CNP Options History — May 2011

In May 2011, CNP traded between $18.49 and $19.33. ATM implied volatility averaged 24.1%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 10.7% (HV 20d: 13.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2011-05-11: Highest Volume — 81,561 contracts
  • 2011-05-09: Largest IV spike — 86.7% change
  • 2011-05-09: Highest IV Rank — 81.4%
  • 2011-05-24: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.86$18.49$19.33$18.59$19.33
Max Pain$17.86$17.50$20.00$17.50$17.50
ATM IV24.1%11.9%52.0%26.8%22.4%
Expected Move6.0%3.4%8.3%7.7%6.4%
HV 20d13.4%12.1%14.7%14.0%14.7%
HV 60d25.0%24.7%25.3%25.1%24.8%
IV Rank25.3%1.0%81.4%30.8%22.1%
IV Percentile58.2%0.4%99.6%80.6%61.5%
Term Structure0.6%-15.1%13.3%-6.1%-3.1%
VWIV24.2%15.6%32.8%26.5%26.0%
Skew 25d7.7%-5.5%17.0%10.8%-5.5%
Skew 10d13.2%-6.7%59.0%16.9%-6.7%
Call IV 25d16.2%10.9%26.2%15.1%26.2%
Put IV 25d23.9%14.1%32.4%26.0%20.7%
Bid-Ask Spread %40.9513.0098.3036.3913.00
Gamma HHI0.650.420.880.840.42
Net GEX500.7K275.4K679.1K578.3K660.4K
Net DEX-16.0M-21.2M-12.1M-15.1M-15.6M
Net VEX-48.5K-62.4K-33.0K-35.1K-62.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.004.220.560.03
Total Volume4,657.0483881,561231122
Total OI18,129.66715,52022,98216,55118,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$18.59$17.5026.8%7.7%14.0%30.8%26.5%10.8%-6.1%578.3K-15.1M-35.1K0.5636.39N/AN/A1488311,4935,058
2011-05-03$18.65$17.5026.9%7.7%13.8%31.1%26.9%16.9%-4.3%595.1K-15.1M-33.0K0.1564.96N/AN/A2383511,4575,116
2011-05-04$18.49$17.5022.3%6.4%13.2%21.8%30.5%8.9%-9.1%657.4K-13.9M-37.4K0.1849.79N/AN/A34611,6465,155
2011-05-05$18.60$17.5024.2%6.9%13.3%25.5%32.8%1.8%-15.1%643.1K-14.3M-35.2K0.0068.46N/AN/A278011,6345,155
2011-05-06$18.72$17.5027.9%6.0%12.1%32.9%19.7%0.9%3.2%546.4K-14.3M-36.5K0.0125.52N/AN/A3,5353811,6125,155
2011-05-09$18.91$17.5052.0%5.0%12.3%81.4%0.0%11.1%6.3%679.1K-19.7M-48.2K0.0053.82N/AN/A66015,0065,165
2011-05-10$19.26$17.5026.6%3.8%12.1%30.4%18.2%2.5%7.8%612.5K-21.2M-44.6K0.2859.33N/AN/A2055815,0005,165
2011-05-11$19.11$20.0030.0%4.5%12.4%37.3%16.2%1.7%1.8%584.0K-20.6M-47.5K0.0098.30N/AN/A81,5293214,9515,173
2011-05-12$18.90$20.0014.9%4.3%13.7%7.0%28.5%8.7%2.0%505.0K-16.1M-44.9K1.6251.67N/AN/A9091,47212,5225,202
2011-05-13$18.73$20.0026.1%7.5%13.4%29.4%25.7%5.2%-2.0%436.8K-15.3M-48.0K0.2836.80N/AN/A1744812,5586,389
2011-05-16$18.69$17.5027.7%7.9%13.0%32.6%23.0%6.0%-2.7%443.9K-15.5M-46.5K0.3240.95N/AN/A1233912,6146,434
2011-05-17$18.63$17.5025.4%7.3%12.9%28.0%0.0%13.7%1.5%367.5K-16.1M-44.9K0.0921.09N/AN/A2442112,6176,472
2011-05-18$18.98$17.5016.9%4.9%14.1%11.0%15.6%13.7%13.3%275.4K-17.3M-43.5K0.0121.06N/AN/A3,8992112,6336,487
2011-05-19$19.00$17.5011.9%3.4%13.2%1.0%0.0%12.2%11.6%415.7K-20.9M-59.1K0.0953.93N/AN/A35316,4806,478
2011-05-20$18.96$17.5016.2%4.7%13.0%9.6%23.8%3.4%1.5%392.2K-21.0M-58.4K2.0131.35N/AN/A12825716,5016,481
2011-05-23$18.73$17.5022.6%6.5%13.9%22.4%25.1%10.7%0.0%398.1K-12.1M-59.2K4.2224.06N/AN/A7431212,2073,313
2011-05-24$18.75$17.5029.0%8.3%13.9%35.2%0.0%8.7%-10.5%411.3K-12.3M-59.1K0.1241.09N/AN/A1882212,2673,348
2011-05-25$18.97$17.5015.9%4.6%14.4%9.0%0.0%16.5%9.7%423.5K-12.9M-58.9K0.3021.30N/AN/A1514512,4353,369
2011-05-26$19.02$17.5015.8%4.5%14.3%8.8%0.0%17.0%8.9%438.9K-13.0M-58.9K0.0019.14N/AN/A64012,4643,381
2011-05-27$19.08$17.5023.6%6.8%14.1%24.4%23.6%-2.9%-1.3%451.1K-13.6M-58.0K0.0028.01N/AN/A3,158412,5003,381
2011-05-31$19.33$17.5022.4%6.4%14.7%22.1%26.0%-5.5%-3.1%660.4K-15.6M-62.4K0.0313.00N/AN/A119314,8683,381