CNP Options History — February 2011

In February 2011, CNP traded between $15.47 and $16.34. ATM implied volatility averaged 24.2%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 12.6% (HV 20d: 11.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-02-01: Highest Volume — 8,701 contracts
  • 2011-02-10: Largest IV drop — 42.2% change
  • 2011-02-09: Highest IV Rank — 52.7%
  • 2011-02-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.97$15.47$16.34$16.25$15.86
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV24.2%15.7%36.9%30.9%18.3%
Expected Move6.1%4.5%8.9%8.9%5.2%
HV 20d11.7%9.5%14.4%9.5%14.4%
HV 60d11.6%10.7%13.0%12.8%11.3%
IV Rank28.1%11.6%52.7%41.1%16.6%
IV Percentile65.8%17.9%94.4%89.3%34.5%
Term Structure-0.7%-29.8%7.7%-29.8%2.3%
VWIV31.4%23.3%46.0%46.0%34.6%
Skew 25d5.8%-15.8%13.7%-1.0%-15.8%
Skew 10d11.9%-4.4%23.9%5.2%-4.4%
Call IV 25d16.8%12.0%32.4%17.0%32.4%
Put IV 25d22.6%16.0%28.4%16.0%16.5%
Bid-Ask Spread %52.6512.05109.1112.0521.30
Gamma HHI0.870.770.950.880.81
Net GEX496.6K230.2K615.2K230.2K458.8K
Net DEX-4.3M-6.3M-2.0M-3.0M-3.1M
Net VEX-36.4K-43.4K-21.8K-21.8K-31.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.006.500.000.26
Total Volume999.94758,7018,701145
Total OI18,098.31611,20119,66511,20116,525

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$16.25$15.0030.9%8.9%9.5%41.1%46.0%-1.0%-29.8%230.2K-3.0M-21.8K0.0012.05N/AN/A8,70107,2353,966
2011-02-02$16.07$15.0029.1%8.4%10.5%37.6%43.7%13.7%-26.6%597.5K-5.6M-42.3K0.1094.24N/AN/A1071115,5323,966
2011-02-03$16.16$15.0028.2%8.1%10.5%35.8%0.0%-3.9%-23.1%568.1K-5.6M-40.6K0.0613.41N/AN/A35215,5983,977
2011-02-04$16.14$15.0027.1%5.7%9.6%33.6%23.3%10.3%5.7%572.1K-5.3M-40.7K0.0042.46N/AN/A0515,5933,979
2011-02-07$16.34$15.0028.4%4.7%10.3%36.3%25.1%12.7%7.7%615.2K-6.3M-41.9K0.0133.14N/AN/A110115,5933,984
2011-02-08$16.24$15.0036.9%5.8%10.7%52.6%0.0%10.3%6.4%605.3K-6.2M-43.4K0.0031.39N/AN/A7015,5033,985
2011-02-09$16.10$15.0036.9%5.5%10.9%52.7%0.0%8.6%6.8%587.3K-5.5M-41.5K0.0045.70N/AN/A238015,5073,985
2011-02-10$16.13$15.0021.3%6.1%10.5%22.5%0.0%12.3%6.0%579.5K-5.6M-39.8K0.3559.75N/AN/A1505215,6273,985
2011-02-11$16.19$15.0020.5%5.9%10.5%21.0%0.0%11.5%6.5%593.1K-5.8M-40.2K0.0026.11N/AN/A8,669015,6284,037
2011-02-14$15.88$15.0019.8%5.7%12.7%19.6%0.0%7.6%6.2%486.7K-4.2M-39.6K0.2574.78N/AN/A401014,7474,037
2011-02-15$15.96$15.0020.4%5.9%12.8%20.8%0.0%7.4%6.0%490.1K-4.5M-38.2K0.2844.88N/AN/A1002814,7714,029
2011-02-16$15.92$15.0020.7%5.9%12.7%21.3%0.0%6.3%3.0%501.0K-3.9M-36.1K0.1436.88N/AN/A37514,7274,046
2011-02-17$15.91$15.0020.8%6.0%12.4%21.4%23.4%8.1%4.1%491.4K-4.0M-35.0K4.2535.50N/AN/A208514,7374,051
2011-02-18$15.90$15.0019.1%5.5%12.4%18.1%0.0%7.3%7.2%463.6K-3.6M-34.7K6.5046.06N/AN/A149114,7574,123
2011-02-22$15.78$15.0015.7%4.5%11.8%11.6%0.0%4.4%1.5%485.6K-3.8M-36.6K1.00104.79N/AN/A959513,8262,427
2011-02-23$15.54$15.0022.2%6.4%12.7%24.2%0.0%-0.4%-0.3%390.6K-2.4M-29.2K0.00109.11N/AN/A07213,9172,491
2011-02-24$15.47$15.0022.1%6.3%12.8%24.0%23.9%4.0%0.6%351.6K-2.1M-28.3K3.9184.29N/AN/A114313,9172,555
2011-02-25$15.68$15.0021.9%6.3%13.8%23.6%0.0%7.0%-3.0%368.2K-2.0M-28.8K0.0084.58N/AN/A20013,9072,598
2011-02-28$15.86$15.0018.3%5.2%14.4%16.6%34.6%-15.8%2.3%458.8K-3.1M-31.9K0.2621.30N/AN/A1153013,9272,598