CNP Options History — September 2009

In September 2009, CNP traded between $12.07 and $12.77. ATM implied volatility averaged 21.5%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.9% (HV 20d: 15.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2009-09-10: Highest Volume — 3,757 contracts
  • 2009-09-10: Largest IV spike — 78.7% change
  • 2009-09-11: Highest IV Rank — 12.4%
  • 2009-09-11: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.38$12.07$12.77$12.32$12.43
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV21.5%13.5%26.3%24.5%21.9%
Expected Move6.5%5.2%7.5%7.0%6.3%
HV 20d15.6%11.8%18.2%13.5%18.2%
HV 60d19.1%16.6%21.2%21.2%16.6%
IV Rank7.7%0.0%12.4%10.1%8.2%
IV Percentile13.9%0.0%29.0%21.0%15.5%
Term Structure2.3%-0.9%5.7%-0.9%2.8%
VWIV23.0%18.8%26.3%21.2%21.9%
Skew 25d13.0%-0.4%35.6%26.6%29.4%
Skew 10d18.4%-1.0%43.4%34.8%43.4%
Call IV 25d26.1%22.0%48.4%28.3%27.7%
Put IV 25d39.2%22.8%62.3%54.8%57.1%
Bid-Ask Spread %22.2612.2230.8029.8925.38
Gamma HHI0.690.460.920.460.82
Net GEX-10.6K-756.3K315.7K9.3K275.1K
Net DEX-994.0K-2.7M661.3K-149.9K-2.1M
Net VEX-14.4K-16.8K-12.4K-12.4K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.008.100.938.10
Total Volume511.905103,757327182
Total OI10,757.9057,79213,5537,79211,632

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$12.32$12.5024.5%7.0%13.5%10.1%0.0%26.6%-0.9%9.3K-149.9K-12.4K0.9329.89N/AN/A1691582,6645,128
2009-09-02$12.17$12.5020.8%6.0%14.3%6.5%0.0%8.7%1.6%6.9K-42.9K-12.7K0.0028.64N/AN/A1002,7995,159
2009-09-03$12.12$12.5018.1%5.2%14.3%3.9%21.2%35.6%1.2%5.9K146.8K-12.7K1.4312.22N/AN/A65932,8095,159
2009-09-04$12.07$12.5015.2%6.5%12.8%1.1%22.8%-0.4%1.8%6.1K241.6K-12.4K0.2720.77N/AN/A5161402,7735,240
2009-09-08$12.13$12.5016.8%7.1%12.6%2.6%24.9%-0.0%-0.1%22.9K28.2K-12.7K0.3215.12N/AN/A155503,0675,280
2009-09-09$12.21$12.5013.5%6.9%12.6%0.0%24.2%0.9%2.4%26.5K-180.8K-13.2K0.5923.68N/AN/A2201303,2155,330
2009-09-10$12.13$12.5024.1%6.9%11.8%10.3%24.1%0.7%1.7%19.0K-139.1K-13.6K6.8118.96N/AN/A4813,2763,4165,446
2009-09-11$12.45$12.5026.3%7.5%15.1%12.4%26.3%13.9%0.1%-334.0K661.3K-15.5K0.0718.31N/AN/A1,6671153,7357,949
2009-09-14$12.53$12.5024.8%7.1%15.1%10.9%24.8%16.1%1.1%-299.2K-615.6K-16.8K0.0820.08N/AN/A131105,2137,974
2009-09-15$12.69$12.5023.8%6.8%15.7%10.0%24.1%14.6%2.7%-241.7K-2.0M-14.5K0.2623.78N/AN/A4941295,2947,974
2009-09-16$12.77$12.5023.8%6.8%15.8%9.9%23.7%15.0%2.8%-155.3K-2.7M-15.5K0.8115.13N/AN/A1281045,3828,066
2009-09-17$12.49$12.5021.8%6.2%17.7%8.0%21.8%2.9%3.4%-386.8K-556.1K-16.0K0.1322.88N/AN/A121165,4418,099
2009-09-18$12.49$12.5023.1%6.6%17.5%9.3%23.1%3.0%2.2%-756.3K-379.8K-15.6K0.5117.59N/AN/A2921485,4388,115
2009-09-21$12.50$12.5022.5%6.5%17.0%8.8%22.5%3.2%2.9%158.9K-1.8M-14.4K0.1919.48N/AN/A425804,9745,416
2009-09-22$12.48$12.5021.8%6.2%17.0%8.0%21.8%19.6%5.7%189.7K-1.9M-15.2K0.0822.97N/AN/A492415,3345,475
2009-09-23$12.38$12.5022.2%6.4%17.1%8.4%22.2%2.3%2.8%222.4K-1.9M-15.4K0.2123.54N/AN/A105225,7705,479
2009-09-24$12.26$12.5018.5%5.3%17.2%4.9%18.8%7.3%4.7%250.8K-1.5M-14.9K0.1930.80N/AN/A269525,7815,499
2009-09-25$12.25$12.5023.1%6.6%17.2%9.3%0.0%29.5%3.2%209.4K-1.3M-14.9K0.4021.07N/AN/A1045,8895,539
2009-09-28$12.49$12.5025.8%7.4%18.1%11.9%25.8%26.4%1.1%232.2K-1.9M-15.2K0.0026.51N/AN/A7505,8995,543
2009-09-29$12.60$12.5019.9%5.7%17.7%6.2%19.9%18.5%5.5%315.7K-2.7M-13.3K0.8830.63N/AN/A93825,9735,548
2009-09-30$12.43$12.5021.9%6.3%18.2%8.2%21.9%29.4%2.8%275.1K-2.1M-15.0K8.1025.38N/AN/A201626,0565,576