CNP Options History — November 2009

In November 2009, CNP traded between $12.45 and $13.27. ATM implied volatility averaged 22.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.2% (HV 20d: 16.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 57.73.

Notable Days

  • 2009-11-30: Highest Volume — 2,161 contracts
  • 2009-11-09: Largest IV spike — 35.6% change
  • 2009-11-10: Highest IV Rank — 30.6%
  • 2009-11-18: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.82$12.45$13.27$12.54$13.27
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV22.1%15.6%32.1%19.7%16.3%
Expected Move6.2%4.5%6.9%5.7%4.7%
HV 20d16.9%14.3%20.6%14.7%20.6%
HV 60d16.4%15.2%17.8%15.4%17.8%
IV Rank14.9%4.8%30.6%11.2%5.9%
IV Percentile22.3%2.0%50.8%10.7%3.6%
Term Structure1.7%-1.6%5.9%4.7%5.9%
VWIV21.8%17.8%23.7%17.8%23.0%
Skew 25d5.3%-2.2%15.7%-2.2%-2.2%
Skew 10d14.8%-6.7%35.0%0.3%-6.7%
Call IV 25d22.9%17.5%27.7%26.8%22.1%
Put IV 25d28.2%17.0%40.2%24.7%19.8%
Bid-Ask Spread %24.5812.4274.2745.1916.69
Gamma HHI0.650.440.920.660.44
Net GEX38.2K-139.2K183.1K89.5K37.6K
Net DEX-1.3M-2.7M226.4K-888.4K-1.5M
Net VEX-11.7K-13.8K-9.9K-13.8K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio57.730.001079.506.821079.50
Total Volume329.1542,161862,161
Total OI10,714.77,11113,00211,9187,724

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$12.54$12.5019.7%5.7%14.7%11.2%17.8%-2.2%4.7%89.5K-888.4K-13.8K6.8245.19N/AN/A11754,6487,270
2009-11-03$12.48$12.5023.6%6.8%14.9%17.3%23.7%0.7%-0.3%99.8K-279.0K-11.5K0.0517.52N/AN/A466254,6537,305
2009-11-04$12.58$12.5018.1%5.2%15.0%8.6%20.1%2.1%5.5%141.5K-1.2M-12.0K1.4274.27N/AN/A31444,9507,330
2009-11-05$12.74$12.5022.3%6.4%14.8%15.2%22.3%13.7%-0.1%134.7K-1.5M-12.5K0.0022.72N/AN/A47504,9967,375
2009-11-06$12.74$12.5019.0%6.2%14.3%10.0%21.8%2.6%1.7%165.0K-1.8M-13.1K0.0013.43N/AN/A11005,3687,375
2009-11-09$12.89$12.5025.8%6.8%14.7%20.6%0.0%15.7%0.4%142.3K-2.2M-12.6K0.3718.78N/AN/A3441285,3787,375
2009-11-10$12.94$12.5032.1%6.5%14.4%30.6%0.0%12.8%1.3%139.7K-2.7M-12.5K0.1921.17N/AN/A110215,6177,385
2009-11-11$12.82$12.5024.7%6.5%14.8%19.0%0.0%3.0%0.6%183.1K-2.1M-12.6K0.4719.17N/AN/A2131005,5947,389
2009-11-12$12.45$12.5022.0%6.3%17.8%14.7%22.3%2.4%1.8%-139.2K226.4K-13.1K0.4221.34N/AN/A189793,4387,328
2009-11-13$12.63$12.5021.2%6.1%18.4%13.5%21.2%15.0%3.4%-117.2K-332.4K-12.6K0.5417.90N/AN/A139753,6117,332
2009-11-16$12.87$12.5023.3%6.7%19.3%16.8%23.3%2.5%0.3%-48.2K-1.4M-11.5K0.0621.99N/AN/A304183,6937,368
2009-11-17$12.88$12.5022.4%6.4%18.8%15.3%0.0%1.4%0.8%-39.1K-1.6M-11.2K0.7824.35N/AN/A40313,7237,350
2009-11-18$12.85$12.5023.9%6.9%18.4%17.7%0.0%11.2%0.1%-45.7K-1.5M-11.3K0.0021.27N/AN/A043,7137,379
2009-11-19$12.73$12.5023.5%6.7%17.6%17.1%0.0%14.6%-0.3%-100.5K-1.1M-11.3K0.4228.04N/AN/A137573,7237,385
2009-11-20$12.77$12.5022.4%6.4%17.2%15.3%0.0%3.9%1.1%-71.8K-1.4M-11.2K0.1019.97N/AN/A127133,7947,356
2009-11-23$12.98$12.5022.8%6.5%17.7%16.2%22.5%4.8%-1.6%50.7K-1.1M-10.4K1.5026.56N/AN/A701052,9954,116
2009-11-24$13.03$12.5023.5%6.7%17.7%17.4%23.0%3.7%-1.6%48.5K-1.3M-10.6K0.1717.17N/AN/A2443,0604,218
2009-11-25$13.19$12.5015.6%4.5%17.7%4.8%0.0%-0.5%5.6%48.8K-1.6M-9.9K3.8412.42N/AN/A1475653,0674,214
2009-11-27$12.96$12.5019.3%5.5%19.0%10.7%0.0%1.2%4.0%44.3K-1.2M-11.1K0.1731.61N/AN/A121203,0694,630
2009-11-30$13.27$12.5016.3%4.7%20.6%5.9%0.0%-2.2%5.9%37.6K-1.5M-10.3K1079.5016.69N/AN/A22,1593,0744,650