CNP Options History — June 2010

In June 2010, CNP traded between $12.90 and $14.01. ATM implied volatility averaged 23.2%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 6.0% (HV 20d: 29.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.24.

Notable Days

  • 2010-06-09: Highest Volume — 3,175 contracts
  • 2010-06-29: Largest IV spike — 36.4% change
  • 2010-06-09: Highest IV Rank — 49.5%
  • 2010-06-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.49$12.90$14.01$13.28$13.16
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV23.2%15.6%32.8%22.1%20.3%
Expected Move6.7%4.5%8.8%6.3%5.8%
HV 20d29.3%27.2%31.7%27.2%27.9%
HV 60d23.2%20.2%24.9%20.2%24.9%
IV Rank29.0%12.5%49.5%26.6%22.7%
IV Percentile60.4%11.5%96.8%54.8%42.5%
Term Structure3.0%-10.8%9.8%4.0%9.6%
VWIV26.4%19.3%28.5%28.1%19.3%
Skew 25d4.6%-3.9%13.1%-3.9%-2.2%
Skew 10d8.0%-4.9%29.8%-4.9%5.0%
Call IV 25d18.8%13.9%24.6%24.6%22.1%
Put IV 25d23.4%17.6%29.4%20.7%19.9%
Bid-Ask Spread %23.4411.0437.4115.6225.75
Gamma HHI0.490.450.550.460.46
Net GEX6.6K-43.0K47.5K-18.7K246
Net DEX66.9K-1.5M2.6M740.7K284.9K
Net VEX-12.5K-13.7K-11.0K-12.6K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.240.0019.501.2519.50
Total Volume297.727133,1759074
Total OI6,978.6825,8928,3175,8927,159

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$13.28$12.5022.1%6.3%27.2%26.6%0.0%-3.9%4.0%-18.7K740.7K-12.6K1.2515.62N/AN/A40502,6793,213
2010-06-02$13.58$12.5023.8%6.8%28.5%30.3%0.0%2.3%-3.2%-15.6K672.6K-11.7K12.0021.53N/AN/A1122,7193,250
2010-06-03$13.72$12.5030.6%8.8%28.8%44.8%0.0%1.1%-10.8%4.4K395.3K-12.3K0.0032.48N/AN/A2802,7203,250
2010-06-04$13.20$12.5022.5%8.2%29.3%27.4%0.0%9.5%3.7%-24.3K856.7K-12.3K0.8620.31N/AN/A762,7483,250
2010-06-07$13.29$12.5026.9%8.2%29.4%36.9%0.0%9.7%4.9%-18.4K784.0K-12.1K0.0025.95N/AN/A2002,7433,252
2010-06-08$13.33$12.5025.8%7.9%27.3%34.4%28.1%8.9%4.6%-21.9K880.6K-11.7K0.2324.36N/AN/A1332,7633,252
2010-06-09$12.90$12.5032.8%8.1%29.2%49.5%28.4%6.7%3.4%-43.0K1.3M-11.0K4.5621.79N/AN/A5712,6042,7503,255
2010-06-10$13.16$12.5028.6%8.2%30.2%40.4%28.5%8.3%0.5%-23.0K2.6M-11.3K0.9617.23N/AN/A7627283,1905,127
2010-06-11$13.27$12.5027.8%8.0%30.5%38.7%27.5%9.4%3.6%1.9K712.0K-13.0K0.8515.68N/AN/A65553,9454,256
2010-06-14$13.34$12.5026.6%7.6%30.6%36.1%0.0%9.3%3.0%8.7K-286.1K-12.5K0.5127.30N/AN/A120614,0103,771
2010-06-15$13.60$12.5024.1%6.9%31.6%30.8%19.3%13.1%9.8%13.1K-891.7K-13.2K0.0237.41N/AN/A26664,1303,612
2010-06-16$13.78$12.5019.2%5.5%31.7%20.2%0.0%2.5%6.2%24.1K-1.2M-12.6K0.0020.32N/AN/A6704,1593,618
2010-06-17$13.95$12.5020.7%5.9%31.5%23.6%0.0%5.7%6.9%24.3K-1.3M-11.8K0.0026.35N/AN/A7504,1593,618
2010-06-18$14.01$12.5016.3%4.7%28.3%14.0%0.0%5.0%5.6%39.3K-1.5M-12.0K0.0011.04N/AN/A24504,2343,617
2010-06-21$13.99$12.5015.6%4.5%28.3%12.5%0.0%5.5%7.5%47.5K-807.5K-13.0K0.0619.38N/AN/A275163,4993,268
2010-06-22$13.64$12.5018.6%5.3%29.7%19.1%0.0%2.0%9.3%32.9K-415.4K-12.7K0.4012.94N/AN/A53213,6863,264
2010-06-23$13.52$12.5022.9%6.6%29.6%28.2%0.0%1.1%-2.2%23.4K-209.9K-12.9K0.0033.97N/AN/A5703,7393,285
2010-06-24$13.54$12.5019.7%5.6%29.5%21.4%0.0%0.4%2.1%33.8K-490.4K-13.4K5.1330.46N/AN/A231183,7003,285
2010-06-25$13.52$12.5020.4%5.8%27.9%22.9%0.0%2.3%-0.3%14.9K-168.8K-13.1K0.6524.82N/AN/A17113,7233,381
2010-06-28$13.72$12.5019.6%5.6%28.2%21.1%0.0%6.6%1.5%28.2K-428.7K-13.0K0.0516.72N/AN/A3723,7403,381
2010-06-29$13.31$12.5026.7%7.7%28.9%36.4%0.0%-2.0%-4.2%14.1K-38.3K-13.7K19.5034.34N/AN/A2393,7483,383
2010-06-30$13.16$12.5020.3%5.8%27.9%22.7%0.0%-2.2%9.6%246284.9K-13.2K0.0025.75N/AN/A0743,7483,411