CNP Options History — July 2010

In July 2010, CNP traded between $13.03 and $14.60. ATM implied volatility averaged 24.6%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.1% (HV 20d: 24.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.32.

Notable Days

  • 2010-07-13: Highest Volume — 770 contracts
  • 2010-07-15: Largest IV drop — 57.6% change
  • 2010-07-14: Highest IV Rank — 84.4%
  • 2010-07-06: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.02$13.03$14.60$13.06$14.23
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV24.6%14.4%49.1%30.8%22.7%
Expected Move5.9%4.1%9.0%8.8%6.5%
HV 20d24.7%22.2%27.7%27.6%22.5%
HV 60d26.1%24.7%26.7%24.7%26.5%
IV Rank31.9%10.1%84.4%45.2%27.8%
IV Percentile55.0%9.1%98.8%93.7%63.5%
Term Structure3.5%-5.4%13.3%-0.6%-3.2%
VWIV22.7%11.7%40.6%30.8%13.2%
Skew 25d7.1%-5.9%15.5%3.4%3.9%
Skew 10d9.3%-6.1%34.1%12.4%-1.3%
Call IV 25d18.2%12.5%28.2%28.2%20.1%
Put IV 25d25.3%15.7%39.4%31.6%24.0%
Bid-Ask Spread %30.1717.0580.7836.9980.78
Gamma HHI0.590.460.820.460.59
Net GEX76.6K-14.5K199.1K-14.5K102.5K
Net DEX-978.6K-2.3M594.4K566.2K-1.4M
Net VEX-14.4K-17.7K-12.3K-12.5K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0012.511.940.00
Total Volume210.952107709110
Total OI8,535.3337,2319,7047,2319,704

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$13.06$12.5030.8%8.8%27.6%45.2%0.0%3.4%-0.6%-14.5K566.2K-12.5K1.9436.99N/AN/A31603,7483,483
2010-07-02$13.03$12.5030.9%8.9%24.1%45.5%0.0%-0.4%-4.1%-14.1K594.4K-12.7K2.3446.89N/AN/A471103,7433,523
2010-07-06$13.24$12.5019.9%9.0%24.7%21.7%30.8%11.2%-2.1%-9.1K381.7K-13.1K0.4030.31N/AN/A145583,7703,603
2010-07-07$13.71$12.5024.6%8.1%27.7%32.0%27.5%13.0%3.3%19.9K-357.3K-13.0K0.1332.19N/AN/A463603,9143,640
2010-07-08$13.97$12.5033.4%5.0%25.2%50.8%12.0%12.5%10.1%53.8K-972.7K-14.4K1.0731.64N/AN/A28304,2963,672
2010-07-09$14.05$12.5038.1%5.6%24.5%60.9%40.6%15.5%13.3%54.1K-1.1M-15.1K0.4341.89N/AN/A94404,3213,642
2010-07-12$14.07$12.5035.9%4.5%24.4%56.1%0.0%15.0%10.3%64.9K-1.2M-14.4K2.1929.67N/AN/A37814,3543,660
2010-07-13$14.19$12.5035.5%5.2%24.5%55.2%19.1%-5.9%1.8%89.8K-1.4M-13.2K12.5117.05N/AN/A577134,3413,614
2010-07-14$14.18$12.5049.1%5.3%23.7%84.4%23.6%5.1%10.9%79.2K-1.1M-13.9K0.2331.51N/AN/A70164,3834,122
2010-07-15$14.30$12.5020.8%6.0%23.5%23.8%21.1%6.3%0.6%103.3K-1.4M-13.4K0.2520.80N/AN/A64164,4124,124
2010-07-16$13.93$12.5014.4%4.1%25.1%10.1%27.3%10.7%5.8%44.1K-951.4K-17.0K11.0019.92N/AN/A181984,4724,129
2010-07-19$14.05$12.5019.8%5.7%25.3%21.6%0.0%3.0%6.0%56.9K-811.4K-14.2K0.2021.89N/AN/A417824,4014,209
2010-07-20$14.17$12.5016.8%4.8%25.4%15.1%0.0%3.4%6.7%82.3K-973.5K-14.3K3.3320.58N/AN/A15504,5594,269
2010-07-21$13.91$12.5016.4%4.7%24.6%14.3%0.0%-1.9%-5.4%38.3K-741.6K-17.7K0.0428.47N/AN/A13454,5514,319
2010-07-22$14.19$12.5017.9%5.1%25.2%17.5%0.0%6.7%7.1%88.6K-1.2M-15.1K0.0027.29N/AN/A33504,6854,324
2010-07-23$14.25$12.5015.2%4.4%25.2%11.7%0.0%6.4%8.3%108.9K-1.3M-15.8K4.2318.34N/AN/A261104,9834,324
2010-07-26$14.40$12.5018.5%5.3%25.3%18.8%11.7%8.7%7.4%139.3K-1.4M-15.8K0.0022.53N/AN/A2305,0004,434
2010-07-27$14.60$12.5021.6%6.2%25.3%25.6%0.0%14.7%-4.9%191.9K-2.0M-12.3K5.1129.20N/AN/A713634,9944,434
2010-07-28$14.54$12.5017.9%5.1%22.2%17.5%0.0%14.5%-1.7%199.1K-2.3M-12.6K1.0017.46N/AN/A60605,0454,470
2010-07-29$14.33$12.5016.2%4.7%22.5%14.0%13.2%3.3%4.1%128.6K-1.5M-15.7K0.0028.25N/AN/A23305,0514,520
2010-07-30$14.23$12.5022.7%6.5%22.5%27.8%0.0%3.9%-3.2%102.5K-1.4M-16.8K0.0080.78N/AN/A0105,1844,520