CNP Options History — April 2009

In April 2009, CNP traded between $10.12 and $10.74. ATM implied volatility averaged 40.5%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 13.5% (HV 20d: 27.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 6.18.

Notable Days

  • 2009-04-20: Highest Volume — 1,071 contracts
  • 2009-04-29: Largest IV drop — 26.1% change
  • 2009-04-02: Highest IV Rank — 29.1%
  • 2009-04-06: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.39$10.12$10.74$10.28$10.64
Max Pain$12.26$10.00$12.50$10.00$12.50
ATM IV40.5%32.5%45.5%45.4%38.7%
Expected Move12.0%9.3%13.1%13.0%11.1%
HV 20d27.0%20.6%41.0%41.0%20.6%
HV 60d45.8%44.8%46.7%46.5%44.8%
IV Rank24.2%16.2%29.1%29.1%22.4%
IV Percentile60.4%38.9%71.4%71.4%54.4%
Term Structure-6.3%-24.1%2.3%2.1%-24.1%
VWIV39.2%24.2%53.3%45.1%53.3%
Skew 25d6.6%-9.5%15.9%10.9%-5.9%
Skew 10d16.3%-0.2%35.3%20.2%13.3%
Call IV 25d35.3%29.0%44.9%40.4%39.4%
Put IV 25d41.9%33.6%52.7%51.4%33.6%
Bid-Ask Spread %19.9311.6133.8221.8233.82
Gamma HHI0.780.620.970.630.97
Net GEX-91.2K-146.8K-57.5K-59.6K-146.8K
Net DEX2.3M1.9M2.9M2.1M2.5M
Net VEX-10.7K-12.1K-9.0K-12.1K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.180.0246.670.122.55
Total Volume127.52401,0711167
Total OI9,827.2389,02610,4289,49810,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$10.28$10.0045.4%13.0%41.0%29.1%0.0%10.9%2.1%-59.6K2.1M-12.1K0.0021.82N/AN/A013,5545,944
2009-04-02$10.46$10.0045.5%13.0%33.1%29.1%45.1%9.4%1.7%-57.5K1.9M-12.1K0.1222.50N/AN/A85103,5545,944
2009-04-03$10.56$12.5033.7%12.3%32.6%17.4%0.0%12.3%-2.3%-61.0K1.9M-11.8K6.2516.27N/AN/A8503,5755,937
2009-04-06$10.49$12.5039.7%13.1%32.7%23.4%25.7%12.8%-0.5%-59.7K1.9M-11.8K1.6711.61N/AN/A6103,5755,964
2009-04-07$10.30$12.5037.7%12.4%33.1%21.4%24.2%9.7%-4.1%-63.3K2.0M-11.4K0.0214.89N/AN/A4613,5755,974
2009-04-08$10.26$12.5037.5%12.4%33.2%21.2%0.0%12.0%-10.9%-65.8K2.3M-11.1K2.2028.00N/AN/A10223,5705,975
2009-04-09$10.23$12.5044.9%12.9%29.5%28.6%37.7%15.9%-16.0%-66.4K2.2M-10.8K12.5027.45N/AN/A222753,5605,997
2009-04-13$10.18$12.5043.4%12.4%25.9%27.1%42.7%7.7%-2.6%-71.9K2.3M-10.8K1.8317.05N/AN/A30553,5676,267
2009-04-14$10.12$12.5041.4%11.9%26.0%25.1%0.0%-9.5%-15.8%-75.3K2.6M-10.6K0.0016.26N/AN/A0753,5696,282
2009-04-15$10.18$12.5042.4%12.2%25.8%26.1%0.0%-6.3%-14.1%-76.6K2.7M-10.7K7.8012.59N/AN/A5393,5696,357
2009-04-16$10.28$12.5042.5%12.2%24.9%26.1%40.6%8.1%-6.1%-75.1K2.2M-10.3K2.0015.08N/AN/A363,3786,091
2009-04-17$10.52$12.5040.7%11.7%26.3%24.4%41.7%9.7%-0.9%-75.3K1.9M-10.5K0.3818.01N/AN/A26103,3816,092
2009-04-20$10.42$12.5040.4%11.6%26.4%24.1%38.9%7.6%-1.5%-79.2K2.1M-10.0K18.1314.11N/AN/A561,0153,1145,912
2009-04-21$10.44$12.5041.2%11.8%23.9%24.9%0.0%-6.3%-15.4%-120.5K2.7M-11.0K1.5414.77N/AN/A13203,1686,922
2009-04-22$10.31$12.5037.3%10.7%21.3%21.0%38.8%4.1%-0.8%-128.6K2.7M-10.6K0.5012.96N/AN/A20103,1806,937
2009-04-23$10.20$12.5038.9%11.2%21.0%22.6%36.7%9.0%-1.4%-128.2K2.9M-10.3K46.6718.48N/AN/A31403,2006,898
2009-04-24$10.31$12.5038.2%10.9%21.3%21.9%39.2%8.8%-5.6%-134.9K2.8M-10.2K0.5822.46N/AN/A120703,2006,986
2009-04-27$10.67$12.5043.9%12.6%23.8%27.6%41.6%11.0%-8.0%-119.2K2.3M-10.2K0.3525.90N/AN/A131463,2847,056
2009-04-28$10.74$12.5044.0%12.6%23.6%27.7%42.5%12.6%-8.6%-110.2K2.0M-10.7K6.2021.84N/AN/A10623,3527,056
2009-04-29$10.70$12.5032.5%9.3%21.3%16.2%0.0%4.7%2.3%-140.5K2.2M-9.0K0.0032.60N/AN/A003,3577,071
2009-04-30$10.64$12.5038.7%11.1%20.6%22.4%53.3%-5.9%-24.1%-146.8K2.5M-9.3K2.5533.82N/AN/A471203,3577,071