CNP Options History — February 2010

In February 2010, CNP traded between $13.38 and $14.53. ATM implied volatility averaged 24.4%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.1% (HV 20d: 23.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 3.84.

Notable Days

2010-02-10: Highest Volume — 21,257 contracts
2010-02-08: Largest IV spike — 159.1% change
2010-02-08: Highest IV Rank — 70.0%
2010-02-08: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.07	$13.38	$14.53	$14.26	$13.38
Max Pain	$13.95	$12.50	$15.00	$12.50	$15.00
ATM IV	24.4%	16.1%	56.4%	25.9%	24.6%
Expected Move	6.1%	4.5%	8.6%	7.4%	7.0%
HV 20d	23.3%	18.7%	30.0%	18.7%	30.0%
HV 60d	19.5%	18.3%	21.8%	18.3%	21.8%
IV Rank	20.0%	7.0%	70.0%	22.5%	20.3%
IV Percentile	41.6%	6.3%	98.0%	61.9%	56.7%
Term Structure	0.5%	-17.6%	10.7%	-17.6%	1.4%
VWIV	29.9%	15.4%	65.8%	41.2%	21.1%
Skew 25d	4.4%	-4.9%	17.1%	6.2%	0.7%
Skew 10d	4.9%	-6.6%	27.1%	10.5%	1.9%
Call IV 25d	20.5%	13.9%	29.8%	29.8%	23.6%
Put IV 25d	24.9%	15.1%	40.5%	36.1%	24.4%
Bid-Ask Spread %	32.35	10.72	105.71	13.25	105.71
Gamma HHI	0.72	0.48	0.89	0.86	0.48
Net GEX	189.7K	13.2K	576.3K	271.4K	13.2K
Net DEX	-1.9M	-4.1M	-147.2K	-3.1M	-147.2K
Net VEX	-14.9K	-18.7K	-12.3K	-16.1K	-12.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.84	0.00	55.00	7.78	0.76
Total Volume	1,295.684	11	21,257	79	480
Total OI	11,906.474	6,250	14,199	13,875	6,520

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
2010-02-01	$14.26	$12.50	25.9%	7.4%	18.7%	22.5%	41.2%	6.2%	-17.6%	271.4K	-3.1M	-16.1K	7.78	13.25	N/A	N/A	9	70	8,073	5,802
2010-02-02	$14.46	$12.50	19.1%	5.5%	19.5%	11.8%	49.1%	-1.2%	6.7%	267.2K	-4.1M	-18.7K	0.72	16.16	N/A	N/A	114	82	8,077	5,852
2010-02-03	$14.38	$12.50	17.1%	4.9%	19.4%	8.6%	15.4%	-3.8%	2.9%	245.7K	-4.1M	-18.1K	0.28	10.72	N/A	N/A	277	78	8,005	5,852
2010-02-04	$13.89	$12.50	20.8%	6.0%	22.7%	14.5%	65.8%	17.1%	-8.3%	200.5K	-2.8M	-17.3K	1.72	27.45	N/A	N/A	58	100	8,062	5,853
2010-02-05	$13.92	$12.50	21.8%	4.5%	22.4%	15.9%	0.0%	11.1%	8.0%	203.7K	-2.4M	-16.7K	1.38	29.00	N/A	N/A	97	134	8,091	5,953
2010-02-08	$13.75	$12.50	56.4%	8.6%	22.4%	70.0%	0.0%	7.2%	-5.8%	177.4K	-2.0M	-16.3K	0.08	28.40	N/A	N/A	26	2	8,121	6,059
2010-02-09	$14.01	$12.50	28.7%	5.0%	23.4%	26.8%	0.0%	14.1%	9.8%	212.2K	-2.8M	-16.6K	55.00	34.89	N/A	N/A	2	110	8,123	6,061
2010-02-10	$13.83	$12.50	32.8%	4.6%	23.6%	33.2%	0.0%	9.7%	8.0%	188.4K	-2.2M	-15.8K	0.00	31.41	N/A	N/A	21,257	0	8,125	6,074
2010-02-11	$13.74	$15.00	23.2%	6.6%	23.3%	18.1%	0.0%	14.2%	10.7%	165.3K	-1.2M	-15.0K	0.00	31.79	N/A	N/A	11	0	7,359	6,074
2010-02-12	$13.65	$15.00	23.3%	6.7%	23.2%	18.3%	0.0%	2.0%	8.7%	28.4K	-365.4K	-12.3K	1.92	29.59	N/A	N/A	13	25	7,363	6,074
2010-02-16	$13.95	$15.00	22.1%	6.3%	24.8%	16.4%	0.0%	-0.9%	-0.1%	154.9K	-964.0K	-13.0K	0.00	33.80	N/A	N/A	248	0	7,369	6,095
2010-02-17	$14.06	$15.00	19.7%	5.6%	24.3%	12.7%	0.0%	-4.9%	-1.7%	195.1K	-1.3M	-13.3K	0.00	13.76	N/A	N/A	260	0	7,580	6,095
2010-02-18	$14.39	$15.00	20.9%	6.0%	26.0%	14.6%	21.1%	13.2%	-0.4%	431.9K	-2.5M	-14.1K	0.47	36.26	N/A	N/A	219	103	7,717	6,092
2010-02-19	$14.53	$15.00	21.3%	6.1%	25.3%	15.2%	21.3%	0.1%	-1.1%	576.3K	-2.8M	-13.9K	0.91	20.81	N/A	N/A	179	163	7,919	6,136
2010-02-22	$14.45	$15.00	16.1%	4.6%	23.6%	7.0%	18.1%	2.2%	0.7%	74.9K	-1.2M	-13.2K	0.15	35.36	N/A	N/A	275	41	2,996	3,254
2010-02-23	$14.31	$15.00	24.1%	6.9%	23.7%	19.7%	20.8%	4.8%	-2.0%	78.8K	-1.2M	-12.9K	0.18	59.11	N/A	N/A	55	10	3,169	3,255
2010-02-24	$14.21	$15.00	23.3%	6.7%	23.6%	18.4%	0.0%	-4.2%	-4.8%	64.8K	-941.3K	-13.2K	0.00	42.51	N/A	N/A	12	0	3,220	3,265
2010-02-25	$14.10	$15.00	22.3%	6.4%	23.6%	16.8%	24.9%	-3.6%	-5.0%	54.2K	-814.8K	-13.3K	1.51	14.73	N/A	N/A	43	65	3,223	3,265
2010-02-26	$13.38	$15.00	24.6%	7.0%	30.0%	20.3%	21.1%	0.7%	1.4%	13.2K	-147.2K	-12.9K	0.76	105.71	N/A	N/A	272	208	3,215	3,305