CNP Options History — March 2010

In March 2010, CNP traded between $13.60 and $14.47. ATM implied volatility averaged 15.0%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 9.3% (HV 20d: 24.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.12.

Notable Days

  • 2010-03-25: Highest Volume — 397 contracts
  • 2010-03-11: Largest IV drop — 39.3% change
  • 2010-03-02: Highest IV Rank — 16.4%
  • 2010-03-02: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.19$13.60$14.47$13.60$14.36
Max Pain$14.89$12.50$15.00$15.00$15.00
ATM IV15.0%9.7%22.1%22.0%14.4%
Expected Move3.9%2.8%6.3%6.3%4.1%
HV 20d24.3%13.1%30.6%30.6%13.2%
HV 60d21.6%21.2%22.2%21.9%21.6%
IV Rank6.7%0.0%16.4%16.4%7.1%
IV Percentile11.3%0.0%36.5%35.7%7.5%
Term Structure4.6%-9.0%9.3%-6.7%4.3%
VWIV17.1%8.7%30.3%30.3%25.6%
Skew 25d4.6%-0.9%8.3%-0.9%4.2%
Skew 10d5.5%-1.3%10.3%-1.3%9.4%
Call IV 25d14.3%10.3%21.5%21.5%17.0%
Put IV 25d18.9%14.3%25.0%20.7%21.1%
Bid-Ask Spread %14.7411.5520.1515.8619.77
Gamma HHI0.570.480.650.480.62
Net GEX68.9K9.4K112.1K9.4K95.1K
Net DEX-840.8K-1.3M-27.4K-27.4K-1.1M
Net VEX-13.1K-14.4K-11.8K-13.6K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.005.920.000.20
Total Volume87.5650397112
Total OI7,015.6526,7967,1846,7967,184

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$13.60$15.0022.0%6.3%30.6%16.4%0.0%-0.9%-6.7%9.4K-27.4K-13.6K0.0015.86N/AN/A103,3033,493
2010-03-02$13.83$15.0022.1%6.3%30.1%16.4%0.0%2.7%-6.9%28.2K-352.9K-13.8K0.0017.99N/AN/A403,3033,493
2010-03-03$13.77$15.0018.4%5.3%29.6%10.7%30.3%2.6%-6.1%28.4K-398.6K-13.9K0.0015.00N/AN/A2403,3033,493
2010-03-04$14.02$12.5020.7%5.9%30.4%14.3%0.0%5.7%-9.0%40.3K-503.8K-13.8K0.0012.13N/AN/A003,3243,493
2010-03-05$14.01$15.0016.5%3.1%27.7%7.8%10.6%1.6%5.6%43.5K-632.0K-13.7K0.2312.43N/AN/A195453,3243,493
2010-03-08$14.15$15.0019.9%3.4%27.9%13.0%0.0%2.5%7.2%64.6K-753.4K-13.2K1.8812.34N/AN/A40753,5003,461
2010-03-09$14.11$15.0021.7%3.6%27.5%15.8%13.2%2.0%6.7%54.8K-751.0K-14.4K1.6712.11N/AN/A6103,5403,536
2010-03-10$14.12$15.0019.0%3.4%26.8%11.7%0.0%4.1%9.0%57.0K-728.4K-13.8K0.4011.55N/AN/A43173,5433,546
2010-03-11$14.28$15.0011.6%3.3%26.5%0.0%0.0%6.7%9.1%68.5K-850.6K-13.8K0.0013.89N/AN/A1903,5213,563
2010-03-12$14.24$15.0011.4%3.3%26.4%0.0%0.0%5.0%8.1%71.6K-929.4K-13.6K2.9416.19N/AN/A17503,5393,563
2010-03-15$14.23$15.0011.8%3.4%26.2%0.7%0.0%5.6%8.3%67.6K-837.2K-13.5K0.0013.94N/AN/A023,5533,613
2010-03-16$14.43$15.0011.0%3.2%25.6%0.0%8.7%8.3%8.8%97.3K-1.1M-12.2K0.7016.63N/AN/A43303,5533,611
2010-03-17$14.46$15.009.7%2.8%25.5%0.0%9.0%5.6%8.2%112.1K-1.3M-12.5K1.0012.15N/AN/A443,5863,581
2010-03-18$14.41$15.0010.3%3.0%24.2%0.9%0.0%6.9%8.9%100.7K-1.1M-12.4K0.0015.96N/AN/A1503,5823,585
2010-03-19$14.43$15.0010.7%3.1%24.0%1.5%25.9%7.7%8.7%108.3K-1.2M-12.6K0.0015.40N/AN/A15703,5963,585
2010-03-22$14.28$15.0011.8%3.4%24.2%3.2%0.0%2.8%4.5%96.3K-1.1M-11.8K0.1815.46N/AN/A3463,3493,481
2010-03-23$14.30$15.0012.3%3.5%23.9%3.9%13.6%6.4%4.9%92.0K-1.0M-11.9K2.7413.84N/AN/A501373,3653,487
2010-03-24$14.19$15.0012.3%3.5%23.9%3.9%0.0%1.5%5.5%63.5K-881.9K-13.1K0.0612.20N/AN/A6443,4113,580
2010-03-25$14.13$15.0014.1%4.1%23.8%6.7%0.0%4.3%4.8%57.6K-743.0K-12.5K5.6214.41N/AN/A603373,3733,580
2010-03-26$14.19$15.0016.2%4.6%13.5%9.9%0.0%6.3%5.2%64.0K-742.3K-12.6K0.0020.15N/AN/A10703,3533,747
2010-03-29$14.47$15.0013.5%3.9%14.0%5.8%25.6%8.1%9.3%76.0K-1.1M-12.9K5.9214.92N/AN/A533143,3703,747
2010-03-30$14.44$15.0012.5%3.6%13.1%4.2%0.0%6.2%7.7%89.2K-1.2M-13.1K0.0014.75N/AN/A3503,4173,737
2010-03-31$14.36$15.0014.4%4.1%13.2%7.1%0.0%4.2%4.3%95.1K-1.1M-12.4K0.2019.77N/AN/A1023,4473,737