CNP Options History — August 2011

In August 2011, CNP traded between $17.24 and $20.01. ATM implied volatility averaged 31.5%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 9.2% (HV 20d: 40.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.40.

Notable Days

  • 2011-08-01: Highest Volume — 1,686 contracts
  • 2011-08-19: Largest IV spike — 63.6% change
  • 2011-08-10: Highest IV Rank — 77.6%
  • 2011-08-23: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.07$17.24$20.01$19.56$20.01
Max Pain$19.24$17.50$20.00$17.50$20.00
ATM IV31.5%24.0%50.3%26.6%26.1%
Expected Move8.6%6.9%12.9%7.6%7.5%
HV 20d40.7%15.3%50.7%15.3%50.4%
HV 60d26.5%15.0%31.3%15.0%31.3%
IV Rank39.8%24.4%77.6%30.3%28.7%
IV Percentile86.1%70.2%98.8%82.5%75.0%
Term Structure0.3%-7.1%15.5%-3.1%1.8%
VWIV29.2%23.6%34.9%26.6%26.0%
Skew 25d12.5%-16.0%60.1%-2.3%1.8%
Skew 10d20.3%-10.8%91.0%-2.2%2.6%
Call IV 25d27.1%18.2%35.2%26.0%23.7%
Put IV 25d39.7%18.8%85.4%23.7%25.5%
Bid-Ask Spread %56.9416.41119.7516.4170.10
Gamma HHI0.420.390.460.440.39
Net GEX594.6K412.1K803.8K724.8K596.7K
Net DEX-14.5M-19.0M-7.7M-16.6M-19.0M
Net VEX-56.8K-62.1K-50.0K-50.0K-53.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0011.250.010.90
Total Volume358.652181,6861,686182
Total OI19,720.17417,25221,51718,96518,117

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$19.56$17.5026.6%7.6%15.3%30.3%26.6%-2.3%-3.1%724.8K-16.6M-50.0K0.0116.41N/AN/A1,6662015,0143,951
2011-08-02$19.29$17.5027.3%7.8%16.1%31.8%27.2%6.6%-4.4%710.3K-16.5M-60.1K2.2226.78N/AN/A4510016,5583,951
2011-08-03$19.32$17.5025.6%7.3%16.0%28.4%23.6%-10.4%-5.4%736.4K-16.0M-58.1K2.2120.26N/AN/A9120116,5843,980
2011-08-04$18.45$17.5026.8%7.7%22.6%30.1%34.9%-16.0%-7.1%614.8K-12.4M-59.4K0.3456.45N/AN/A31810816,5674,049
2011-08-05$18.54$20.0034.1%8.8%22.8%44.8%26.5%2.7%1.4%610.2K-12.4M-58.3K0.4320.06N/AN/A47920516,5934,049
2011-08-08$17.24$20.0045.8%10.0%33.0%68.7%34.9%-6.9%0.7%412.1K-7.7M-56.0K0.8147.03N/AN/A50540716,6644,134
2011-08-09$18.35$17.5042.1%9.9%40.7%61.1%34.8%31.3%2.5%537.6K-10.5M-58.2K0.5950.43N/AN/A25715216,6244,401
2011-08-10$18.23$17.5050.3%10.1%40.7%77.6%29.8%24.2%-1.8%517.8K-11.0M-58.5K1.75119.75N/AN/A12521916,7734,457
2011-08-11$19.13$17.5025.2%7.2%44.6%26.9%34.6%4.4%-1.0%589.5K-14.8M-62.1K0.5196.58N/AN/A1698616,7894,535
2011-08-12$18.70$20.0034.3%9.8%45.2%45.4%27.0%8.9%0.1%557.0K-12.5M-58.6K0.4239.74N/AN/A361516,1434,617
2011-08-15$19.54$20.0029.3%8.4%48.1%35.2%29.4%5.5%-2.0%671.9K-16.5M-57.1K0.1227.86N/AN/A1692016,1364,598
2011-08-16$19.35$20.0027.7%8.0%47.8%32.0%0.0%4.6%0.9%734.7K-14.7M-55.7K11.2585.71N/AN/A44516,2204,595
2011-08-17$19.44$20.0024.4%7.0%47.2%25.3%24.6%5.7%3.2%803.8K-15.7M-53.3K0.0637.81N/AN/A7244416,2234,605
2011-08-18$18.85$20.0024.0%6.9%48.2%24.4%0.0%11.2%5.1%603.9K-13.3M-59.4K5.6761.56N/AN/A63416,9074,610
2011-08-19$18.73$20.0039.2%11.3%48.2%55.3%28.2%9.0%-3.5%545.7K-12.8M-58.0K0.13102.55N/AN/A16216,9074,610
2011-08-22$18.66$20.0030.4%8.7%48.1%37.5%28.7%10.8%15.5%480.6K-13.1M-56.6K0.1996.67N/AN/A2074014,6262,626
2011-08-23$19.21$20.0045.0%12.9%49.5%66.9%31.9%8.4%-1.7%532.2K-14.3M-56.5K0.3183.00N/AN/A2618114,7752,626
2011-08-24$19.57$20.0029.0%8.3%50.1%34.5%29.0%7.0%2.0%530.4K-16.8M-55.0K2.9854.47N/AN/A15947414,9002,604
2011-08-25$19.24$20.0025.7%7.4%50.2%27.8%0.0%6.7%0.9%510.7K-14.9M-58.1K1.0727.13N/AN/A272914,9782,806
2011-08-26$19.55$20.0030.0%8.6%50.4%36.7%30.3%55.8%2.0%510.6K-16.0M-57.7K0.0078.13N/AN/A132015,0002,816
2011-08-29$19.83$20.0028.8%8.3%50.7%34.2%28.8%59.3%-0.1%564.3K-17.9M-53.4K0.2866.82N/AN/A1073015,1042,816
2011-08-30$19.88$20.0027.8%8.0%50.4%32.1%27.8%60.1%1.5%579.5K-18.3M-53.0K0.0024.38N/AN/A252015,1402,786
2011-08-31$20.01$20.0026.1%7.5%50.4%28.7%26.0%1.8%1.8%596.7K-19.0M-53.8K0.9070.10N/AN/A968615,3312,786