CNP Options History — March 2011

In March 2011, CNP traded between $15.20 and $17.68. ATM implied volatility averaged 21.2%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.7% (HV 20d: 25.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.61.

Notable Days

  • 2011-03-18: Highest Volume — 13,229 contracts
  • 2011-03-14: Largest IV spike — 40.5% change
  • 2011-03-18: Highest IV Rank — 50.9%
  • 2011-03-18: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.39$15.20$17.68$15.64$17.56
Max Pain$16.20$15.00$17.50$15.00$15.00
ATM IV21.2%13.3%36.4%16.7%20.2%
Expected Move6.1%3.8%10.4%4.8%5.8%
HV 20d25.8%14.8%39.2%14.8%38.5%
HV 60d17.3%11.5%24.5%11.6%24.5%
IV Rank21.1%6.9%50.9%13.6%17.5%
IV Percentile53.8%7.5%93.7%23.8%48.0%
Term Structure2.5%-7.4%15.4%15.4%1.9%
VWIV23.4%13.0%45.2%19.1%20.2%
Skew 25d3.5%-1.6%10.9%-1.2%4.0%
Skew 10d8.4%-5.5%83.5%2.7%7.3%
Call IV 25d19.6%11.7%34.4%16.5%20.5%
Put IV 25d23.1%13.8%38.5%15.3%24.4%
Bid-Ask Spread %25.0312.40105.42105.4216.11
Gamma HHI0.820.670.880.830.87
Net GEX465.1K218.7K640.2K501.3K533.7K
Net DEX-4.1M-7.5M-677.0K-3.6M-6.3M
Net VEX-29.4K-41.9K-21.1K-34.3K-23.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.0014.064.000.59
Total Volume769.739013,22925194
Total OI14,729.91310,63516,97916,64611,048

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$15.64$15.0016.7%4.8%14.8%13.6%19.1%-1.2%15.4%501.3K-3.6M-34.3K4.00105.42N/AN/A52014,0182,628
2011-03-02$15.76$15.0013.3%3.8%14.9%6.9%13.0%0.2%1.9%410.0K-2.5M-31.4K1.6023.91N/AN/A254014,0192,648
2011-03-03$15.92$15.0016.5%4.7%15.0%13.1%0.0%1.7%-2.0%494.5K-3.5M-34.1K0.0018.62N/AN/A30014,0002,684
2011-03-04$15.88$17.5016.3%6.0%14.8%12.8%0.0%6.3%1.7%467.0K-3.3M-33.6K0.0018.74N/AN/A0014,0302,684
2011-03-07$15.82$17.5020.6%6.3%14.9%21.2%0.0%6.4%1.2%463.3K-3.1M-31.7K0.1314.16N/AN/A1201514,0302,684
2011-03-08$16.10$17.5022.7%5.2%15.6%25.2%0.0%9.2%5.7%559.0K-3.5M-33.4K0.2219.52N/AN/A9214,1022,699
2011-03-09$16.24$17.5018.5%5.5%15.8%17.1%0.0%10.9%6.9%640.2K-4.6M-35.8K0.0018.94N/AN/A1014,1082,701
2011-03-10$16.02$17.5018.3%5.3%16.3%16.7%14.7%6.6%6.7%569.6K-3.9M-34.9K2.8819.15N/AN/A257214,1072,701
2011-03-11$16.10$17.5014.4%4.1%16.3%9.1%0.0%0.5%7.4%562.6K-3.8M-32.3K0.0012.40N/AN/A02014,1122,699
2011-03-14$15.75$17.5020.2%5.8%18.0%20.4%0.0%6.2%7.8%383.4K-2.2M-26.8K0.0015.91N/AN/A01014,1122,699
2011-03-15$15.58$17.5023.0%6.6%17.1%25.8%0.0%3.9%1.0%369.7K-2.0M-26.1K0.0023.81N/AN/A0014,1122,699
2011-03-16$15.32$17.5025.7%7.4%17.8%30.9%45.2%6.0%-0.8%281.7K-1.3M-23.7K0.5239.24N/AN/A713714,1122,699
2011-03-17$15.20$17.5027.4%7.8%18.0%33.4%27.4%4.5%-3.4%218.7K-677.0K-21.1K14.0617.71N/AN/A1825314,0892,721
2011-03-18$16.67$17.5036.4%10.4%38.1%50.9%34.4%4.1%-7.4%577.1K-7.5M-41.9K0.0342.31N/AN/A12,84338614,0912,888
2011-03-21$17.10$15.0023.2%6.6%39.0%23.5%23.3%-1.6%1.1%596.0K-7.1M-32.8K0.9920.20N/AN/A57957610,6023,173
2011-03-22$16.89$15.0023.4%6.7%39.2%23.9%23.7%8.2%0.8%551.1K-6.1M-31.8K1.3622.36N/AN/A22530510,4633,324
2011-03-23$16.96$15.0022.4%6.4%38.6%21.9%22.5%-0.7%2.4%364.3K-4.1M-24.0K0.3724.36N/AN/A59227,1593,476
2011-03-24$17.17$15.0021.5%6.2%38.5%20.1%21.5%-0.7%2.7%415.9K-4.7M-24.2K1.1519.71N/AN/A3223707,1653,498
2011-03-25$17.13$15.0021.2%6.1%38.5%19.6%21.3%0.1%2.1%398.7K-4.5M-24.8K0.2716.32N/AN/A219597,0383,858
2011-03-28$17.17$15.0021.3%6.1%38.4%19.8%21.3%1.9%2.7%401.6K-4.6M-24.2K0.4218.30N/AN/A2791167,0753,883
2011-03-29$17.29$15.0022.7%6.5%37.8%22.6%22.7%0.4%0.4%428.8K-4.8M-24.4K1.8128.46N/AN/A36657,1053,935
2011-03-30$17.68$15.0020.7%5.9%38.3%18.6%20.7%4.1%2.1%508.3K-6.5M-24.2K0.3019.94N/AN/A213637,1253,985
2011-03-31$17.56$15.0020.2%5.8%38.5%17.5%20.2%4.0%1.9%533.7K-6.3M-23.7K0.5916.11N/AN/A122727,1133,935