CNP Options History — November 2008

In November 2008, CNP traded between $11.19 and $12.93. ATM implied volatility averaged 55.2%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 28.0% (HV 20d: 83.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.77.

Notable Days

  • 2008-11-26: Highest Volume — 1,068 contracts
  • 2008-11-11: Largest IV spike — 33.6% change
  • 2008-11-20: Highest IV Rank — 61.1%
  • 2008-11-20: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.95$11.19$12.93$11.79$12.93
Max Pain$13.03$12.50$15.00$15.00$12.50
ATM IV55.2%44.7%76.5%56.5%56.0%
Expected Move15.9%13.2%21.9%16.2%16.1%
HV 20d83.2%59.6%117.0%117.0%59.6%
HV 60d76.9%73.0%80.1%73.2%80.1%
IV Rank40.6%30.4%61.1%41.8%41.3%
IV Percentile91.3%87.7%97.2%92.1%89.3%
Term Structure-1.7%-6.6%3.1%-5.8%-0.6%
VWIV56.6%45.9%79.0%46.2%56.0%
Skew 25d16.1%-12.9%29.8%10.2%13.3%
Skew 10d29.7%-12.2%47.8%20.9%16.0%
Call IV 25d45.0%38.0%57.2%51.8%38.3%
Put IV 25d61.1%36.7%76.1%62.0%51.5%
Bid-Ask Spread %27.9717.4350.4327.1418.19
Gamma HHI0.480.350.560.410.35
Net GEX-41.6K-55.5K-7.5K-55.5K-7.5K
Net DEX2.7M-187.0K3.8M3.3M-187.0K
Net VEX-15.1K-16.6K-13.9K-14.9K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.0011.753.581.09
Total Volume294.737201,068275402
Total OI11,690.2118,41112,68711,9559,930

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$11.79$15.0056.5%16.2%117.0%41.8%0.0%10.2%-5.8%-55.5K3.3M-14.9K3.5827.14N/AN/A602154,1607,795
2008-11-04$11.67$15.0048.5%13.9%113.3%34.1%46.2%-12.9%0.6%-54.9K3.4M-15.1K0.2324.23N/AN/A230534,2207,944
2008-11-05$12.12$15.0051.5%14.8%113.6%37.0%51.3%-3.1%-1.9%-50.7K2.9M-15.1K1.8117.43N/AN/A1051904,3607,954
2008-11-06$11.45$15.0053.9%15.4%106.7%39.3%58.0%11.5%-0.5%-55.2K3.5M-15.4K4.1333.30N/AN/A301244,4038,030
2008-11-07$12.16$12.5052.7%14.7%99.0%38.1%51.5%20.6%-4.8%-43.1K3.0M-13.9K0.4023.95N/AN/A170684,4148,023
2008-11-10$11.81$12.5044.7%13.2%91.0%30.4%45.9%19.0%-0.6%-49.0K3.3M-14.5K0.2923.10N/AN/A35104,4468,063
2008-11-11$12.03$12.5059.7%15.2%89.8%44.9%52.1%20.2%-2.1%-47.0K3.1M-14.9K0.2427.35N/AN/A220524,4518,073
2008-11-12$11.46$12.5045.7%16.0%78.7%31.3%59.6%17.7%-5.5%-53.4K3.8M-15.0K0.0023.15N/AN/A2004,1588,100
2008-11-13$12.13$12.5051.0%14.6%77.1%36.5%56.2%26.9%0.6%-48.1K3.4M-15.2K2.6626.40N/AN/A762024,1788,020
2008-11-14$11.85$12.5054.7%15.7%77.7%40.1%57.5%25.5%-1.8%-45.7K3.1M-15.4K0.3626.94N/AN/A225824,2548,184
2008-11-17$11.62$12.5060.9%17.5%72.5%46.1%60.7%14.9%-5.3%-34.6K3.6M-15.1K0.1628.99N/AN/A61104,4638,224
2008-11-18$11.98$12.5052.4%15.0%73.2%37.8%0.0%27.6%1.6%-35.3K3.3M-15.1K11.7526.05N/AN/A8944,4248,090
2008-11-19$11.52$12.5059.2%17.0%71.4%44.4%54.7%12.2%-1.0%-36.8K3.3M-14.7K0.3326.88N/AN/A54184,4287,960
2008-11-20$11.19$12.5076.5%21.9%71.6%61.1%71.4%13.1%-4.7%-35.5K3.5M-14.8K0.9050.43N/AN/A42384,4707,970
2008-11-21$11.99$12.5062.6%17.9%74.6%47.7%79.0%29.8%-6.6%-34.5K3.1M-15.4K4.9326.21N/AN/A1336564,4837,957
2008-11-24$12.33$12.5056.4%16.2%73.1%41.7%55.7%24.2%3.1%-38.7K1.1M-15.3K0.4631.86N/AN/A3551652,2976,114
2008-11-25$12.50$12.5053.3%15.3%61.0%38.7%53.2%23.8%0.8%-35.9K750.6K-15.3K0.0532.58N/AN/A313162,6266,264
2008-11-26$12.47$12.5052.7%15.1%60.4%38.1%52.7%11.7%2.4%-28.1K763.8K-15.3K0.1637.26N/AN/A9241442,9106,274
2008-11-28$12.93$12.5056.0%16.1%59.6%41.3%56.0%13.3%-0.6%-7.5K-187.0K-16.6K1.0918.19N/AN/A1922103,5356,395