CNP Options History — January 2010

In January 2010, CNP traded between $13.95 and $14.86. ATM implied volatility averaged 20.7%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.4% (HV 20d: 14.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2010-01-19: Highest Volume — 532 contracts
2010-01-05: Largest IV spike — 54.0% change
2010-01-13: Highest IV Rank — 25.3%
2010-01-28: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.39	$13.95	$14.86	$14.52	$13.95
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	20.7%	12.0%	27.7%	12.0%	25.8%
Expected Move	5.3%	4.2%	7.6%	4.4%	7.4%
HV 20d	14.4%	11.3%	17.1%	14.1%	17.1%
HV 60d	17.1%	16.4%	17.9%	16.9%	17.9%
IV Rank	14.3%	0.7%	25.3%	0.7%	22.2%
IV Percentile	29.0%	0.8%	62.3%	0.8%	59.9%
Term Structure	-1.0%	-15.5%	4.0%	3.2%	-9.9%
VWIV	24.7%	13.0%	55.5%	19.0%	55.5%
Skew 25d	9.0%	0.3%	17.0%	10.0%	0.3%
Skew 10d	14.2%	1.0%	29.0%	13.6%	8.4%
Call IV 25d	19.8%	12.8%	32.4%	16.3%	32.4%
Put IV 25d	28.8%	18.2%	35.0%	26.3%	32.7%
Bid-Ask Spread %	22.67	7.76	37.16	26.18	10.71
Gamma HHI	0.88	0.83	0.95	0.94	0.83
Net GEX	300.0K	205.5K	522.7K	459.4K	205.5K
Net DEX	-3.8M	-6.3M	-2.7M	-6.3M	-2.7M
Net VEX	-17.5K	-26.5K	-12.7K	-26.5K	-17.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.00	1.68	0.02	0.94
Total Volume	229.684	38	532	213	483
Total OI	14,108.211	12,642	18,127	18,127	13,556

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$14.52	$12.50	12.0%	4.4%	14.1%	0.7%	19.0%	10.0%	3.2%	459.4K	-6.3M	-26.5K	0.02	26.18	N/A	N/A	208	5	10,707	7,420
2010-01-05	$14.41	$12.50	18.5%	4.2%	14.4%	10.8%	22.1%	7.5%	4.0%	238.4K	-3.5M	-18.5K	0.70	25.33	N/A	N/A	159	112	6,884	7,425
2010-01-06	$14.27	$12.50	18.8%	4.6%	14.9%	11.4%	0.0%	10.0%	2.0%	230.7K	-3.2M	-18.4K	0.00	24.31	N/A	N/A	65	0	7,002	7,470
2010-01-07	$14.41	$12.50	23.5%	4.5%	15.1%	18.6%	19.2%	7.5%	3.0%	286.7K	-3.1M	-15.4K	0.67	37.16	N/A	N/A	104	70	7,005	7,470
2010-01-08	$14.24	$12.50	22.4%	4.4%	15.9%	16.9%	13.0%	10.4%	1.9%	212.9K	-3.2M	-18.3K	1.68	23.83	N/A	N/A	68	114	6,963	7,531
2010-01-11	$14.34	$12.50	23.6%	4.4%	15.9%	18.8%	18.0%	8.2%	1.1%	230.8K	-3.3M	-17.5K	0.12	7.76	N/A	N/A	34	4	6,990	7,535
2010-01-12	$14.43	$12.50	23.6%	4.7%	11.3%	18.8%	19.2%	8.1%	2.0%	277.1K	-3.8M	-17.3K	0.27	18.16	N/A	N/A	254	69	6,990	7,535
2010-01-13	$14.55	$12.50	27.7%	5.3%	11.3%	25.3%	19.8%	9.9%	1.9%	336.6K	-3.5M	-15.9K	0.07	13.09	N/A	N/A	75	5	7,072	7,570
2010-01-14	$14.62	$12.50	18.9%	5.4%	11.4%	11.5%	20.2%	12.0%	-0.6%	358.3K	-3.8M	-16.4K	0.00	31.39	N/A	N/A	85	0	7,091	7,565
2010-01-15	$14.61	$12.50	17.3%	5.0%	11.3%	8.9%	17.6%	13.9%	3.0%	403.0K	-4.1M	-12.7K	1.00	26.57	N/A	N/A	50	50	7,136	7,565
2010-01-19	$14.82	$12.50	16.6%	4.8%	11.8%	7.9%	16.8%	0.5%	1.4%	496.3K	-4.5M	-16.6K	0.16	12.94	N/A	N/A	457	75	7,067	5,575
2010-01-20	$14.86	$12.50	17.1%	4.9%	11.7%	8.6%	17.1%	17.0%	1.0%	522.7K	-5.0M	-14.3K	0.66	35.15	N/A	N/A	106	70	7,365	5,580
2010-01-21	$14.56	$12.50	18.1%	5.2%	13.7%	10.3%	23.8%	12.8%	-2.0%	238.1K	-4.3M	-18.8K	0.20	28.66	N/A	N/A	353	70	7,438	5,621
2010-01-22	$14.20	$12.50	19.7%	5.6%	16.2%	12.7%	25.1%	9.8%	-3.6%	294.9K	-3.2M	-16.0K	0.01	36.89	N/A	N/A	230	3	7,581	5,621
2010-01-25	$14.33	$12.50	18.3%	5.3%	16.6%	10.6%	0.0%	6.7%	-1.6%	245.5K	-3.9M	-18.1K	0.13	24.54	N/A	N/A	413	55	7,645	5,624
2010-01-26	$14.20	$12.50	21.0%	6.0%	16.7%	14.8%	45.9%	9.7%	-2.7%	233.6K	-3.6M	-18.3K	0.70	10.11	N/A	N/A	210	148	7,794	5,623
2010-01-27	$14.08	$12.50	24.6%	7.1%	16.8%	20.4%	43.6%	11.7%	-15.5%	217.2K	-3.0M	-18.0K	0.77	8.60	N/A	N/A	44	34	7,848	5,671
2010-01-28	$14.10	$12.50	26.4%	7.6%	16.8%	23.1%	55.5%	4.3%	-8.1%	212.0K	-3.1M	-18.5K	0.14	29.39	N/A	N/A	72	10	7,846	5,675
2010-01-29	$13.95	$12.50	25.8%	7.4%	17.1%	22.2%	0.0%	0.3%	-9.9%	205.5K	-2.7M	-17.5K	0.94	10.71	N/A	N/A	249	234	7,871	5,685