CNP Options History — July 2009

In July 2009, CNP traded between $10.78 and $12.05. ATM implied volatility averaged 27.2%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.6% (HV 20d: 25.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.21.

Notable Days

  • 2009-07-07: Highest Volume — 504 contracts
  • 2009-07-14: Largest IV spike — 33.6% change
  • 2009-07-14: Highest IV Rank — 37.1%
  • 2009-07-16: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.38$10.78$12.05$11.20$12.05
Max Pain$12.27$10.00$12.50$10.00$12.50
ATM IV27.2%15.7%54.1%28.4%17.5%
Expected Move7.0%4.5%11.0%8.1%5.0%
HV 20d25.6%20.1%29.9%26.4%20.1%
HV 60d27.7%26.9%28.4%27.3%26.9%
IV Rank10.5%0.0%37.1%11.1%1.8%
IV Percentile22.5%0.0%83.7%24.6%2.4%
Term Structure1.8%-13.4%11.7%-6.6%9.3%
VWIV34.7%13.5%56.9%30.4%13.5%
Skew 25d8.5%-2.2%20.5%2.4%10.4%
Skew 10d12.2%1.8%29.4%1.8%8.9%
Call IV 25d20.4%16.3%28.1%26.1%20.3%
Put IV 25d28.9%19.3%48.7%28.5%30.7%
Bid-Ask Spread %18.3010.8029.9219.7618.64
Gamma HHI0.550.440.620.560.47
Net GEX-24.1K-49.4K28.2K-32.3K3.2K
Net DEX275.1K-433.0K953.4K270.2K-380.6K
Net VEX-13.2K-15.3K-8.8K-14.3K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.005.474.170.00
Total Volume101.77375043117
Total OI9,538.9099,3879,7089,5179,674

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$11.20$10.0028.4%8.1%26.4%11.1%30.4%2.4%-6.6%-32.3K270.2K-14.3K4.1719.76N/AN/A6253,5905,927
2009-07-02$10.94$10.0027.7%7.9%28.2%10.5%31.9%14.2%1.6%-36.6K524.2K-14.1K0.0113.78N/AN/A12713,5915,932
2009-07-06$11.17$12.5029.7%7.2%28.6%12.4%0.0%11.7%11.7%-38.8K429.9K-13.7K0.0029.15N/AN/A5503,6145,932
2009-07-07$10.94$12.5031.1%9.6%29.8%13.9%28.7%15.2%-4.3%-38.2K505.8K-14.1K2.0713.99N/AN/A1643403,6475,932
2009-07-08$10.80$12.5029.4%9.7%29.9%12.2%0.0%14.1%-1.5%-44.1K838.8K-13.7K2.2720.79N/AN/A11253,6285,924
2009-07-09$10.78$12.5031.6%9.5%29.7%14.4%33.0%10.3%-2.2%-48.6K953.4K-13.4K0.8623.67N/AN/A29253,6365,949
2009-07-10$10.92$12.5031.4%7.8%27.6%14.2%0.0%11.2%7.5%-49.4K856.3K-13.3K0.5627.95N/AN/A36203,6085,954
2009-07-13$11.11$12.5040.5%7.9%27.9%23.4%31.8%14.9%7.8%-43.6K650.2K-13.0K1.5729.92N/AN/A7113,6005,956
2009-07-14$11.20$12.5054.1%9.2%26.8%37.1%17.0%11.7%0.7%-36.2K425.0K-13.0K0.0023.64N/AN/A703,6065,960
2009-07-15$11.29$12.5045.1%6.0%26.9%28.0%41.9%11.2%7.4%-35.5K406.9K-13.4K0.4624.66N/AN/A160743,6065,960
2009-07-16$11.20$12.5038.2%11.0%27.2%21.1%45.2%8.6%-13.4%-37.6K472.8K-13.5K0.0024.71N/AN/A10003,6666,024
2009-07-17$11.19$12.5030.2%8.7%26.3%13.0%41.7%-2.2%-9.8%-35.1K377.6K-13.5K1.9411.68N/AN/A51993,7086,000
2009-07-20$11.43$12.5021.8%6.2%27.2%4.5%43.8%3.9%-2.5%-29.8K429.0K-13.6K5.4711.81N/AN/A301643,4555,956
2009-07-21$11.55$12.5019.0%5.5%25.8%1.7%31.0%4.1%-2.4%-18.3K298.5K-12.0K5.2814.88N/AN/A18953,4616,062
2009-07-22$11.51$12.5018.8%5.4%22.3%1.5%49.4%3.4%-2.6%-28.8K349.0K-13.9K0.0012.55N/AN/A7303,4586,132
2009-07-23$11.73$12.5016.0%4.6%22.9%0.0%0.0%1.4%5.7%-9.4K-83.4K-15.3K0.0712.34N/AN/A5743,4515,936
2009-07-24$11.87$12.5015.7%4.5%22.0%0.0%56.9%4.8%8.8%-11.1K-210.1K-13.8K0.0010.80N/AN/A4203,4885,936
2009-07-27$11.97$12.5016.5%4.7%22.0%0.8%41.0%7.3%10.0%28.2K-433.0K-8.8K0.0014.51N/AN/A11603,5085,936
2009-07-28$11.84$12.5016.5%4.7%22.1%0.8%17.9%5.0%7.9%-7.1K-229.3K-13.4K1.0012.75N/AN/A443,5695,912
2009-07-29$11.75$12.5018.2%5.2%21.6%2.5%0.0%3.7%5.8%4.3K-37.6K-11.4K0.1314.82N/AN/A1623,5735,912
2009-07-30$12.01$12.5021.9%6.3%22.4%6.2%0.0%20.5%0.0%14.6K-361.8K-11.9K0.8115.80N/AN/A1241003,5755,912
2009-07-31$12.05$12.5017.5%5.0%20.1%1.8%13.5%10.4%9.3%3.2K-380.6K-14.3K0.0018.64N/AN/A1703,6736,001