CNP Options History — December 2010

In December 2010, CNP traded between $15.63 and $16.10. ATM implied volatility averaged 19.4%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.4% (HV 20d: 14.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 5.69.

Notable Days

  • 2010-12-03: Highest Volume — 180 contracts
  • 2010-12-15: Largest IV drop — 58.2% change
  • 2010-12-14: Highest IV Rank — 59.0%
  • 2010-12-06: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.83$15.63$16.10$15.76$15.72
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV19.4%12.8%40.2%16.2%18.6%
Expected Move5.0%3.7%6.3%4.7%5.3%
HV 20d14.0%10.1%17.7%17.4%10.1%
HV 60d14.7%13.2%15.6%15.6%13.2%
IV Rank18.8%6.0%59.0%12.6%17.3%
IV Percentile38.3%7.1%94.8%20.2%40.9%
Term Structure3.2%-4.4%10.3%2.8%-1.7%
VWIV16.9%13.6%22.2%18.5%14.4%
Skew 25d4.8%-6.1%11.5%-1.1%-6.1%
Skew 10d7.9%-3.9%21.0%-3.9%4.4%
Call IV 25d15.4%12.7%20.7%18.3%20.7%
Put IV 25d20.2%14.6%25.7%17.2%14.6%
Bid-Ask Spread %58.3110.75133.5843.0410.75
Gamma HHI0.520.400.710.410.71
Net GEX49.4K35.6K65.3K41.6K38.1K
Net DEX-1.1M-1.5M-817.2K-1.0M-883.9K
Net VEX-10.8K-12.8K-9.4K-12.5K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.690.0021.006.503.81
Total Volume55.955018012050
Total OI7,134.3645,7778,0297,8606,197

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$15.76$15.0016.2%4.7%17.4%12.6%18.5%-1.1%2.8%41.6K-1.0M-12.5K6.5043.04N/AN/A161044,8533,007
2010-12-02$15.84$15.0015.6%4.5%17.7%11.3%15.8%8.1%-0.1%38.9K-984.2K-12.8K0.0082.66N/AN/A14304,8563,078
2010-12-03$15.90$15.0016.5%4.7%17.0%13.1%0.0%11.5%-0.6%47.9K-1.1M-12.7K0.0087.75N/AN/A18004,8473,078
2010-12-06$15.66$15.0020.9%6.3%17.1%21.7%22.2%7.0%2.0%41.6K-943.3K-12.4K0.0050.82N/AN/A0234,8213,078
2010-12-07$15.64$15.0019.4%5.9%17.0%18.7%0.0%6.3%1.9%39.3K-919.0K-11.9K21.0035.55N/AN/A1214,8213,101
2010-12-08$15.63$15.0017.4%6.1%16.9%14.9%0.0%6.1%1.2%35.6K-817.2K-11.9K0.0073.84N/AN/A1004,8223,120
2010-12-09$15.75$15.0021.4%5.9%17.3%22.7%0.0%5.9%2.4%42.2K-936.8K-12.3K0.5022.77N/AN/A214,8323,115
2010-12-10$15.84$15.0024.8%5.5%17.5%29.2%0.0%6.6%5.2%57.9K-1.2M-10.3K0.0029.64N/AN/A904,8333,116
2010-12-13$15.93$15.0035.2%5.2%14.5%49.4%0.0%6.6%5.5%58.6K-1.4M-10.9K2.1031.62N/AN/A10214,8293,116
2010-12-14$16.10$15.0040.2%4.2%14.8%59.0%0.0%-0.1%10.3%65.3K-1.5M-10.4K18.0021.09N/AN/A2364,8373,132
2010-12-15$15.86$15.0016.8%4.8%13.8%13.7%13.6%6.2%8.7%55.9K-1.3M-10.6K20.0032.84N/AN/A1204,8383,168
2010-12-16$15.90$15.0017.1%4.9%13.1%14.3%14.4%5.7%1.4%58.4K-1.2M-9.8K10.0031.70N/AN/A2204,8393,188
2010-12-17$15.87$15.0017.4%5.0%12.6%14.9%0.0%5.9%6.7%46.1K-1.1M-11.3K0.0031.61N/AN/A004,8413,188
2010-12-20$15.91$15.0018.8%5.4%12.6%17.5%0.0%8.9%4.9%59.6K-1.3M-9.5K0.0790.32N/AN/A1412,6653,112
2010-12-21$15.88$15.0017.4%5.0%12.6%14.9%0.0%3.1%-0.6%51.8K-1.2M-10.4K0.0078.72N/AN/A01002,6713,113
2010-12-22$15.88$15.0015.2%4.4%12.3%10.6%0.0%1.1%3.6%55.2K-1.3M-9.6K3.0086.26N/AN/A132,6713,213
2010-12-23$15.90$15.0014.4%4.1%11.8%9.1%0.0%10.3%4.1%55.4K-1.2M-9.6K0.00104.27N/AN/A0102,6703,216
2010-12-27$15.90$15.0015.5%4.5%11.4%11.3%0.0%7.2%5.7%55.4K-1.2M-9.5K0.00133.58N/AN/A0712,6703,226
2010-12-28$15.85$15.0015.3%4.4%10.5%10.7%0.0%5.5%1.8%53.9K-1.2M-9.4K0.43102.09N/AN/A125542,6703,296
2010-12-29$15.83$15.0019.7%5.6%10.5%19.3%0.0%2.1%-4.4%47.3K-1.1M-9.8K3.8171.14N/AN/A361372,6753,347
2010-12-30$15.76$15.0012.8%3.7%10.2%6.0%0.0%-0.7%9.8%39.8K-882.8K-10.6K0.0030.76N/AN/A072,7073,483
2010-12-31$15.72$15.0018.6%5.3%10.1%17.3%0.0%-6.1%-1.7%38.1K-883.9K-10.5K0.0010.75N/AN/A0502,7073,490