CNP Options History — March 2009

In March 2009, CNP traded between $8.88 and $10.79. ATM implied volatility averaged 46.7%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 12.4% (HV 20d: 59.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 6.71.

Notable Days

  • 2009-03-23: Highest Volume — 453 contracts
  • 2009-03-09: Largest IV drop — 25.3% change
  • 2009-03-02: Highest IV Rank — 43.7%
  • 2009-03-02: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.90$8.88$10.79$9.64$10.43
Max Pain$10.45$10.00$12.50$12.50$10.00
ATM IV46.7%37.7%58.5%58.5%45.7%
Expected Move13.7%11.1%16.8%16.8%13.1%
HV 20d59.1%42.0%67.6%56.6%42.0%
HV 60d45.6%42.6%46.9%42.6%46.8%
IV Rank31.7%23.5%43.7%43.7%29.3%
IV Percentile75.1%61.9%88.9%88.9%72.2%
Term Structure-1.6%-9.7%9.1%-9.7%5.1%
VWIV47.6%41.6%58.5%58.5%41.6%
Skew 25d7.6%-16.4%20.1%-1.5%10.5%
Skew 10d13.1%-20.6%32.4%-0.9%19.0%
Call IV 25d41.5%28.2%55.7%53.5%37.5%
Put IV 25d49.1%39.3%63.0%52.0%47.9%
Bid-Ask Spread %26.5718.2453.4224.9933.78
Gamma HHI0.480.370.650.370.61
Net GEX-51.2K-77.5K-39.8K-77.5K-57.9K
Net DEX5.7M1.8M8.2M8.0M1.9M
Net VEX-10.9K-12.3K-8.4K-12.1K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.710.0080.0024.570.04
Total Volume1611345317925
Total OI12,553.2278,60714,71114,6829,474

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$9.64$12.5058.5%16.8%56.6%43.7%58.5%-1.5%-9.7%-77.5K8.0M-12.1K24.5724.99N/AN/A71723,24311,439
2009-03-03$9.18$12.5053.2%15.2%54.6%38.6%53.0%-14.1%-8.3%-51.9K8.2M-10.1K1.3925.47N/AN/A1021423,24311,468
2009-03-04$9.52$12.5048.6%13.9%57.1%34.2%48.6%-7.1%-2.3%-56.5K8.1M-10.4K0.8321.27N/AN/A100833,21711,198
2009-03-05$8.95$12.5047.4%13.6%58.6%33.0%42.7%-16.4%-8.4%-43.0K8.0M-9.4K1.1827.76N/AN/A34403,31711,186
2009-03-06$8.88$10.0050.5%15.2%56.4%36.0%0.0%3.1%-7.8%-44.8K8.1M-8.4K0.0833.00N/AN/A1213,32711,162
2009-03-09$9.06$10.0037.7%14.8%57.6%23.7%49.3%11.1%-5.7%-39.8K7.2M-8.7K6.7527.69N/AN/A12813,33910,156
2009-03-10$9.30$10.0044.9%14.3%60.1%30.6%0.0%13.8%-1.5%-42.7K7.2M-9.6K0.0033.08N/AN/A3203,35110,207
2009-03-11$9.30$10.0044.3%13.5%59.6%30.0%47.0%16.2%-1.8%-43.6K7.2M-9.2K0.1623.23N/AN/A5083,33810,194
2009-03-12$9.74$10.0051.8%14.8%63.8%37.2%48.6%20.1%-5.4%-48.7K7.2M-9.9K1.5024.77N/AN/A901353,36310,202
2009-03-13$10.14$10.0047.3%13.6%66.4%31.9%0.0%6.6%0.7%-48.3K7.0M-11.2K0.3621.98N/AN/A2741003,43510,317
2009-03-16$10.10$10.0049.2%14.1%66.5%33.8%49.2%8.4%-0.8%-42.5K7.1M-10.8K3.1918.71N/AN/A471503,54810,413
2009-03-17$10.21$10.0048.8%14.0%65.9%33.4%0.0%9.7%-3.8%-45.1K7.1M-10.8K2.5025.59N/AN/A20503,56910,553
2009-03-18$10.42$10.0043.3%12.4%66.5%27.9%0.0%10.3%3.0%-45.1K7.0M-11.3K80.0023.74N/AN/A21603,58910,603
2009-03-19$10.39$10.0047.2%13.5%66.5%31.8%47.2%12.5%1.0%-45.0K6.9M-11.5K19.4423.20N/AN/A91753,57710,695
2009-03-20$10.47$10.0045.8%13.1%66.2%30.4%0.0%13.6%2.3%-48.2K6.9M-11.9K0.0024.82N/AN/A29403,58210,857
2009-03-23$10.79$10.0038.7%11.1%67.4%23.5%0.0%16.5%9.1%-55.3K1.8M-11.5K0.8553.42N/AN/A2452083,0735,534
2009-03-24$10.44$10.0048.4%13.9%67.6%32.9%43.5%10.6%-8.6%-57.0K2.1M-12.0K0.3824.28N/AN/A160603,2865,706
2009-03-25$10.29$10.0047.1%13.5%52.3%31.6%47.1%12.1%-0.1%-55.5K2.0M-12.3K0.6218.24N/AN/A117733,4165,766
2009-03-26$10.32$10.0041.7%11.9%52.2%26.2%41.9%11.0%3.4%-59.4K2.2M-12.2K0.7126.84N/AN/A85603,4775,819
2009-03-27$10.17$10.0041.5%11.9%51.6%26.1%41.6%10.2%7.6%-58.1K2.2M-12.2K3.0025.11N/AN/A20603,5525,879
2009-03-30$10.11$10.0046.2%13.2%45.2%30.7%0.0%10.0%-3.2%-61.1K2.3M-11.6K0.1223.66N/AN/A4253,5625,939
2009-03-31$10.43$10.0045.7%13.1%42.0%29.3%0.0%10.5%5.1%-57.9K1.9M-12.2K0.0433.78N/AN/A2413,5305,944