CNP Options History — October 2009

In October 2009, CNP traded between $12.22 and $13.09. ATM implied volatility averaged 21.8%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.1% (HV 20d: 16.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 12.80.

Notable Days

  • 2009-10-19: Highest Volume — 957 contracts
  • 2009-10-12: Largest IV spike — 87.8% change
  • 2009-10-27: Highest IV Rank — 19.0%
  • 2009-10-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.66$12.22$13.09$12.29$12.60
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV21.8%12.6%25.8%20.0%22.9%
Expected Move6.7%5.4%7.8%5.7%6.6%
HV 20d16.7%14.6%18.8%18.1%15.0%
HV 60d16.0%15.5%16.6%16.5%15.7%
IV Rank12.2%0.0%19.0%6.3%16.1%
IV Percentile19.4%0.0%34.9%9.5%22.6%
Term Structure0.9%-1.9%5.1%5.1%-1.3%
VWIV23.5%20.0%27.3%20.0%22.6%
Skew 25d6.8%-3.3%34.4%7.3%2.1%
Skew 10d8.6%-5.7%39.2%4.9%3.4%
Call IV 25d24.7%20.9%37.8%25.1%20.9%
Put IV 25d31.5%21.3%69.9%32.5%23.0%
Bid-Ask Spread %21.6815.9435.7235.7227.41
Gamma HHI0.810.600.940.800.75
Net GEX237.8K77.7K493.9K277.0K90.4K
Net DEX-2.4M-5.2M-842.2K-1.4M-936.0K
Net VEX-12.8K-15.3K-9.6K-15.0K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.800.00247.000.000.65
Total Volume200.0919957979
Total OI11,707.9559,72412,46711,80211,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$12.29$12.5020.0%5.7%18.1%6.3%20.0%7.3%5.1%277.0K-1.4M-15.0K0.0035.72N/AN/A906,0765,726
2009-10-02$12.22$12.5019.0%5.4%18.2%5.3%20.7%34.3%4.7%244.9K-1.0M-14.5K0.1033.07N/AN/A161166,0715,726
2009-10-05$12.36$12.5018.2%7.8%18.5%4.6%27.3%0.5%-1.9%261.3K-1.6M-13.9K0.7723.86N/AN/A1421106,0265,737
2009-10-06$12.38$12.5020.6%7.2%18.5%6.9%25.3%28.0%0.3%335.5K-1.8M-12.5K0.1520.34N/AN/A368576,1095,837
2009-10-07$12.35$12.5019.8%6.9%18.4%6.1%24.0%34.4%1.2%353.3K-1.6M-14.8K1.1116.69N/AN/A45506,3415,894
2009-10-08$12.53$12.5018.9%6.7%18.8%5.3%23.4%2.2%1.3%444.6K-2.6M-13.0K6.0018.05N/AN/A5306,3555,944
2009-10-09$12.67$12.5012.6%6.6%16.9%0.0%23.0%2.8%3.2%493.9K-3.6M-13.9K1.8919.22N/AN/A9176,3275,935
2009-10-12$12.77$12.5023.6%6.5%17.0%12.2%22.6%3.2%2.6%379.5K-4.1M-11.8K1.4117.48N/AN/A32456,3395,935
2009-10-13$12.68$12.5020.2%6.9%16.6%8.4%24.0%2.1%-0.0%477.5K-3.7M-11.9K3.9318.68N/AN/A14556,3455,940
2009-10-14$12.73$12.5019.2%6.3%16.5%8.8%22.1%-3.3%3.7%447.6K-4.2M-11.3K0.0120.58N/AN/A14826,3565,950
2009-10-15$12.85$12.5025.8%7.4%14.6%17.5%25.8%3.8%-0.4%324.7K-4.6M-11.4K0.3517.17N/AN/A129456,4825,950
2009-10-16$12.94$12.5024.9%7.2%14.7%18.5%25.1%5.3%0.6%247.4K-5.2M-10.2K0.8517.39N/AN/A74636,5075,960
2009-10-19$13.09$12.5024.8%7.1%15.1%18.8%24.8%4.3%-1.3%139.1K-2.8M-9.6K5.6515.94N/AN/A1448134,2325,492
2009-10-20$12.93$12.5024.0%6.9%15.9%17.6%24.0%2.3%0.3%96.9K-2.2M-11.8K0.4119.07N/AN/A1774,3046,247
2009-10-21$12.79$12.5023.2%6.7%16.2%16.3%22.3%0.6%-1.6%105.8K-2.1M-10.6K247.0019.13N/AN/A24944,3116,254
2009-10-22$13.00$12.5021.5%6.2%16.4%13.7%21.6%0.6%1.6%85.3K-2.3M-12.6K2.0722.96N/AN/A1402904,3166,708
2009-10-23$12.85$12.5023.2%6.7%17.2%16.4%23.4%1.3%1.1%79.5K-1.7M-13.6K0.4121.08N/AN/A220904,3796,994
2009-10-26$12.70$12.5023.7%6.8%16.6%17.1%23.8%3.8%3.5%77.7K-1.3M-15.3K5.1424.73N/AN/A211084,5557,051
2009-10-27$12.71$12.5025.0%7.2%16.4%19.0%25.0%1.0%-1.6%85.2K-1.4M-13.6K1.4822.27N/AN/A27404,5447,090
2009-10-28$12.60$12.5024.1%6.9%15.9%17.6%0.0%0.2%-0.3%90.7K-882.7K-13.5K0.5024.37N/AN/A1054,5717,098
2009-10-29$12.59$12.5023.6%6.8%15.3%17.0%23.6%13.1%-1.1%93.5K-842.2K-13.4K1.6121.84N/AN/A1031664,5787,099
2009-10-30$12.60$12.5022.9%6.6%15.0%16.1%22.6%2.1%-1.3%90.4K-936.0K-13.5K0.6527.41N/AN/A48314,6207,264