CNP Options History — June 2009

In June 2009, CNP traded between $9.99 and $11.24. ATM implied volatility averaged 24.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.5% (HV 20d: 28.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 6.09.

Notable Days

  • 2009-06-23: Highest Volume — 1,335 contracts
  • 2009-06-22: Largest IV spike — 60.4% change
  • 2009-06-08: Highest IV Rank — 13.0%
  • 2009-06-23: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.55$9.99$11.24$10.27$11.08
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV24.4%18.1%29.8%20.6%24.8%
Expected Move7.2%5.2%8.6%5.9%7.1%
HV 20d28.9%25.3%31.4%30.6%27.6%
HV 60d27.8%26.4%29.7%29.7%27.3%
IV Rank7.7%1.1%13.0%4.2%7.5%
IV Percentile14.3%1.6%27.0%6.3%14.7%
Term Structure5.7%-1.6%15.8%7.4%3.3%
VWIV25.0%18.1%34.3%18.7%27.5%
Skew 25d8.2%-2.9%33.5%7.8%-0.7%
Skew 10d20.0%-4.7%59.7%48.8%-1.4%
Call IV 25d25.2%16.1%31.6%25.8%25.6%
Put IV 25d33.4%19.2%65.1%33.6%24.9%
Bid-Ask Spread %27.4711.5942.7033.1614.15
Gamma HHI0.620.560.690.600.58
Net GEX-36.4K-45.2K-30.5K-33.9K-39.1K
Net DEX879.0K301.9K1.5M1.1M475.1K
Net VEX-10.1K-14.1K-8.5K-9.0K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.090.0050.000.320.22
Total Volume206.682151,33520455
Total OI7,444.9556,5469,4996,5469,499

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$10.27$10.0020.6%5.9%30.6%4.2%18.7%7.8%7.4%-33.9K1.1M-9.0K0.3233.16N/AN/A154502,5304,016
2009-06-02$10.24$10.0022.5%6.5%30.6%6.2%0.0%16.2%4.7%-31.6K1.1M-8.8K50.0042.25N/AN/A1502,6514,060
2009-06-03$10.05$10.0028.8%8.3%30.7%12.4%0.0%33.5%-1.6%-34.8K1.3M-8.5K0.0042.70N/AN/A1702,6524,110
2009-06-04$10.02$10.0023.8%6.8%30.4%7.4%0.0%33.5%0.4%-37.0K1.4M-8.8K0.5031.05N/AN/A1052,6674,110
2009-06-05$9.99$10.0021.6%7.9%30.4%5.2%27.4%3.7%3.4%-35.1K1.4M-8.9K2.3620.97N/AN/A14332,6594,110
2009-06-08$10.15$10.0029.4%8.0%31.0%13.0%27.8%4.6%1.9%-39.0K1.3M-9.0K14.3329.11N/AN/A152152,6624,133
2009-06-09$10.04$10.0026.6%8.1%30.9%10.2%0.0%6.4%1.8%-45.2K1.5M-8.9K4.2025.89N/AN/A10422,6624,348
2009-06-10$10.18$10.0019.9%7.9%31.4%3.5%27.5%20.4%2.1%-44.8K1.3M-9.2K0.9624.35N/AN/A56542,6724,350
2009-06-11$10.54$10.0023.6%6.8%29.3%6.9%0.0%10.1%11.5%-37.9K819.8K-9.1K0.2240.04N/AN/A89202,6914,404
2009-06-12$10.66$10.0023.3%6.7%29.5%6.6%21.6%-1.2%10.2%-33.9K645.8K-9.1K10.0041.18N/AN/A101002,7554,384
2009-06-15$10.46$10.0027.7%8.0%29.5%11.1%0.0%8.8%4.7%-41.0K921.5K-9.3K0.0026.52N/AN/A12102,7504,394
2009-06-16$10.47$10.0024.4%7.0%28.6%7.8%0.0%9.3%10.6%-39.4K895.5K-8.8K2.8636.50N/AN/A14402,7364,394
2009-06-17$10.50$10.0025.7%7.4%28.6%8.7%24.5%11.2%6.7%-40.3K869.9K-8.7K0.3034.59N/AN/A167502,7304,434
2009-06-18$10.73$10.0019.4%5.6%26.0%2.4%18.6%-1.6%10.5%-38.5K631.3K-8.7K1.4342.49N/AN/A14202,8274,473
2009-06-19$10.75$10.0018.1%5.2%25.3%1.1%18.1%-2.9%13.3%-34.8K486.0K-8.9K0.5311.59N/AN/A19102,8274,483
2009-06-22$11.05$10.0029.1%8.3%26.5%12.1%24.1%12.4%-1.1%-32.1K447.6K-9.0K0.6911.64N/AN/A4853342,6094,270
2009-06-23$10.69$10.0029.8%8.6%29.6%12.8%29.4%0.4%5.5%-30.5K757.2K-10.7K1.1527.30N/AN/A6207153,0474,577
2009-06-24$10.80$10.0025.8%7.4%28.0%8.8%34.3%10.5%15.8%-34.3K752.4K-13.8K21.0025.64N/AN/A51053,5535,134
2009-06-25$11.05$10.0024.2%6.9%26.8%7.2%27.5%0.4%3.0%-34.1K483.6K-13.8K2.5016.52N/AN/A12303,5585,224
2009-06-26$11.06$10.0024.5%7.0%26.8%7.3%0.0%-1.7%3.5%-31.7K373.7K-13.7K0.0013.11N/AN/A01003,5585,224
2009-06-29$11.24$10.0023.4%6.7%26.9%6.2%0.0%-0.3%8.7%-32.9K301.9K-13.6K14.2413.67N/AN/A456413,5585,304
2009-06-30$11.08$10.0024.8%7.1%27.6%7.5%0.0%-0.7%3.3%-39.1K475.1K-14.1K0.2214.15N/AN/A45103,5825,917