CNP Options History — September 2010

In September 2010, CNP traded between $14.99 and $15.84. ATM implied volatility averaged 17.7%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 1.6% (HV 20d: 19.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.91.

Notable Days

  • 2010-09-30: Highest Volume — 1,061 contracts
  • 2010-09-30: Largest IV spike — 37.5% change
  • 2010-09-13: Highest IV Rank — 24.8%
  • 2010-09-13: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.33$14.99$15.84$15.12$15.72
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV17.7%12.8%21.3%14.0%20.0%
Expected Move5.2%3.7%6.1%4.0%5.7%
HV 20d19.3%16.5%21.5%20.7%16.5%
HV 60d21.1%19.1%22.9%22.9%19.1%
IV Rank17.1%6.6%24.8%9.1%22.1%
IV Percentile32.4%7.9%56.7%9.9%52.4%
Term Structure3.9%-6.4%10.3%4.5%-6.4%
VWIV19.0%13.6%23.9%16.1%23.9%
Skew 25d3.7%-6.8%14.1%8.2%-6.8%
Skew 10d8.2%-3.4%25.1%22.8%7.3%
Call IV 25d19.0%15.3%21.3%20.1%20.9%
Put IV 25d22.7%14.1%35.4%28.3%14.1%
Bid-Ask Spread %28.0310.7542.6642.6613.03
Gamma HHI0.790.710.890.710.78
Net GEX227.8K155.9K567.8K195.7K163.7K
Net DEX-3.3M-4.2M-2.5M-2.6M-4.2M
Net VEX-16.0K-17.4K-12.7K-16.5K-14.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.009.480.223.91
Total Volume201.667171,0611131,061
Total OI7,814.4297,3078,2047,3078,204

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$15.12$15.0014.0%4.0%20.7%9.1%16.1%8.2%4.5%195.7K-2.6M-16.5K0.2242.66N/AN/A93204,2063,101
2010-09-02$15.06$15.0017.8%5.1%20.7%17.3%17.8%14.1%2.6%208.9K-2.6M-16.9K1.0622.02N/AN/A941004,2693,081
2010-09-03$15.26$15.0014.1%5.7%21.1%9.4%20.0%7.7%2.7%244.4K-3.2M-14.8K0.6127.75N/AN/A101624,3613,080
2010-09-07$15.27$15.0018.1%5.9%21.0%17.9%0.0%3.3%2.5%216.4K-3.3M-16.5K0.0020.49N/AN/A01054,4503,137
2010-09-08$15.06$15.0017.5%5.9%21.5%16.6%20.6%2.0%2.5%248.7K-2.8M-16.9K4.7718.16N/AN/A261244,4503,145
2010-09-09$15.21$15.0020.1%5.8%20.2%22.3%20.1%2.9%3.0%223.3K-3.1M-16.7K0.0032.94N/AN/A2504,4763,269
2010-09-10$15.20$15.0021.2%6.1%18.9%24.7%21.2%3.1%2.1%270.3K-3.2M-16.7K0.4616.60N/AN/A114534,4753,269
2010-09-13$15.26$15.0021.3%6.1%18.9%24.8%21.3%8.2%2.5%238.9K-3.2M-16.3K1.3622.22N/AN/A22304,4593,322
2010-09-14$15.25$15.0020.7%5.9%18.9%23.6%20.7%2.9%2.6%247.7K-3.3M-16.2K0.0930.03N/AN/A3234,4683,345
2010-09-15$15.12$15.0019.6%5.6%18.2%21.2%19.6%2.3%3.6%302.7K-3.0M-16.3K0.0223.66N/AN/A25454,4573,347
2010-09-16$14.99$15.0020.3%5.8%18.5%22.7%0.0%1.6%2.2%299.6K-2.7M-16.4K1.8339.94N/AN/A6114,5773,352
2010-09-17$15.03$15.0019.2%5.5%17.4%20.3%19.2%9.7%4.0%567.8K-2.5M-17.2K0.0034.14N/AN/A10704,5793,363
2010-09-20$15.38$15.0018.4%5.3%19.0%18.7%18.5%3.4%4.0%168.6K-3.1M-13.3K0.3440.97N/AN/A4671584,1053,271
2010-09-21$15.36$15.0018.5%5.3%19.0%18.9%0.0%0.9%2.9%195.9K-3.5M-16.7K0.7531.17N/AN/A2101584,5723,412
2010-09-22$15.41$15.0015.4%4.4%18.9%12.2%13.6%-0.5%8.8%172.3K-3.4M-15.9K9.4842.03N/AN/A232184,3693,491
2010-09-23$15.24$15.0019.7%5.6%19.4%21.3%0.0%1.4%4.7%161.5K-2.8M-17.4K5.6038.46N/AN/A5284,3923,707
2010-09-24$15.65$15.0013.1%3.7%20.8%7.1%0.0%2.3%10.3%155.9K-3.9M-15.8K0.0927.66N/AN/A316304,3923,735
2010-09-27$15.72$15.0015.5%4.4%19.5%12.4%16.1%6.6%5.7%173.8K-4.2M-12.7K1.0417.68N/AN/A55574,3003,755
2010-09-28$15.84$15.0012.8%3.7%17.7%6.6%0.0%5.4%9.8%169.3K-4.0M-15.6K5.8336.25N/AN/A6354,3503,812
2010-09-29$15.76$15.0014.6%4.2%17.9%10.4%15.6%-1.2%7.1%158.3K-4.0M-15.4K0.7510.75N/AN/A1294,3513,847
2010-09-30$15.72$15.0020.0%5.7%16.5%22.1%23.9%-6.8%-6.4%163.7K-4.2M-14.9K3.9113.03N/AN/A2168454,3533,851