CNP Options History — January 2009

In January 2009, CNP traded between $12.43 and $13.72. ATM implied volatility averaged 38.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 9.9% (HV 20d: 28.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 9.30.

Notable Days

  • 2009-01-23: Highest Volume — 6,486 contracts
  • 2009-01-06: Largest IV spike — 18.9% change
  • 2009-01-26: Highest IV Rank — 27.6%
  • 2009-01-26: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.96$12.43$13.72$12.85$13.38
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV38.1%31.7%41.8%36.4%35.0%
Expected Move11.0%10.0%12.0%10.4%10.0%
HV 20d28.2%25.6%30.2%29.6%28.5%
HV 60d55.5%43.3%75.9%75.9%43.3%
IV Rank24.0%17.8%27.6%22.3%21.0%
IV Percentile72.4%62.3%78.6%72.2%62.3%
Term Structure-0.7%-14.3%4.1%-5.0%3.1%
VWIV40.3%30.7%56.8%36.4%35.5%
Skew 25d1.8%-16.4%16.7%4.8%13.8%
Skew 10d3.2%-17.4%21.6%12.4%21.6%
Call IV 25d33.5%20.5%45.8%36.1%21.6%
Put IV 25d35.3%28.3%44.7%40.9%35.4%
Bid-Ask Spread %28.4313.2458.6229.4922.73
Gamma HHI0.420.320.680.370.68
Net GEX-60.8K-224.7K-6.4K-19.0K-224.7K
Net DEX596.3K-214.4K2.0M259.9K1.8M
Net VEX-17.7K-26.7K-11.5K-11.5K-25.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.300.00143.134.3010.00
Total Volume602.25336,486419660
Total OI12,493.559,58217,5519,58217,535

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$12.85$12.5036.4%10.4%29.6%22.3%36.4%4.8%-5.0%-19.0K259.9K-11.5K4.3029.49N/AN/A793403,4476,135
2009-01-05$13.14$12.5031.7%10.7%29.0%17.8%37.8%1.3%-0.5%-13.8K-75.2K-12.7K1.5527.29N/AN/A1492313,5146,471
2009-01-06$12.91$12.5037.7%11.3%28.9%23.6%39.5%-0.2%3.0%-16.7K43.0K-13.7K0.5028.71N/AN/A1,1185633,6116,546
2009-01-07$12.72$12.5040.0%11.2%29.3%25.8%39.0%8.4%0.6%-11.4K108.6K-16.3K5.3143.10N/AN/A16854,4086,805
2009-01-08$13.06$12.5038.4%10.6%29.7%24.3%37.0%-0.3%3.6%-6.4K-214.4K-16.3K0.8839.79N/AN/A103914,4146,822
2009-01-09$12.85$12.5038.1%10.9%30.2%24.0%35.6%-4.0%0.6%-8.2K-192.7K-16.3K3.5023.76N/AN/A301054,4566,858
2009-01-12$12.80$12.5040.7%11.3%29.9%26.5%36.2%-2.6%1.3%-10.9K74.0K-16.3K1.6313.31N/AN/A46754,4766,918
2009-01-13$12.64$12.5035.9%10.9%29.8%21.9%30.7%-16.4%-3.6%-18.9K514.3K-16.0K10.6755.67N/AN/A3324,4736,945
2009-01-14$12.43$12.5036.3%11.2%28.3%22.3%39.0%-8.8%2.7%-17.5K633.2K-15.8K0.0055.97N/AN/A10504,4746,954
2009-01-15$12.54$12.5041.5%11.9%26.2%27.3%45.0%-10.9%0.3%-17.4K534.1K-16.2K0.1358.62N/AN/A79104,5046,954
2009-01-16$12.74$12.5037.1%10.6%26.2%23.1%37.8%-7.0%3.0%-11.7K109.3K-15.5K0.0421.67N/AN/A16764,4906,944
2009-01-20$12.43$12.5038.1%10.9%26.8%24.0%38.2%5.8%4.1%-25.3K596.2K-14.5K0.2816.07N/AN/A98274,0036,467
2009-01-21$12.59$12.5037.7%10.8%26.8%23.7%56.8%5.3%3.8%-25.2K584.0K-14.7K0.6316.70N/AN/A40254,0616,483
2009-01-22$12.75$12.5037.2%10.7%27.0%23.1%36.6%5.1%2.8%-19.8K379.4K-15.0K1.1313.24N/AN/A1091234,0566,499
2009-01-23$12.98$12.5038.8%11.1%25.6%24.7%38.1%6.2%0.6%-15.0K303.4K-14.8K143.1318.18N/AN/A456,4414,1566,577
2009-01-26$13.47$12.5041.8%12.0%28.2%27.6%43.1%16.7%-5.0%-184.3K2.0M-25.9K1.5617.21N/AN/A2934574,13612,768
2009-01-27$13.60$12.5039.8%11.4%28.2%25.7%49.3%4.6%-11.0%-195.7K1.8M-26.7K0.3418.69N/AN/A111384,34513,138
2009-01-28$13.72$12.5040.6%11.6%28.1%26.4%52.9%0.2%-14.3%-187.0K1.6M-25.9K0.2324.15N/AN/A91214,35713,120
2009-01-29$13.64$12.5038.6%11.1%27.8%24.5%40.6%14.7%-5.0%-186.4K1.1M-24.8K0.1824.28N/AN/A2854,42013,131
2009-01-30$13.38$12.5035.0%10.0%28.5%21.0%35.5%13.8%3.1%-224.7K1.8M-25.2K10.0022.73N/AN/A606004,39913,136