CNP Options History — June 2011

In June 2011, CNP traded between $18.49 and $19.35. ATM implied volatility averaged 21.7%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.8% (HV 20d: 13.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2011-06-14: Highest Volume — 1,077 contracts
  • 2011-06-21: Largest IV drop — 24.4% change
  • 2011-06-17: Highest IV Rank — 34.7%
  • 2011-06-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.98$18.49$19.35$19.24$19.35
Max Pain$19.66$17.50$20.00$17.50$20.00
ATM IV21.7%13.7%28.8%28.2%13.7%
Expected Move6.2%3.9%8.2%8.1%3.9%
HV 20d13.9%12.9%15.4%14.9%13.6%
HV 60d18.4%13.6%24.8%24.8%13.6%
IV Rank20.6%4.6%34.7%33.5%4.6%
IV Percentile53.1%3.6%87.7%84.9%3.6%
Term Structure2.5%-2.7%10.1%0.0%9.9%
VWIV20.8%11.9%25.8%21.1%11.9%
Skew 25d12.9%-8.9%110.8%6.1%7.4%
Skew 10d19.7%-5.8%143.9%1.2%5.3%
Call IV 25d21.7%13.9%35.3%21.6%14.0%
Put IV 25d34.6%14.8%136.6%27.6%21.3%
Bid-Ask Spread %28.2913.4973.3365.9415.51
Gamma HHI0.430.410.460.420.46
Net GEX675.7K599.5K847.6K703.4K847.6K
Net DEX-14.3M-16.1M-12.7M-15.6M-16.1M
Net VEX-60.2K-62.8K-56.9K-61.8K-56.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.002.000.080.29
Total Volume196.727151,077192191
Total OI18,67918,32619,47418,32618,884

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$19.24$17.5028.2%8.1%14.9%33.5%21.1%6.1%0.0%703.4K-15.6M-61.8K0.0865.94N/AN/A1781414,9423,384
2011-06-02$19.35$17.5023.5%6.8%14.4%24.3%25.8%110.8%-2.7%688.9K-15.9M-61.9K0.0017.11N/AN/A731015,0213,398
2011-06-03$19.09$17.5026.8%6.9%15.4%30.7%23.4%-8.9%0.2%643.1K-14.5M-62.8K2.0057.90N/AN/A51015,0173,398
2011-06-06$19.09$20.0024.8%7.1%15.3%26.7%24.9%0.5%-1.1%643.9K-14.5M-61.4K0.0018.15N/AN/A329115,0223,408
2011-06-07$19.09$20.0023.1%6.5%14.9%23.4%22.9%1.6%0.4%673.1K-14.7M-61.0K0.0719.76N/AN/A109815,1513,409
2011-06-08$18.90$20.0019.1%6.5%13.7%15.3%0.0%1.7%0.3%649.1K-14.0M-60.5K0.4018.29N/AN/A502015,2263,401
2011-06-09$18.82$20.0017.8%5.1%13.6%12.7%0.0%2.9%1.3%623.1K-13.6M-60.4K1.4617.46N/AN/A11416615,2553,401
2011-06-10$18.86$20.0018.1%5.2%13.0%13.4%21.0%4.0%2.0%644.4K-14.0M-59.9K0.3824.90N/AN/A803015,2703,399
2011-06-13$18.72$20.0022.5%6.5%12.9%22.2%0.0%1.3%7.5%613.9K-13.1M-58.9K0.0622.12N/AN/A33215,2183,369
2011-06-14$18.84$20.0020.1%5.8%13.1%17.3%22.8%1.1%0.7%627.0K-13.3M-58.2K0.0323.97N/AN/A1,0502715,2303,369
2011-06-15$18.49$20.0023.9%6.9%14.7%25.0%13.4%12.0%5.6%599.5K-12.7M-61.7K0.2223.13N/AN/A2275015,9193,371
2011-06-16$18.66$20.0024.9%7.1%13.4%26.9%0.0%11.5%4.6%622.4K-13.3M-61.5K0.5130.71N/AN/A834216,0403,368
2011-06-17$18.74$20.0028.8%8.2%13.5%34.7%20.2%4.8%2.0%662.1K-13.7M-61.6K0.0040.20N/AN/A65016,0663,408
2011-06-20$18.83$20.0026.4%7.6%13.6%30.0%20.6%7.6%1.4%641.7K-13.4M-61.4K0.7273.33N/AN/A322315,3233,102
2011-06-21$19.00$20.0020.0%5.7%13.3%17.1%21.2%-4.2%2.1%677.1K-14.2M-59.8K0.0523.51N/AN/A43215,3253,125
2011-06-22$19.02$20.0019.7%5.7%13.3%16.6%0.0%-4.4%2.2%687.1K-14.2M-59.7K0.0024.06N/AN/A24015,3283,125
2011-06-23$18.76$20.0020.8%6.0%13.5%18.7%0.0%2.5%10.1%643.2K-13.0M-59.5K0.5426.96N/AN/A372015,3423,125
2011-06-24$18.95$20.0020.8%5.9%14.0%18.6%0.0%-2.4%1.5%703.9K-14.3M-58.9K0.2825.23N/AN/A1855215,3863,145
2011-06-27$19.12$20.0019.4%5.6%14.4%16.0%21.6%-2.4%1.9%723.7K-14.9M-59.4K0.3219.69N/AN/A772515,5363,160
2011-06-28$19.24$20.0018.2%5.2%13.7%13.5%19.7%61.0%2.8%746.6K-15.2M-57.9K0.4213.49N/AN/A833515,5793,165
2011-06-29$19.34$20.0017.7%5.1%13.8%12.6%0.0%69.9%2.7%800.3K-15.9M-58.3K0.6720.99N/AN/A453015,6503,178
2011-06-30$19.35$20.0013.7%3.9%13.6%4.6%11.9%7.4%9.9%847.6K-16.1M-56.9K0.2915.51N/AN/A1484315,6763,208