CNP Options History — November 2010

In November 2010, CNP traded between $15.60 and $16.92. ATM implied volatility averaged 26.5%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 12.0% (HV 20d: 14.5%). 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 1.22.

Notable Days

  • 2010-11-11: Highest Volume — 70,078 contracts
  • 2010-11-03: Largest IV spike — 199.2% change
  • 2010-11-09: Highest IV Rank — 100.0%
  • 2010-11-03: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.20$15.60$16.92$16.55$15.63
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV26.5%14.8%61.3%47.8%23.0%
Expected Move6.9%3.8%14.7%13.7%6.6%
HV 20d14.5%9.4%18.1%10.4%17.9%
HV 60d16.2%15.4%17.2%16.4%15.5%
IV Rank33.8%9.9%100.0%81.5%25.8%
IV Percentile60.9%12.7%100.0%98.8%71.0%
Term Structure-0.8%-41.1%10.2%-3.9%-2.5%
VWIV32.3%14.5%106.1%25.4%29.2%
Skew 25d1.8%-10.3%8.7%0.2%-8.8%
Skew 10d5.0%-8.0%23.7%4.2%-4.3%
Call IV 25d18.4%10.2%37.7%13.2%37.7%
Put IV 25d20.1%12.9%28.9%13.4%28.9%
Bid-Ask Spread %85.4119.03131.2993.50109.04
Gamma HHI0.600.390.860.590.39
Net GEX236.6K28.7K729.1K384.2K28.7K
Net DEX-3.6M-8.1M-718.0K-8.1M-718.0K
Net VEX-15.8K-26.7K-10.6K-24.0K-12.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.0010.880.140.02
Total Volume3,782.6192170,07864366
Total OI10,940.0957,77617,60614,4127,882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$16.55$15.0047.8%13.7%10.4%81.5%25.4%0.2%-3.9%384.2K-8.1M-24.0K0.1493.50N/AN/A5689,9824,430
2010-11-02$16.77$15.0017.1%4.9%10.0%15.8%51.6%-4.0%3.2%538.3K-7.0M-20.3K0.0053.86N/AN/A3,531810,0204,429
2010-11-03$16.72$15.0051.1%14.7%9.4%88.8%106.1%0.3%5.7%729.1K-7.9M-26.7K0.00131.29N/AN/A70013,1774,429
2010-11-04$16.92$15.0023.1%6.6%9.8%28.6%35.6%-2.0%2.1%564.9K-7.9M-18.5K0.0172.81N/AN/A3,056169,7444,429
2010-11-05$16.68$15.0027.4%10.8%11.5%38.0%19.9%1.2%-0.9%494.4K-6.8M-20.4K0.1182.58N/AN/A1772010,4544,439
2010-11-08$16.55$15.0023.9%5.4%11.9%30.4%0.0%5.9%10.2%305.7K-5.6M-15.3K0.00107.88N/AN/A13007,4734,439
2010-11-09$16.60$15.0061.3%5.1%11.7%100.0%19.3%-10.3%0.4%322.4K-5.7M-17.2K0.01100.02N/AN/A13417,5764,439
2010-11-10$16.58$15.0023.9%3.8%11.4%27.6%0.0%1.5%7.3%301.5K-5.6M-14.3K0.0019.03N/AN/A28107,5654,440
2010-11-11$16.59$15.0015.0%4.3%11.4%10.2%0.0%2.6%8.4%326.4K-5.8M-15.9K0.0061.96N/AN/A70,07807,7264,440
2010-11-12$16.11$15.0043.8%12.6%15.4%66.1%37.2%6.5%-41.1%180.0K-2.1M-15.9K10.88124.33N/AN/A8875,2624,440
2010-11-15$16.22$15.0016.4%4.7%15.6%13.0%0.0%7.8%-1.0%180.4K-1.9M-14.3K0.97110.40N/AN/A31305,2654,500
2010-11-16$15.88$15.0023.8%6.8%17.4%27.3%14.5%-3.2%-11.4%124.2K-1.4M-14.8K0.00125.99N/AN/A0325,2954,520
2010-11-17$15.69$15.0020.6%5.9%16.8%21.0%22.0%8.7%5.1%69.4K-1.1M-13.7K0.81104.42N/AN/A67545,2954,528
2010-11-18$15.85$15.0029.3%8.4%17.3%38.0%0.0%5.2%-9.9%136.8K-1.5M-14.4K2.10116.69N/AN/A10215,3594,567
2010-11-19$15.82$15.0019.5%5.6%17.3%18.9%0.0%4.1%5.8%50.3K-1.0M-13.1K4.2577.02N/AN/A4175,3494,588
2010-11-22$15.87$15.0014.8%4.2%17.4%9.9%0.0%8.5%7.9%47.7K-1.1M-10.6K0.0888.59N/AN/A395305,1972,802
2010-11-23$15.76$15.0019.9%5.7%17.4%19.7%0.0%3.6%-3.0%46.4K-906.5K-12.6K0.1869.45N/AN/A163305,0162,832
2010-11-24$15.92$15.0014.8%4.2%18.0%9.9%17.2%-0.7%-2.5%51.1K-1.1M-12.4K3.3353.25N/AN/A15504,9142,862
2010-11-26$15.79$15.0018.8%5.4%18.1%17.7%19.3%7.7%0.7%53.0K-999.2K-12.5K0.0858.32N/AN/A310254,8992,912
2010-11-29$15.60$15.0020.4%5.9%17.9%20.8%22.7%2.2%3.8%33.4K-718.7K-12.7K1.4833.06N/AN/A50744,8902,937
2010-11-30$15.63$15.0023.0%6.6%17.9%25.8%29.2%-8.8%-2.5%28.7K-718.0K-12.6K0.02109.04N/AN/A36064,8813,001