CNP Options History — April 2010

In April 2010, CNP traded between $14.18 and $14.74. ATM implied volatility averaged 18.9%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.0% (HV 20d: 14.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-04-16: Highest Volume — 749 contracts
  • 2010-04-22: Largest IV spike — 55.7% change
  • 2010-04-14: Highest IV Rank — 33.5%
  • 2010-04-22: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.45$14.18$14.74$14.50$14.36
Max Pain$12.62$12.50$15.00$15.00$12.50
ATM IV18.9%12.2%31.8%12.7%19.2%
Expected Move5.1%3.6%6.8%3.6%5.5%
HV 20d14.9%12.2%17.5%12.2%17.1%
HV 60d21.5%20.9%22.0%21.7%21.1%
IV Rank13.9%3.8%33.5%4.5%14.4%
IV Percentile31.9%4.4%88.1%6.0%33.3%
Term Structure-0.3%-5.5%6.1%6.1%-2.3%
VWIV20.4%14.9%44.3%18.0%20.4%
Skew 25d-0.2%-5.3%23.8%7.0%-2.5%
Skew 10d-0.5%-5.5%32.1%7.0%-3.5%
Call IV 25d19.8%14.9%26.4%14.9%18.1%
Put IV 25d19.6%14.8%48.4%21.9%15.6%
Bid-Ask Spread %21.2010.7233.7915.0222.94
Gamma HHI0.670.630.720.640.69
Net GEX142.0K105.5K182.4K105.5K165.4K
Net DEX-1.4M-1.7M-796.7K-1.3M-1.3M
Net VEX-13.6K-14.4K-12.2K-12.8K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.005.002.000.47
Total Volume181.38107493251
Total OI8,108.8577,1868,6897,1868,689

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$14.50$15.0012.7%3.6%12.2%4.5%0.0%7.0%6.1%105.5K-1.3M-12.8K2.0015.02N/AN/A123,4473,739
2010-04-05$14.64$12.5012.2%4.4%12.5%3.8%18.0%-2.4%1.9%122.4K-1.4M-12.2K0.0017.81N/AN/A8703,4483,741
2010-04-06$14.74$12.5012.3%5.2%12.2%3.9%18.1%-0.6%2.2%139.5K-1.6M-12.5K0.0419.90N/AN/A694303,5123,741
2010-04-07$14.47$12.5015.6%4.4%14.2%9.0%17.5%-1.8%3.3%126.1K-1.4M-14.0K0.0319.72N/AN/A382123,9383,761
2010-04-08$14.37$12.5016.2%4.6%14.5%9.8%0.0%-3.2%2.6%112.2K-1.3M-13.6K0.0016.62N/AN/A2003,9383,761
2010-04-09$14.50$12.5020.8%4.9%14.3%16.8%18.9%-2.6%2.4%134.6K-1.5M-14.3K0.0022.59N/AN/A31104,2433,762
2010-04-12$14.53$12.5016.4%4.2%14.2%10.1%44.3%-1.3%2.6%166.4K-1.7M-14.4K0.0029.85N/AN/A404,3733,762
2010-04-13$14.50$12.5025.4%4.3%14.3%23.8%17.0%-1.5%3.5%158.2K-1.6M-14.0K0.0028.67N/AN/A10204,3693,762
2010-04-14$14.52$12.5031.8%5.0%13.4%33.5%19.7%-2.5%-0.8%147.3K-1.5M-13.5K0.0021.35N/AN/A19404,2983,762
2010-04-15$14.62$12.5017.4%5.0%13.6%11.7%17.8%7.0%1.5%173.5K-1.6M-13.5K5.0016.36N/AN/A201004,2613,762
2010-04-16$14.32$12.5018.3%5.2%15.5%13.0%18.9%-0.3%-0.4%145.8K-1.3M-13.9K0.0722.40N/AN/A699504,2713,862
2010-04-19$14.25$12.5019.5%5.6%15.6%14.8%19.0%-2.1%-1.0%121.6K-1.0M-13.2K0.0018.25N/AN/A9404,3093,888
2010-04-20$14.36$12.5019.2%5.5%15.4%14.4%0.0%-5.3%-5.5%124.1K-1.3M-14.2K0.0027.92N/AN/A12504,3863,888
2010-04-21$14.38$12.5015.3%4.4%15.4%8.4%0.0%1.0%-0.8%166.8K-1.4M-13.4K4.3110.72N/AN/A361554,3963,888
2010-04-22$14.36$12.5023.8%6.8%15.1%21.3%0.0%-2.3%-3.6%127.9K-1.2M-13.5K0.0033.79N/AN/A1604,4274,043
2010-04-23$14.57$12.5020.8%6.0%15.8%16.9%22.5%23.8%-5.4%163.2K-1.4M-14.4K0.0024.22N/AN/A9704,4274,043
2010-04-26$14.55$12.5017.5%5.0%15.8%11.8%19.3%-2.3%-0.2%182.4K-1.6M-13.7K0.1329.49N/AN/A152204,4224,043
2010-04-27$14.18$12.5021.1%6.0%17.0%17.3%0.0%-2.6%-4.3%136.7K-1.2M-13.7K0.0024.18N/AN/A01104,5054,063
2010-04-28$14.34$12.5023.0%6.6%17.5%20.2%0.0%-4.6%-4.7%122.7K-796.7K-13.8K0.0011.03N/AN/A004,5054,173
2010-04-29$14.39$12.5018.6%5.3%17.4%13.6%14.9%-4.8%-2.9%139.6K-1.2M-13.9K1.2512.48N/AN/A20254,5054,173
2010-04-30$14.36$12.5019.2%5.5%17.1%14.4%20.4%-2.5%-2.3%165.4K-1.3M-13.9K0.4722.94N/AN/A171804,5054,184