CNP Options History — August 2009

In August 2009, CNP traded between $12.07 and $12.83. ATM implied volatility averaged 21.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 15.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2009-08-05: Highest Volume — 1,093 contracts
  • 2009-08-07: Largest IV spike — 51.0% change
  • 2009-08-18: Highest IV Rank — 10.9%
  • 2009-08-18: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.48$12.07$12.83$12.17$12.40
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV21.3%14.1%25.3%24.6%22.7%
Expected Move6.3%4.1%7.2%7.1%6.5%
HV 20d15.2%11.2%19.3%19.3%13.5%
HV 60d23.4%20.7%27.0%27.0%21.3%
IV Rank6.8%0.0%10.9%8.9%8.3%
IV Percentile11.4%0.0%21.4%15.9%14.3%
Term Structure2.9%-0.9%9.4%-0.9%1.1%
VWIV25.8%17.3%71.0%24.7%22.6%
Skew 25d8.9%-2.0%24.3%8.8%24.3%
Skew 10d14.5%-2.9%34.5%8.0%34.5%
Call IV 25d25.4%19.7%46.3%25.0%27.1%
Put IV 25d34.2%21.8%61.2%33.8%51.5%
Bid-Ask Spread %20.1411.3926.3925.1022.03
Gamma HHI0.550.460.690.520.46
Net GEX37.6K5.3K61.1K18.8K12.1K
Net DEX-927.6K-1.9M-372.2K-589.2K-372.2K
Net VEX-12.3K-14.8K-9.8K-12.4K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.0014.580.039.48
Total Volume202.714281,093163262
Total OI9,540.0486,97110,9839,6777,657

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$12.17$12.5024.6%7.1%19.3%8.9%24.7%8.8%-0.9%18.8K-589.2K-12.4K0.0325.10N/AN/A15853,6766,001
2009-08-04$12.09$12.5017.3%5.0%17.4%1.6%17.3%8.6%6.0%21.1K-431.4K-11.5K0.9817.27N/AN/A99973,7766,006
2009-08-05$12.07$12.5019.0%5.4%16.3%3.3%71.0%-2.0%5.6%5.3K-561.8K-13.7K2.1116.08N/AN/A3527413,8076,056
2009-08-06$12.13$12.5014.1%4.1%16.0%0.0%0.0%12.4%9.4%12.9K-589.2K-14.8K2.1014.42N/AN/A10213,9976,737
2009-08-07$12.34$12.5021.3%5.9%16.4%7.0%20.5%1.0%5.6%32.1K-776.4K-14.0K0.0017.31N/AN/A39903,9996,738
2009-08-10$12.44$12.5021.1%5.9%15.8%6.8%20.5%18.9%6.7%39.7K-902.8K-14.1K0.0820.15N/AN/A2624,2456,738
2009-08-11$12.52$12.5015.1%7.0%15.8%0.9%24.4%2.0%1.8%61.1K-1.4M-11.3K1.0519.69N/AN/A1241304,2296,740
2009-08-12$12.34$12.5016.3%7.1%17.3%2.1%24.7%1.5%1.1%41.1K-459.4K-12.5K0.5022.31N/AN/A40203,6046,775
2009-08-13$12.40$12.5020.8%5.9%16.7%6.5%0.0%18.4%4.9%43.5K-592.4K-12.8K0.6319.77N/AN/A19123,6296,750
2009-08-14$12.48$12.5023.9%6.9%16.5%9.5%23.6%14.9%2.6%47.4K-864.4K-12.4K0.0921.40N/AN/A5553,6296,750
2009-08-17$12.48$12.5023.9%6.8%15.5%9.5%23.9%3.0%2.7%49.5K-880.2K-12.4K1.2821.72N/AN/A65833,6526,745
2009-08-18$12.54$12.5025.3%7.2%15.4%10.9%25.3%17.4%1.5%50.2K-1.1M-12.3K3.1313.53N/AN/A15473,6586,786
2009-08-19$12.57$12.5024.8%7.1%15.1%10.4%0.0%3.1%1.1%57.8K-1.2M-12.0K0.0011.39N/AN/A8903,6736,795
2009-08-20$12.67$12.5023.9%6.8%14.2%9.5%23.9%15.3%3.1%56.1K-1.6M-11.8K1.8421.32N/AN/A631163,6736,785
2009-08-21$12.80$12.5023.3%6.7%14.1%9.0%0.0%13.8%1.5%54.5K-1.9M-11.4K0.0022.10N/AN/A29503,6736,879
2009-08-24$12.81$12.5024.6%7.0%14.0%10.2%24.6%7.6%-0.9%47.3K-1.1M-11.4K5.4421.75N/AN/A482612,6004,371
2009-08-25$12.77$12.5022.7%6.5%13.2%8.3%22.7%1.0%0.7%37.0K-1.1M-11.7K0.2325.07N/AN/A62142,6464,624
2009-08-26$12.83$12.5020.7%5.9%12.5%6.4%0.0%11.9%2.9%47.7K-1.3M-9.8K0.6125.25N/AN/A33202,6584,638
2009-08-27$12.75$12.5022.8%6.5%11.2%8.5%23.0%1.9%1.1%37.4K-1.1M-11.6K14.5826.39N/AN/A243502,6684,658
2009-08-28$12.57$12.5020.0%5.7%12.7%5.7%20.0%2.2%3.5%17.9K-625.0K-12.5K4.9418.90N/AN/A16792,6684,952
2009-08-31$12.40$12.5022.7%6.5%13.5%8.3%22.6%24.3%1.1%12.1K-372.2K-12.4K9.4822.03N/AN/A252372,6654,992