CNP Options History — May 2009

In May 2009, CNP traded between $9.77 and $11.01. ATM implied volatility averaged 41.0%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 13.4% (HV 20d: 27.6%). Max pain ranged from $10.00 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 4.12.

Notable Days

  • 2009-05-01: Highest Volume — 1,044 contracts
  • 2009-05-13: Largest IV drop — 51.0% change
  • 2009-05-12: Highest IV Rank — 59.1%
  • 2009-05-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.38$9.77$11.01$11.01$10.12
Max Pain$10.13$10.00$12.50$12.50$10.00
ATM IV41.0%24.4%75.6%48.1%24.8%
Expected Move8.5%7.0%13.8%13.8%7.1%
HV 20d27.6%22.7%32.9%23.0%32.9%
HV 60d41.6%32.3%45.5%45.5%32.3%
IV Rank24.7%8.0%59.1%31.8%8.4%
IV Percentile49.6%15.1%96.8%75.4%16.3%
Term Structure-1.3%-48.8%5.3%-48.8%1.3%
VWIV27.2%21.8%32.4%23.1%21.8%
Skew 25d8.6%-10.1%35.5%-4.8%27.9%
Skew 10d18.8%-5.5%50.8%11.6%50.8%
Call IV 25d28.7%22.6%52.8%35.9%27.6%
Put IV 25d37.4%27.9%61.9%31.2%55.5%
Bid-Ask Spread %24.9817.1332.9318.0832.27
Gamma HHI0.780.600.970.880.61
Net GEX-97.1K-473.1K-36.5K-97.2K-39.1K
Net DEX1.9M1.2M2.7M2.1M1.4M
Net VEX-8.7K-10.4K-7.8K-10.4K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.120.0039.1539.150.00
Total Volume191.5101,0441,044137
Total OI8,236.25,32210,58310,5836,433

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$11.01$12.5048.1%13.8%23.0%31.8%23.1%-4.8%-48.8%-97.2K2.1M-10.4K39.1518.08N/AN/A261,0183,4027,181
2009-05-04$10.97$10.0053.7%9.2%23.0%37.3%0.0%-6.2%1.5%-77.3K1.8M-9.5K0.1028.46N/AN/A2023,4106,395
2009-05-05$10.77$10.0050.8%9.6%23.9%34.4%32.4%9.8%-2.0%-80.5K2.0M-9.5K1.4024.10N/AN/A45633,4106,280
2009-05-06$10.84$10.0056.3%8.9%22.8%39.9%0.0%8.3%1.8%-78.3K2.0M-8.7K24.4620.01N/AN/A133183,4306,280
2009-05-07$10.85$10.0065.8%8.9%22.7%49.4%22.3%7.8%2.7%-95.3K2.0M-8.7K0.3724.91N/AN/A75283,4366,579
2009-05-08$10.93$10.0063.6%8.9%22.7%47.2%0.0%-10.1%-1.2%-83.9K2.0M-9.0K8.7423.22N/AN/A312713,4006,593
2009-05-11$10.79$10.0071.4%9.0%23.2%54.9%0.0%4.4%-1.9%-87.6K2.3M-8.5K0.8026.67N/AN/A35283,4256,770
2009-05-12$10.68$10.0075.6%8.4%23.5%59.1%28.7%0.4%2.8%-97.4K2.4M-8.4K0.1028.90N/AN/A3943,4506,770
2009-05-13$10.19$10.0037.0%8.5%29.3%20.7%29.7%7.0%-0.3%-199.3K2.5M-8.5K0.1825.76N/AN/A55103,2866,772
2009-05-14$10.24$10.0032.1%9.2%29.1%15.8%32.1%7.8%-1.6%-213.9K2.2M-7.8K2.3523.17N/AN/A26613,3046,778
2009-05-15$10.05$10.0029.6%8.5%28.5%13.3%29.6%-3.2%2.5%-473.1K2.7M-8.2K0.3325.93N/AN/A66223,2986,830
2009-05-18$10.27$10.0027.5%7.9%29.6%11.2%27.5%22.0%0.6%-47.3K1.4M-8.0K0.1621.85N/AN/A509831,5933,729
2009-05-19$10.32$10.0027.1%7.8%29.6%10.9%27.2%6.3%1.6%-37.2K1.2M-9.0K0.0026.71N/AN/A1002,0833,800
2009-05-20$9.96$10.0025.8%7.4%31.9%9.6%26.9%5.3%2.6%-39.8K1.5M-8.5K0.2123.68N/AN/A118252,0903,800
2009-05-21$9.83$10.0025.4%7.3%32.0%9.1%25.3%35.5%5.3%-37.6K1.5M-8.4K2.4623.29N/AN/A651602,1603,825
2009-05-22$9.85$10.0026.4%7.6%31.7%10.2%26.4%4.7%1.3%-39.7K1.6M-8.5K0.1527.81N/AN/A5582,2183,942
2009-05-26$10.00$10.0026.3%7.6%29.4%10.0%26.3%29.6%-0.0%-42.3K1.6M-8.3K0.5517.13N/AN/A55302,2083,916
2009-05-27$9.77$10.0028.5%8.2%30.0%12.1%28.5%10.3%1.1%-39.5K1.6M-8.1K0.5624.81N/AN/A36202,2583,946
2009-05-28$10.10$10.0024.4%7.0%32.9%8.0%21.8%9.4%3.9%-36.5K1.4M-8.2K0.2732.93N/AN/A207562,2783,966
2009-05-29$10.12$10.0024.8%7.1%32.9%8.4%0.0%27.9%1.3%-39.1K1.4M-8.9K0.0032.27N/AN/A13702,4174,016