CNP Options History — April 2011

In April 2011, CNP traded between $17.23 and $18.60. ATM implied volatility averaged 24.3%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.7% (HV 20d: 27.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2011-04-18: Highest Volume — 1,565 contracts
  • 2011-04-11: Largest IV spike — 27.3% change
  • 2011-04-13: Highest IV Rank — 36.5%
  • 2011-04-29: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.87$17.23$18.60$17.75$18.60
Max Pain$16.00$15.00$17.50$15.00$17.50
ATM IV24.3%20.4%29.6%20.4%28.0%
Expected Move7.0%5.8%8.0%5.8%8.0%
HV 20d27.0%14.2%38.6%38.4%14.2%
HV 60d24.9%24.4%25.3%24.5%25.1%
IV Rank25.7%17.9%36.5%17.9%33.2%
IV Percentile71.5%49.6%87.3%49.6%83.3%
Term Structure-2.4%-7.5%2.5%2.5%-7.5%
VWIV24.6%20.4%28.8%20.4%28.8%
Skew 25d5.1%-1.5%11.7%3.5%11.7%
Skew 10d10.0%-0.5%60.5%8.9%60.5%
Call IV 25d18.1%12.3%22.7%20.2%12.3%
Put IV 25d23.3%20.9%30.7%23.7%24.0%
Bid-Ask Spread %24.0811.0353.5615.2530.16
Gamma HHI0.860.810.920.870.89
Net GEX600.4K475.4K782.4K517.6K624.0K
Net DEX-8.9M-14.5M-4.3M-6.9M-14.5M
Net VEX-29.9K-40.3K-23.6K-23.6K-35.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.005.701.140.00
Total Volume529.45141,565643524
Total OI13,583.311,13516,80811,13516,598

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$17.75$15.0020.4%5.8%38.4%17.9%20.4%3.5%2.5%517.6K-6.9M-23.6K1.1415.25N/AN/A3013427,1633,972
2011-04-04$17.91$15.0023.1%7.1%38.3%23.3%24.6%4.9%-2.6%488.3K-7.4M-24.0K3.5011.03N/AN/A561967,3104,147
2011-04-05$17.68$15.0021.4%7.0%38.6%20.0%24.3%4.2%-3.1%492.7K-6.7M-24.3K0.3114.52N/AN/A58187,3384,328
2011-04-06$17.71$15.0021.0%6.9%38.6%19.2%24.2%4.0%-1.8%506.2K-6.7M-24.4K0.5813.88N/AN/A114667,3954,346
2011-04-07$17.49$15.0022.6%7.3%38.5%22.3%25.5%2.1%-3.7%482.8K-5.9M-24.9K2.0616.39N/AN/A18377,4394,412
2011-04-08$17.50$15.0021.8%7.2%38.6%20.7%25.3%1.2%-4.0%497.0K-5.6M-24.9K0.6418.82N/AN/A44287,4514,449
2011-04-11$17.32$15.0027.7%7.1%37.7%32.6%24.6%-0.9%-3.2%499.2K-4.7M-23.8K0.0015.69N/AN/A2307,4794,477
2011-04-12$17.23$15.0028.2%7.4%37.5%33.6%25.8%-1.5%-3.7%475.4K-4.3M-23.8K0.0047.01N/AN/A60107,4924,477
2011-04-13$17.32$15.0029.6%7.1%36.6%36.5%25.0%9.1%-3.5%534.5K-5.1M-24.1K0.1025.43N/AN/A425427,7244,476
2011-04-14$17.64$15.0026.7%7.7%36.4%30.6%26.7%1.9%-2.5%605.8K-6.6M-24.5K0.1036.76N/AN/A668707,8214,508
2011-04-15$17.88$15.0025.4%7.3%18.3%28.0%25.6%4.5%-1.4%592.7K-8.6M-25.0K0.0014.37N/AN/A1,23418,4544,538
2011-04-18$17.82$15.0024.5%7.0%16.5%26.2%24.5%4.8%-2.1%605.9K-7.9M-29.9K0.3616.28N/AN/A1,1544118,7503,910
2011-04-19$17.81$17.5023.5%6.7%15.6%24.1%23.5%5.1%-0.6%651.2K-9.0M-34.7K0.0428.27N/AN/A1,075479,7674,254
2011-04-20$18.11$17.5024.1%6.9%16.4%25.4%25.9%7.7%-1.1%653.9K-10.7M-34.7K0.2253.56N/AN/A1,22527010,1484,301
2011-04-21$18.28$17.5022.0%6.3%16.2%21.2%22.1%7.3%-0.6%774.9K-13.6M-40.3K0.8016.32N/AN/A22317811,7444,517
2011-04-25$18.26$17.5024.7%7.1%16.2%26.6%24.8%8.6%-1.6%769.4K-13.4M-38.6K0.4727.28N/AN/A683211,8404,693
2011-04-26$18.27$17.5023.6%6.8%16.2%24.4%23.6%7.7%-1.7%782.4K-13.4M-39.9K5.7027.42N/AN/A8146211,8264,725
2011-04-27$18.34$17.5023.4%6.7%16.1%23.9%23.1%7.7%-1.9%754.9K-13.8M-40.0K0.3525.77N/AN/A35812511,8334,975
2011-04-28$18.46$17.5024.0%6.9%14.5%25.1%23.4%9.5%-3.1%699.0K-14.1M-35.9K0.0027.35N/AN/A14011,5315,058
2011-04-29$18.60$17.5028.0%8.0%14.2%33.2%28.8%11.7%-7.5%624.0K-14.5M-35.9K0.0030.16N/AN/A524011,5405,058