CNP Options History — August 2010

In August 2010, CNP traded between $14.46 and $15.06. ATM implied volatility averaged 16.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.5% (HV 20d: 20.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2010-08-11: Highest Volume — 24,571 contracts
  • 2010-08-24: Largest IV spike — 63.5% change
  • 2010-08-24: Highest IV Rank — 25.8%
  • 2010-08-24: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.69$14.46$15.06$14.53$14.79
Max Pain$14.55$12.50$15.00$12.50$15.00
ATM IV16.9%11.5%21.7%16.5%18.5%
Expected Move5.0%3.3%6.2%4.7%5.3%
HV 20d20.4%18.6%23.1%23.1%20.2%
HV 60d24.7%22.5%25.9%25.8%22.5%
IV Rank15.4%3.7%25.8%14.5%18.9%
IV Percentile24.7%2.0%56.7%19.0%33.7%
Term Structure3.0%-1.9%8.3%-0.1%2.9%
VWIV18.1%14.2%20.5%19.5%18.5%
Skew 25d9.2%-0.4%17.9%8.4%17.9%
Skew 10d10.3%-1.7%23.1%2.8%23.1%
Call IV 25d19.0%10.0%21.4%16.1%20.6%
Put IV 25d28.1%19.4%38.6%24.5%38.6%
Bid-Ask Spread %27.9611.8155.2919.7423.90
Gamma HHI0.770.630.920.730.71
Net GEX250.7K105.1K483.5K182.7K180.4K
Net DEX-1.9M-3.3M-1.1M-1.8M-2.1M
Net VEX-16.2K-17.9K-13.6K-15.9K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.003.001.360.00
Total Volume1,269.136524,571165232
Total OI9,049.5456,50110,3359,6847,457

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$14.53$12.5016.5%4.7%23.1%14.5%0.0%8.4%-0.1%182.7K-1.8M-15.9K1.3619.74N/AN/A70955,1544,530
2010-08-03$14.46$12.5017.4%5.0%23.0%16.5%19.5%5.8%-1.9%167.5K-1.7M-15.5K0.2024.72N/AN/A82165,2244,605
2010-08-04$14.73$12.5011.5%3.3%20.7%3.7%14.2%3.0%6.2%151.2K-2.7M-15.9K0.2511.81N/AN/A206525,2624,597
2010-08-05$14.81$12.5013.9%4.0%20.0%8.9%0.0%16.7%8.3%310.7K-2.8M-14.4K0.0415.40N/AN/A332125,3214,597
2010-08-06$14.84$15.0012.0%4.8%19.9%5.0%16.8%12.3%4.7%371.9K-2.5M-14.1K0.2734.16N/AN/A84235,4984,589
2010-08-09$14.96$15.0014.9%4.9%20.0%11.2%17.0%12.3%3.7%441.5K-3.3M-14.5K0.0727.65N/AN/A208145,5524,572
2010-08-10$15.06$15.0016.8%4.8%20.0%15.2%16.9%14.6%4.1%443.3K-3.1M-17.9K0.1626.51N/AN/A159255,6224,586
2010-08-11$14.74$15.0013.4%5.6%21.8%7.9%19.6%-0.3%2.6%283.3K-2.5M-13.6K0.0024.55N/AN/A24,477945,7294,606
2010-08-12$14.48$15.0019.7%5.6%22.7%21.4%0.0%-0.4%2.4%211.7K-1.1M-16.6K3.0027.14N/AN/A5155,1084,654
2010-08-13$14.50$15.0018.3%5.2%20.4%18.4%18.5%0.4%3.7%228.8K-1.1M-16.4K0.0328.60N/AN/A15655,1134,663
2010-08-16$14.50$15.0019.3%5.5%20.2%20.6%0.0%10.2%2.4%253.7K-1.3M-16.5K0.0027.32N/AN/A1105,1394,662
2010-08-17$14.78$15.0018.6%5.3%21.0%19.1%18.6%1.4%4.2%483.5K-1.9M-16.5K0.0026.31N/AN/A8405,1454,662
2010-08-18$14.72$15.0019.3%5.5%19.7%20.6%19.5%10.5%2.9%397.6K-1.8M-16.6K0.2526.05N/AN/A119305,2194,662
2010-08-19$14.49$15.0019.0%5.4%19.7%19.8%19.5%11.9%2.6%259.3K-1.2M-15.8K0.0046.06N/AN/A905,3104,662
2010-08-20$14.55$15.0017.9%5.1%19.7%17.7%20.5%9.6%2.4%240.8K-1.1M-16.0K1.3628.41N/AN/A58795,3114,662
2010-08-23$14.55$15.0013.3%3.8%19.4%7.7%15.7%13.6%3.2%105.1K-1.1M-15.6K0.0217.41N/AN/A620153,4573,044
2010-08-24$14.67$15.0021.7%6.2%19.0%25.8%20.3%14.9%1.8%139.9K-1.6M-17.0K0.0055.29N/AN/A5003,9913,053
2010-08-25$14.77$15.0016.7%4.8%19.0%15.0%16.7%15.5%2.6%159.5K-1.8M-17.4K0.1231.91N/AN/A161204,0633,053
2010-08-26$14.62$15.0018.6%5.3%18.6%18.9%0.0%3.8%1.7%151.3K-1.8M-17.8K0.6734.96N/AN/A324,2113,073
2010-08-27$14.96$15.0016.7%4.8%19.9%14.9%0.0%14.4%2.4%185.0K-2.2M-17.6K0.2321.23N/AN/A131304,2113,075
2010-08-30$14.67$15.0017.7%5.1%20.1%17.2%17.8%5.8%2.6%166.3K-2.0M-17.7K2.8135.93N/AN/A361014,3323,054
2010-08-31$14.79$15.0018.5%5.3%20.2%18.9%18.5%17.9%2.9%180.4K-2.1M-17.8K0.0023.90N/AN/A23114,3573,100