CNP Options History — December 2008

In December 2008, CNP traded between $12.03 and $12.87. ATM implied volatility averaged 49.0%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 0.5% (HV 20d: 49.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2008-12-23: Highest Volume — 562 contracts
  • 2008-12-19: Largest IV drop — 15.1% change
  • 2008-12-02: Highest IV Rank — 47.2%
  • 2008-12-02: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.46$12.03$12.87$12.19$12.62
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV49.0%36.5%62.1%61.3%36.5%
Expected Move14.0%10.5%17.8%17.6%10.5%
HV 20d49.5%31.6%64.2%63.4%31.9%
HV 60d79.8%77.7%80.9%80.9%77.7%
IV Rank34.6%22.5%47.2%46.5%22.5%
IV Percentile82.8%72.6%93.3%93.3%72.6%
Term Structure-0.5%-8.8%3.5%-5.0%2.9%
VWIV50.1%38.1%62.0%61.3%38.1%
Skew 25d9.9%-5.6%26.4%12.8%5.4%
Skew 10d16.0%-6.4%40.4%21.0%7.8%
Call IV 25d40.9%30.9%53.3%53.3%30.9%
Put IV 25d50.8%33.7%67.1%66.0%36.3%
Bid-Ask Spread %31.9919.2954.5131.3419.97
Gamma HHI0.400.300.600.390.41
Net GEX-587-32.7K91.2K-16.7K-22.0K
Net DEX359.4K-345.5K1.3M481.9K637.9K
Net VEX-15.2K-17.6K-12.8K-17.6K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.009.100.530.00
Total Volume142.864105627593
Total OI10,277.0918,93411,00610,2829,509

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$12.19$12.5061.3%17.6%63.4%46.5%61.3%12.8%-5.0%-16.7K481.9K-17.6K0.5331.34N/AN/A49263,6956,587
2008-12-02$12.37$12.5062.1%17.8%63.1%47.2%62.0%4.4%-6.3%-16.5K473.1K-17.4K0.3945.75N/AN/A79313,6996,597
2008-12-03$12.85$12.5058.4%16.7%64.2%43.7%58.4%12.6%-8.8%-6.4K-105.5K-16.5K0.4219.29N/AN/A223943,6906,608
2008-12-04$12.53$12.5058.6%16.8%63.8%43.8%58.6%8.8%2.3%-5.6K-30.0K-17.6K0.2320.19N/AN/A69163,9016,690
2008-12-05$12.80$12.5059.0%15.9%60.2%44.2%48.3%20.6%-0.6%-396-140.8K-17.3K0.9944.87N/AN/A1141133,9576,704
2008-12-08$12.87$12.5060.7%16.0%56.6%45.8%51.0%17.9%-1.5%3.3K-345.5K-17.3K0.0830.93N/AN/A3733,9996,783
2008-12-09$12.59$12.5052.8%15.5%56.1%38.2%54.4%12.5%-0.8%7.0K-233.1K-17.0K0.5033.54N/AN/A20104,0266,782
2008-12-10$12.71$12.5053.1%16.1%55.9%38.5%47.2%13.0%-5.0%7.9K-145.2K-16.7K0.2331.18N/AN/A3584,0366,792
2008-12-11$12.55$12.5051.1%14.6%52.9%36.6%0.0%11.1%2.4%3.6K30.8K-16.3K0.2438.44N/AN/A2564,0316,794
2008-12-12$12.72$12.5048.8%14.0%49.3%34.3%49.1%22.1%2.1%18.8K2.1K-15.8K0.0352.95N/AN/A3514,0566,797
2008-12-15$12.33$12.5051.9%14.9%50.0%37.4%0.0%24.1%0.3%13.6K409.1K-15.6K0.2030.03N/AN/A50104,0916,797
2008-12-16$12.71$12.5049.3%14.1%50.2%34.9%0.0%10.6%-0.5%21.9K-270.4K-14.7K0.9654.51N/AN/A54524,1136,789
2008-12-17$12.51$12.5046.5%13.3%49.7%32.1%43.4%6.5%1.1%31.6K-59.9K-14.6K2.4844.46N/AN/A31774,0726,839
2008-12-18$12.27$12.5049.1%14.1%48.0%34.7%49.1%4.5%-4.5%18.4K327.4K-14.5K0.4928.94N/AN/A78384,0466,886
2008-12-19$12.42$12.5041.7%12.0%46.6%27.5%41.6%4.9%2.6%91.2K208.2K-13.7K1.2921.98N/AN/A891154,1156,891
2008-12-22$12.34$12.5040.7%11.7%40.1%26.5%40.7%2.4%1.6%-17.2K818.4K-12.8K1.8128.01N/AN/A1272303,3115,623
2008-12-23$12.03$12.5041.1%11.8%39.9%26.9%41.2%-5.6%-1.7%-24.1K1.1M-13.0K0.6526.56N/AN/A3402223,3675,823
2008-12-24$12.07$12.5039.1%11.2%39.6%24.9%0.0%5.8%1.6%-31.0K1.3M-13.6K0.0024.82N/AN/A0103,3465,993
2008-12-26$12.10$12.5039.1%11.2%39.6%24.9%0.0%-3.6%1.6%-30.7K1.2M-12.9K4.2227.66N/AN/A371563,3465,993
2008-12-29$12.11$12.5039.8%11.4%37.0%25.7%57.0%-0.3%2.3%-32.7K1.3M-12.9K9.1022.44N/AN/A201823,3236,148
2008-12-30$12.38$12.5038.1%10.9%31.6%24.0%38.1%26.4%3.5%-26.9K973.0K-13.1K2.0025.97N/AN/A46923,3336,118
2008-12-31$12.62$12.5036.5%10.5%31.9%22.5%0.0%5.4%2.9%-22.0K637.9K-12.8K0.0019.97N/AN/A9303,3746,135