CNP Options History — January 2011

In January 2011, CNP traded between $15.61 and $16.15. ATM implied volatility averaged 20.8%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 12.2% (HV 20d: 8.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2011-01-06: Highest Volume — 4,335 contracts
  • 2011-01-31: Largest IV spike — 21.1% change
  • 2011-01-31: Highest IV Rank — 36.3%
  • 2011-01-31: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.87$15.61$16.15$15.80$16.15
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV20.8%15.6%28.5%15.6%28.5%
Expected Move6.0%4.5%8.2%4.5%8.2%
HV 20d8.6%7.0%10.2%10.2%9.4%
HV 60d13.1%12.9%13.3%13.1%13.0%
IV Rank21.4%11.5%36.3%11.5%36.3%
IV Percentile53.9%17.9%85.7%17.9%85.7%
Term Structure1.5%-17.1%20.1%7.2%-17.1%
VWIV25.4%15.6%42.4%15.6%42.4%
Skew 25d2.4%-6.3%8.5%-0.6%-3.8%
Skew 10d7.5%-1.1%13.1%1.3%5.9%
Call IV 25d16.5%13.1%23.5%23.5%18.3%
Put IV 25d18.8%12.5%22.9%22.9%14.5%
Bid-Ask Spread %35.1417.33109.3617.7917.81
Gamma HHI0.860.510.990.780.88
Net GEX157.5K27.4K226.7K40.0K222.9K
Net DEX-2.0M-2.9M-678.2K-920.8K-2.8M
Net VEX-19.0K-22.2K-10.4K-10.8K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0014.000.000.15
Total Volume290.134,3354630
Total OI9,937.96,24711,1846,24711,184

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$15.80$15.0015.6%4.5%10.2%11.5%15.6%-0.6%7.2%40.0K-920.8K-10.8K0.0017.79N/AN/A4602,7073,540
2011-01-04$15.83$15.0018.0%5.2%8.5%16.0%0.0%1.3%1.2%43.9K-1.0M-10.4K0.3319.05N/AN/A312,7413,540
2011-01-05$15.77$15.0016.9%4.9%8.6%14.0%0.0%2.4%3.8%34.7K-919.2K-11.2K14.0048.67N/AN/A1142,7433,541
2011-01-06$15.61$15.0015.8%4.5%9.4%11.7%0.0%-2.4%3.8%27.4K-678.2K-11.0K0.0317.33N/AN/A4,2001352,7433,545
2011-01-07$15.68$15.0016.7%5.7%9.1%13.5%20.1%6.2%2.4%146.3K-1.6M-21.3K0.7923.60N/AN/A96766,7493,670
2011-01-10$15.74$15.0017.7%5.0%9.0%15.5%19.7%7.0%7.6%157.3K-1.8M-19.9K0.2431.44N/AN/A76186,8053,724
2011-01-11$15.63$15.0018.8%6.2%9.0%17.5%21.4%6.5%1.0%155.0K-1.8M-21.4K0.6360.70N/AN/A80506,8813,742
2011-01-12$15.77$15.0020.5%6.1%8.7%20.9%21.3%6.7%1.0%159.6K-1.9M-21.7K0.9327.72N/AN/A28266,9613,792
2011-01-13$15.77$15.0020.3%5.8%7.0%20.6%0.0%6.2%2.5%161.8K-2.0M-21.6K0.0024.61N/AN/A086,9693,812
2011-01-14$15.70$15.0021.2%6.1%7.1%22.3%0.0%5.9%0.5%154.9K-1.8M-21.7K0.0027.29N/AN/A11006,9693,819
2011-01-18$15.74$15.0023.6%6.8%7.1%26.8%25.5%5.6%-3.4%171.9K-2.1M-20.4K0.58109.36N/AN/A1277,0733,819
2011-01-19$15.82$15.0020.5%5.9%7.3%20.9%20.3%5.9%1.0%178.7K-2.2M-19.6K0.0032.76N/AN/A407,0833,826
2011-01-20$15.94$15.0023.6%6.8%7.8%26.8%23.6%-2.0%-12.9%197.1K-2.4M-22.2K0.0221.84N/AN/A13127,0843,826
2011-01-21$15.90$15.0019.7%5.6%7.9%19.4%22.3%8.5%5.0%199.3K-2.6M-20.2K1.0230.31N/AN/A44457,1593,828
2011-01-24$16.09$15.0020.6%5.9%8.9%21.1%19.8%7.0%0.5%210.8K-2.8M-19.8K0.1118.98N/AN/A100117,1753,736
2011-01-25$16.15$15.0023.9%6.8%9.0%27.5%32.9%-1.1%-16.3%224.2K-2.8M-20.5K2.0938.70N/AN/A43907,1953,725
2011-01-26$16.11$15.0025.5%7.3%8.9%30.6%0.0%-2.0%7.5%217.2K-2.7M-21.4K0.0047.80N/AN/A4007,2143,815
2011-01-27$16.15$15.0024.7%7.1%8.9%29.0%36.2%-3.4%20.1%226.7K-2.9M-21.4K0.0040.58N/AN/A307,1973,815
2011-01-28$16.03$15.0023.5%6.7%9.2%26.7%34.5%-6.3%14.1%221.0K-2.7M-21.6K1.2346.41N/AN/A1221507,1963,815
2011-01-31$16.15$15.0028.5%8.2%9.4%36.3%42.4%-3.8%-17.1%222.9K-2.8M-21.1K0.1517.81N/AN/A2647,2203,964