CNP Options History — May 2010

In May 2010, CNP traded between $13.06 and $14.57. ATM implied volatility averaged 25.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.0% (HV 20d: 23.0%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 5.24.

Notable Days

  • 2010-05-11: Highest Volume — 6,107 contracts
  • 2010-05-06: Largest IV spike — 190.3% change
  • 2010-05-06: Highest IV Rank — 65.9%
  • 2010-05-06: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.85$13.06$14.57$14.57$13.62
Max Pain$13.63$12.50$15.00$12.50$12.50
ATM IV25.9%17.6%53.1%18.3%22.7%
Expected Move7.0%4.8%15.2%5.2%6.5%
HV 20d23.0%17.1%26.9%17.5%26.9%
HV 60d20.6%19.0%22.2%20.0%19.6%
IV Rank30.3%13.0%65.9%13.0%27.8%
IV Percentile66.4%22.6%97.6%26.2%59.1%
Term Structure3.5%-6.8%14.3%-0.3%-6.8%
VWIV24.1%9.9%65.9%16.9%19.4%
Skew 25d4.3%-6.9%15.1%-1.3%-1.3%
Skew 10d3.9%-6.3%18.4%-2.4%-1.1%
Call IV 25d21.3%11.5%31.7%21.5%20.8%
Put IV 25d25.6%17.6%37.8%20.3%19.5%
Bid-Ask Spread %36.3716.6796.5316.6718.49
Gamma HHI0.550.460.770.770.46
Net GEX51.4K-40.0K200.6K200.6K-2.1K
Net DEX26.2K-1.4M1.1M-1.4M453.1K
Net VEX-13.2K-15.4K-11.1K-11.7K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.240.0055.0010.000.02
Total Volume468.95156,1072248
Total OI7,981.15,2348,9198,7245,844

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$14.57$12.5018.3%5.2%17.5%13.0%16.9%-1.3%-0.3%200.6K-1.4M-11.7K10.0016.67N/AN/A2204,4604,264
2010-05-04$14.34$12.5022.3%6.4%18.2%19.1%0.0%1.2%-3.4%157.4K-1.2M-13.2K12.5017.50N/AN/A4504,4604,274
2010-05-05$14.38$12.5018.3%5.2%17.1%13.0%18.1%0.3%2.9%85.8K-1.3M-15.4K0.6425.44N/AN/A147944,4564,324
2010-05-06$13.88$12.5053.1%15.2%21.0%65.9%65.9%14.8%-5.7%48.5K-362.8K-14.8K1.6996.53N/AN/A1572654,3654,378
2010-05-07$13.75$15.0025.0%4.8%20.8%23.2%14.5%4.0%13.6%25.3K10.3K-14.8K0.2550.25N/AN/A1234,2764,571
2010-05-10$14.14$15.0028.6%5.4%23.5%28.6%0.0%1.4%11.1%61.6K-234.3K-13.4K1.1341.69N/AN/A53604,3214,568
2010-05-11$14.18$15.0032.2%5.1%23.5%34.2%9.9%8.3%14.3%67.2K-744.0K-14.0K0.0157.65N/AN/A6,044634,3634,556
2010-05-12$14.29$15.0022.3%6.2%23.7%19.2%22.2%9.0%1.1%110.4K-104.2K-13.5K0.0035.62N/AN/A38403,9674,572
2010-05-13$14.25$15.0017.6%5.0%23.5%16.9%17.8%-0.1%5.2%107.9K-165.6K-13.3K1.6342.88N/AN/A1232004,1314,572
2010-05-14$14.15$15.0019.1%5.5%22.5%20.1%0.0%-3.3%3.4%91.7K-11.1K-13.9K0.2034.38N/AN/A51104,2414,572
2010-05-17$14.18$15.0022.1%6.3%22.5%26.5%0.0%9.2%0.7%87.1K43.3K-13.3K0.2638.75N/AN/A39104,2124,572
2010-05-18$13.98$15.0020.7%5.9%22.8%23.5%0.0%-3.0%3.6%73.1K76.7K-13.3K1.0740.19N/AN/A67724,2414,582
2010-05-19$13.76$15.0024.9%7.1%23.3%32.5%18.8%-6.9%-1.6%27.7K491.0K-12.9K0.7124.37N/AN/A85604,1964,596
2010-05-20$13.27$12.5033.0%9.5%26.3%49.9%38.0%6.1%8.4%-40.0K905.1K-12.6K6.6431.88N/AN/A11734,2004,636
2010-05-21$13.33$12.5030.7%8.8%25.6%45.0%0.0%15.1%10.6%-25.4K1.1M-12.2K0.1532.74N/AN/A65104,1994,699
2010-05-24$13.20$12.5031.8%9.1%25.6%47.2%0.0%11.1%2.2%-4.0K620.8K-11.8K7.5833.86N/AN/A382882,6442,590
2010-05-25$13.06$12.5026.0%7.5%24.5%35.0%0.0%5.5%8.5%-21.6K967.0K-11.1K55.0033.62N/AN/A105502,6322,602
2010-05-26$13.15$12.5028.8%8.3%24.2%41.0%0.0%12.3%5.8%-15.6K798.1K-12.2K0.0033.52N/AN/A5002,6323,111
2010-05-27$13.52$12.5021.4%6.1%26.6%24.9%19.4%4.0%-3.3%-8.3K604.1K-12.6K0.0021.39N/AN/A01612,6323,111
2010-05-28$13.62$12.5022.7%6.5%26.9%27.8%0.0%-1.3%-6.8%-2.1K453.1K-13.1K0.0218.49N/AN/A4712,6323,212