/A82303,8657,607
2008-10-30$11.70$15.0056.6%16.2%118.7%41.9%56.6%17.6%-6.1%-59.1K3.4M-15.2K0.5616.59N/AN/A145813,9407,622
2008-10-31$11.52$15.0059.7%17.1%118.5%44.9%75.4%19.3%-3.3%-54.9K3.3M-15.3K1.1524.68N/AN/A1832104,0447,623