CNP Options History — July 2011

In July 2011, CNP traded between $19.29 and $20.28. ATM implied volatility averaged 21.3%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.4% (HV 20d: 15.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2011-07-06: Highest Volume — 1,087 contracts
  • 2011-07-12: Largest IV spike — 24.0% change
  • 2011-07-29: Highest IV Rank — 31.4%
  • 2011-07-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.75$19.29$20.28$19.79$19.58
Max Pain$17.63$17.50$20.00$20.00$17.50
ATM IV21.3%17.7%27.1%19.2%27.1%
Expected Move6.4%5.5%7.8%5.5%7.8%
HV 20d15.8%14.1%17.4%14.8%17.4%
HV 60d14.4%13.7%15.0%14.3%15.0%
IV Rank19.7%12.6%31.4%15.5%31.4%
IV Percentile54.0%26.2%85.7%37.3%85.7%
Term Structure1.0%-3.7%4.3%2.8%-3.7%
VWIV25.1%20.3%44.2%20.3%31.0%
Skew 25d6.6%-4.5%73.3%73.3%-4.5%
Skew 10d11.0%-4.6%101.7%101.7%-4.6%
Call IV 25d20.9%17.8%25.6%21.9%25.6%
Put IV 25d27.5%18.7%95.2%95.2%21.2%
Bid-Ask Spread %24.8610.7162.2754.4310.71
Gamma HHI0.470.420.560.500.42
Net GEX850.8K643.7K1.2M967.2K680.8K
Net DEX-18.1M-20.7M-15.6M-18.2M-16.6M
Net VEX-52.5K-56.6K-48.1K-56.6K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.015.550.361.13
Total Volume226.1411,087385194
Total OI19,345.718,11920,47818,93218,936

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$19.79$20.0019.2%5.5%14.8%15.5%20.3%73.3%2.8%967.2K-18.2M-56.6K0.3654.43N/AN/A28410115,6813,251
2011-07-05$19.75$17.5017.7%6.8%14.9%12.6%23.9%7.1%1.1%1.0M-18.1M-55.2K1.4624.84N/AN/A487015,7033,352
2011-07-06$19.81$17.5018.3%6.6%14.9%13.8%23.0%6.4%1.2%1.1M-18.3M-53.2K0.0125.01N/AN/A1,0771015,7503,419
2011-07-07$19.80$17.5018.6%6.6%14.2%14.3%22.9%5.8%1.0%1.2M-19.6M-56.4K0.0820.89N/AN/A2031616,7533,429
2011-07-08$19.75$17.5018.3%6.2%14.1%13.8%23.1%5.7%2.5%1.1M-19.1M-55.5K1.0628.94N/AN/A313316,8733,445
2011-07-11$19.29$17.5020.2%6.8%16.9%17.6%0.0%6.8%2.1%861.1K-16.3M-56.3K1.6325.29N/AN/A406516,8773,427
2011-07-12$19.45$17.5025.1%6.4%16.7%27.4%31.1%6.1%2.4%1.0M-17.1M-55.1K0.2922.43N/AN/A351016,9033,492
2011-07-13$19.40$17.5021.6%6.4%16.7%20.3%22.4%5.2%2.5%908.3K-16.4M-53.9K0.1430.34N/AN/A36516,9083,502
2011-07-14$19.31$17.5023.7%6.8%15.1%24.5%23.7%4.7%1.4%845.8K-16.2M-55.6K3.8546.90N/AN/A135016,9203,507
2011-07-15$19.39$17.5020.2%5.8%14.9%17.5%26.6%7.6%4.3%713.7K-15.8M-52.4K5.5562.27N/AN/A116116,9263,552
2011-07-18$19.40$17.5019.8%5.7%14.9%16.7%23.0%4.5%3.0%643.7K-15.6M-51.8K0.3432.59N/AN/A1685714,6123,507
2011-07-19$19.71$17.5021.9%6.3%15.7%20.9%21.9%-2.3%-0.3%721.2K-17.4M-49.4K0.0919.12N/AN/A2252014,7613,564
2011-07-20$20.12$17.5020.8%6.0%16.9%18.7%20.8%1.9%2.4%753.4K-19.9M-49.1K0.7816.94N/AN/A45435414,9113,570
2011-07-21$20.28$17.5020.9%6.0%16.9%19.0%21.0%2.3%0.9%723.8K-20.7M-48.1K0.4512.43N/AN/A2209914,9823,769
2011-07-22$20.26$17.5020.3%5.8%15.8%17.8%20.3%1.8%1.0%743.3K-19.9M-50.9K0.2713.88N/AN/A742015,0073,858
2011-07-25$20.10$17.5022.7%6.5%16.2%22.5%22.8%1.2%-0.7%728.8K-19.4M-49.5K0.0311.17N/AN/A96315,0383,878
2011-07-26$20.05$17.5022.5%6.5%16.1%22.2%32.1%0.5%-1.6%755.4K-19.5M-49.1K0.1713.51N/AN/A1502515,0973,879
2011-07-27$20.05$17.5023.0%6.6%16.1%23.1%44.2%0.5%-1.0%743.0K-19.2M-49.3K1.6513.00N/AN/A203315,0503,889
2011-07-28$19.79$17.5023.1%6.6%16.9%23.4%23.3%-1.8%-0.9%740.6K-17.9M-49.6K0.2512.59N/AN/A892215,0393,897
2011-07-29$19.58$17.5027.1%7.8%17.4%31.4%31.0%-4.5%-3.7%680.8K-16.6M-52.4K1.1310.71N/AN/A9110315,0383,898