CNP Options History — October 2010

In October 2010, CNP traded between $15.78 and $16.56. ATM implied volatility averaged 28.5%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 13.7% (HV 20d: 14.7%). 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 12 of 21 days. Put/call ratio averaged 7.85.

Notable Days

  • 2010-10-22: Highest Volume — 5,545 contracts
  • 2010-10-25: Largest IV spike — 76.4% change
  • 2010-10-29: Highest IV Rank — 77.6%
  • 2010-10-29: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.18$15.78$16.56$15.90$16.56
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV28.5%17.0%45.9%17.3%45.9%
Expected Move7.7%4.9%13.2%5.0%13.2%
HV 20d14.7%10.9%17.3%16.7%10.9%
HV 60d17.9%16.3%19.3%18.9%16.4%
IV Rank40.2%15.6%77.6%16.3%77.6%
IV Percentile71.6%25.4%98.8%26.6%98.8%
Term Structure1.2%-4.3%11.2%3.6%-3.1%
VWIV28.3%18.7%50.0%18.7%46.0%
Skew 25d6.1%-1.1%11.6%9.6%1.4%
Skew 10d8.0%1.6%11.7%9.9%3.0%
Call IV 25d14.6%13.2%18.4%13.7%13.4%
Put IV 25d20.8%13.6%25.2%23.3%14.8%
Bid-Ask Spread %48.1313.90110.1713.9093.33
Gamma HHI0.700.550.840.710.59
Net GEX207.7K101.9K503.8K133.0K381.0K
Net DEX-5.1M-7.7M-3.9M-3.9M-7.7M
Net VEX-15.7K-25.4K-11.5K-16.4K-25.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.850.00130.001.550.00
Total Volume423.66795,545107101
Total OI10,053.2388,44614,4568,73114,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$15.90$15.0017.3%5.0%16.7%16.3%18.7%9.6%3.6%133.0K-3.9M-16.4K1.5513.90N/AN/A42654,3804,351
2010-10-04$15.78$15.0017.0%6.8%16.6%15.6%0.0%11.6%1.4%127.9K-4.2M-15.5K3.4039.11N/AN/A301024,4024,208
2010-10-05$16.03$15.0020.9%6.5%17.3%23.9%19.8%10.1%1.7%131.2K-4.4M-16.2K2.6337.54N/AN/A1483894,4304,310
2010-10-06$15.89$15.0021.4%6.6%16.8%25.1%23.0%8.2%0.7%162.4K-4.6M-13.2K0.0019.09N/AN/A3504,5684,249
2010-10-07$16.00$15.0021.9%6.1%16.6%26.1%20.8%7.4%3.8%150.1K-4.7M-14.8K12.0021.67N/AN/A5604,5754,249
2010-10-08$16.09$15.0024.9%6.7%16.6%32.5%23.3%9.6%1.4%142.4K-4.9M-13.8K0.2421.20N/AN/A143354,5704,306
2010-10-11$16.16$15.0034.3%7.3%16.6%52.7%25.4%10.8%-0.3%135.2K-4.8M-13.3K1.2218.01N/AN/A18224,4914,276
2010-10-12$16.08$15.0041.2%6.6%16.8%67.5%23.2%8.1%0.8%151.6K-5.0M-11.5K0.0029.19N/AN/A904,5014,276
2010-10-13$15.99$15.0041.6%6.7%16.6%68.4%23.5%7.9%0.2%159.4K-4.8M-11.9K0.1822.71N/AN/A232414,5014,276
2010-10-14$15.96$15.0024.4%7.0%16.1%31.5%24.5%8.0%-1.4%170.2K-4.8M-12.5K2.8828.12N/AN/A8234,6394,317
2010-10-15$16.13$15.0018.4%5.3%16.3%18.7%0.0%8.9%10.4%136.3K-4.9M-15.1K0.0028.99N/AN/A2704,6324,337
2010-10-18$16.15$15.0026.1%7.5%14.6%35.1%19.0%6.6%-3.3%146.7K-4.6M-14.2K4.19110.17N/AN/A723024,3554,091
2010-10-19$16.15$15.0021.0%6.0%14.6%24.3%0.0%9.9%-0.4%151.9K-4.8M-11.8K130.0031.64N/AN/A11304,3764,150
2010-10-20$16.39$15.0017.1%4.9%15.2%15.8%0.0%0.1%-2.3%124.6K-4.6M-14.2K1.1647.76N/AN/A67784,3764,221
2010-10-21$16.39$15.0026.6%7.6%14.3%36.3%50.0%-1.1%-4.3%101.9K-4.3M-14.7K0.7257.38N/AN/A1631174,4274,193
2010-10-22$16.42$15.0017.1%4.9%11.5%15.8%27.9%0.1%9.1%143.7K-5.0M-12.5K0.0017.62N/AN/A5,527184,4954,305
2010-10-25$16.40$15.0030.1%8.6%11.5%43.8%0.0%1.0%11.2%356.2K-5.7M-19.7K0.2991.74N/AN/A210619,7024,302
2010-10-26$16.42$15.0042.6%12.2%11.4%70.5%40.0%4.2%-2.8%427.9K-6.2M-20.7K0.1096.27N/AN/A300309,8834,357
2010-10-27$16.42$15.0042.0%12.0%11.1%69.2%0.0%2.6%1.5%503.8K-6.7M-22.6K4.2390.87N/AN/A22939,8834,367
2010-10-28$16.39$15.0045.9%13.1%11.1%77.5%39.7%3.5%-3.3%423.8K-6.1M-20.8K0.0094.37N/AN/A17109,9054,430
2010-10-29$16.56$15.0045.9%13.2%10.9%77.6%46.0%1.4%-3.1%381.0K-7.7M-25.4K0.0093.33N/AN/A101010,0264,430