CNP Options History — December 2009

In December 2009, CNP traded between $13.47 and $14.81. ATM implied volatility averaged 18.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.0% (HV 20d: 18.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2009-12-31: Highest Volume — 4,278 contracts
  • 2009-12-10: Largest IV drop — 54.6% change
  • 2009-12-08: Highest IV Rank — 23.6%
  • 2009-12-03: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.32$13.47$14.81$13.47$14.51
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV18.2%11.6%27.5%19.1%11.6%
Expected Move4.6%3.3%6.2%5.5%3.3%
HV 20d18.2%13.7%21.0%20.8%14.8%
HV 60d17.5%16.6%18.2%18.0%16.9%
IV Rank9.9%0.0%23.6%10.3%0.1%
IV Percentile12.7%0.0%50.8%11.5%0.4%
Term Structure2.6%-7.9%8.8%3.6%8.6%
VWIV15.9%11.3%21.3%20.0%11.3%
Skew 25d17.4%0.8%48.7%6.7%46.2%
Skew 10d23.9%-1.2%77.9%25.3%77.9%
Call IV 25d17.6%13.0%28.6%16.2%28.6%
Put IV 25d35.0%14.8%74.8%22.9%74.8%
Bid-Ask Spread %18.148.2733.7310.8113.80
Gamma HHI0.670.450.940.550.66
Net GEX28.4K-52.4K62.5K-52.4K47.7K
Net DEX-2.5M-3.1M-1.3M-1.3M-2.2M
Net VEX-10.1K-13.0K-8.6K-13.0K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0016.000.040.01
Total Volume33004,2782834,278
Total OI10,127.3189,71610,5059,80010,505

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$13.47$12.5019.1%5.5%20.8%10.3%20.0%6.7%3.6%-52.4K-1.3M-13.0K0.0410.81N/AN/A273103,0766,724
2009-12-02$13.58$12.5020.6%5.9%20.7%12.7%21.3%6.5%-5.3%-45.0K-1.6M-12.5K0.509.80N/AN/A111553,1376,734
2009-12-03$13.80$12.5021.5%6.2%21.0%14.2%0.0%2.4%-7.9%325-2.2M-10.5K1.1812.70N/AN/A33393,1016,784
2009-12-04$13.77$12.5023.2%4.4%21.0%16.9%0.0%3.6%7.3%-6.1K-2.0M-11.0K0.7211.99N/AN/A1461053,0956,809
2009-12-07$13.88$12.5023.0%3.9%20.9%16.6%12.0%3.6%6.6%9.2K-2.2M-11.0K2.3811.91N/AN/A21503,2106,800
2009-12-08$13.88$12.5027.5%3.7%20.8%23.6%0.0%1.8%6.0%14.8K-2.3M-10.9K0.009.44N/AN/A043,2126,850
2009-12-09$13.89$12.5025.4%3.7%20.8%20.4%0.0%3.9%6.1%16.3K-2.3M-10.4K0.009.56N/AN/A003,2126,846
2009-12-10$14.00$12.5011.6%3.3%20.3%0.0%11.6%2.2%8.8%26.0K-2.5M-10.1K0.008.27N/AN/A11303,2126,846
2009-12-11$14.45$12.5016.5%4.7%18.3%7.8%18.6%29.5%1.7%48.9K-3.0M-8.6K1.4533.73N/AN/A861253,2436,846
2009-12-14$14.57$12.5017.8%5.1%18.1%9.7%0.0%10.3%3.2%41.4K-3.1M-8.9K0.3721.43N/AN/A136503,2546,971
2009-12-15$14.53$12.5019.1%5.5%17.9%11.7%0.0%0.8%1.2%42.4K-3.1M-8.9K16.0019.95N/AN/A101603,3236,941
2009-12-16$14.59$12.5018.7%5.4%17.8%11.1%0.0%32.8%0.2%43.5K-3.0M-9.3K0.0521.93N/AN/A10253,3287,020
2009-12-17$14.46$12.5018.3%5.2%18.4%10.5%0.0%1.7%1.3%35.0K-2.9M-9.6K0.5030.57N/AN/A60303,3207,025
2009-12-18$14.55$12.5016.1%4.6%17.5%7.0%0.0%42.5%3.1%45.4K-3.0M-9.1K0.0027.00N/AN/A4603,3697,025
2009-12-21$14.65$12.5015.3%4.4%17.4%5.9%0.0%42.0%0.9%49.7K-2.5M-8.7K2.1732.71N/AN/A1262732,9186,798
2009-12-22$14.70$12.5016.4%4.7%17.1%7.5%0.0%39.4%3.5%45.3K-2.5M-9.6K1.8914.25N/AN/A531002,9487,071
2009-12-23$14.70$12.5014.5%4.2%17.2%4.6%0.0%7.3%3.1%46.1K-2.5M-9.5K0.4726.65N/AN/A32152,9477,171
2009-12-24$14.77$12.5016.3%4.7%17.1%7.3%16.4%39.9%3.0%44.1K-2.5M-10.4K0.8917.30N/AN/A56502,9737,180
2009-12-28$14.81$12.5016.1%4.6%14.8%7.0%16.1%48.7%1.0%53.8K-2.6M-9.3K1.0816.55N/AN/A1081173,0097,230
2009-12-29$14.76$12.5015.4%4.4%13.7%6.1%15.7%6.5%2.9%62.5K-2.6M-9.9K0.0019.08N/AN/A12003,0877,280
2009-12-30$14.69$12.5015.9%4.6%13.7%6.8%0.0%4.4%-0.6%56.4K-2.5M-10.0K2.0619.76N/AN/A531093,0917,280
2009-12-31$14.51$12.5011.6%3.3%14.8%0.1%11.3%46.2%8.6%47.7K-2.2M-10.8K0.0113.80N/AN/A4,221573,1177,388