CNP Options History — February 2009

In February 2009, CNP traded between $10.32 and $14.39. ATM implied volatility averaged 36.7%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 0.7% (HV 20d: 36.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.32.

Notable Days

  • 2009-02-10: Highest Volume — 10,115 contracts
  • 2009-02-10: Largest IV spike — 132.9% change
  • 2009-02-26: Highest IV Rank — 36.1%
  • 2009-02-26: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.71$10.32$14.39$13.83$10.32
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV36.7%17.3%50.6%22.8%48.5%
Expected Move10.7%5.0%14.5%6.5%13.9%
HV 20d36.1%26.8%53.2%30.0%53.2%
HV 60d39.1%34.7%43.7%43.7%40.6%
IV Rank22.7%3.9%36.1%9.3%34.0%
IV Percentile56.7%4.8%81.7%17.9%79.0%
Term Structure1.3%-7.9%13.9%12.1%-5.4%
VWIV41.3%18.5%51.4%42.1%47.5%
Skew 25d5.0%-7.0%19.5%19.5%8.6%
Skew 10d7.9%-9.5%23.1%21.3%13.8%
Call IV 25d35.9%20.3%52.7%20.3%39.9%
Put IV 25d40.9%20.4%51.4%39.8%48.5%
Bid-Ask Spread %26.0811.8540.7926.3125.80
Gamma HHI0.620.440.770.620.44
Net GEX-226.7K-379.0K-110.2K-190.7K-110.2K
Net DEX3.8M-352.9K7.8M1.4M7.8M
Net VEX-22.2K-26.1K-14.1K-26.1K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0019.644.331.39
Total Volume756.3685510,115224277
Total OI17,18213,60718,69218,13714,428

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$13.83$12.5022.8%6.5%30.0%9.3%42.1%19.5%12.1%-190.7K1.4M-26.1K4.3326.31N/AN/A421824,45113,686
2009-02-03$14.00$12.5020.5%5.9%29.4%7.0%41.1%16.0%10.9%-176.4K740.0K-25.4K0.3522.67N/AN/A207724,49113,818
2009-02-04$13.98$12.5021.0%6.0%28.4%7.5%0.0%-5.7%9.4%-181.6K644.6K-25.7K0.0015.67N/AN/A5504,64513,881
2009-02-05$14.30$12.5017.3%5.0%28.2%3.9%18.5%-2.5%13.9%-151.4K-293.0K-23.8K0.3511.85N/AN/A113404,67013,881
2009-02-06$14.39$12.5018.2%9.1%27.2%4.8%34.8%11.9%1.2%-143.5K-352.9K-24.7K0.4223.44N/AN/A72304,74213,871
2009-02-09$14.21$12.5021.7%7.6%26.8%8.2%38.8%9.5%1.5%-154.0K18.9K-24.0K1.8025.41N/AN/A611104,79313,881
2009-02-10$13.52$12.5050.6%12.0%33.1%36.1%42.3%5.6%-2.5%-214.1K1.7M-25.1K0.0040.79N/AN/A10,098174,71513,977
2009-02-11$13.16$12.5039.4%11.4%34.3%25.2%36.0%3.4%3.1%-271.6K3.0M-24.3K0.8029.42N/AN/A35284,08213,984
2009-02-12$13.22$12.5043.1%12.4%33.6%28.8%42.9%4.0%-1.4%-327.7K2.9M-24.2K0.7333.59N/AN/A52384,08413,952
2009-02-13$13.13$12.5038.0%10.9%33.7%23.9%38.1%2.3%-0.4%-285.4K2.8M-23.5K19.6429.34N/AN/A112164,09813,990
2009-02-17$12.56$12.5046.3%13.3%37.1%31.9%46.3%-7.0%-7.9%-344.5K4.6M-23.8K1.7229.03N/AN/A1001724,10914,000
2009-02-18$12.24$12.5041.2%11.8%37.2%27.0%41.2%1.2%-0.3%-379.0K6.0M-23.1K0.8018.50N/AN/A100804,20214,056
2009-02-19$12.19$12.5043.4%12.4%36.9%29.1%43.4%1.1%-2.7%-376.0K6.2M-22.8K1.3417.23N/AN/A29394,19114,116
2009-02-20$11.83$12.5042.6%12.2%37.8%28.4%46.4%10.9%-1.5%-240.7K7.7M-21.2K1.0031.41N/AN/A85854,21314,114
2009-02-23$11.66$12.5042.2%12.1%37.1%28.0%42.4%6.4%-0.8%-239.3K6.0M-19.6K0.3333.14N/AN/A121402,96210,645
2009-02-24$11.88$12.5041.5%11.9%34.8%27.3%42.0%13.4%1.2%-262.1K5.5M-20.5K1.0731.22N/AN/A2302463,04810,625
2009-02-25$10.52$12.5048.6%13.9%53.2%34.2%48.6%-2.9%-1.3%-117.7K7.7M-14.1K3.0320.14N/AN/A2447403,13710,704
2009-02-26$10.60$12.5050.6%14.5%53.1%36.1%51.4%-1.5%-4.6%-140.8K7.3M-15.3K4.9630.57N/AN/A512533,11211,104
2009-02-27$10.32$12.5048.5%13.9%53.2%34.0%47.5%8.6%-5.4%-110.2K7.8M-14.3K1.3925.80N/AN/A1161613,12811,300