CNP Options History — September 2011

In September 2011, CNP traded between $18.71 and $20.13. ATM implied volatility averaged 32.2%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.9% (HV 20d: 30.3%). 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 21 of 21 days. Put/call ratio averaged 1.72.

Notable Days

  • 2011-09-29: Highest Volume — 6,228 contracts
  • 2011-09-06: Largest IV spike — 190.6% change
  • 2011-09-06: Highest IV Rank — 100.0%
  • 2011-09-22: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.57$18.71$20.13$19.79$19.62
Max Pain$19.88$17.50$20.00$20.00$17.50
ATM IV32.2%23.5%68.3%24.2%36.6%
Expected Move8.4%6.7%11.0%6.9%10.5%
HV 20d30.3%22.9%48.0%47.5%31.3%
HV 60d32.7%31.3%35.0%31.3%35.0%
IV Rank36.2%22.5%100.0%24.9%43.8%
IV Percentile83.0%61.1%100.0%67.5%90.9%
Term Structure2.3%1.1%5.4%2.0%3.3%
VWIV29.9%26.2%36.8%26.2%36.8%
Skew 25d7.6%-8.4%15.0%2.2%4.2%
Skew 10d16.6%-13.4%42.5%4.0%4.4%
Call IV 25d25.4%19.4%39.2%22.1%39.2%
Put IV 25d33.1%20.1%43.4%24.4%43.4%
Bid-Ask Spread %42.5416.11109.0784.6522.53
Gamma HHI0.430.370.580.400.50
Net GEX773.6K575.4K1.4M614.6K1.0M
Net DEX-18.4M-23.2M-14.2M-18.5M-23.2M
Net VEX-53.3K-62.3K-49.9K-51.9K-62.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.0027.0027.000.00
Total Volume615406,22856224
Total OI20,477.33318,11625,85918,25025,859

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$19.79$20.0024.2%6.9%47.5%24.9%0.0%2.2%2.0%614.6K-18.5M-51.9K27.0084.65N/AN/A25415,3862,864
2011-09-02$19.45$20.0023.5%6.7%48.0%23.5%26.2%-3.9%1.4%607.1K-16.6M-53.4K0.0334.90N/AN/A144415,3862,808
2011-09-06$19.23$20.0068.3%8.5%39.5%100.0%34.1%10.2%1.3%575.4K-15.2M-53.3K5.7560.30N/AN/A2011515,3052,811
2011-09-07$19.61$20.0024.6%8.0%33.8%22.5%27.9%10.8%1.1%609.6K-16.4M-51.8K0.0016.11N/AN/A169015,3252,898
2011-09-08$20.01$20.0032.0%8.0%34.1%35.6%27.0%5.6%2.7%636.7K-19.2M-49.9K0.0031.42N/AN/A762015,4822,898
2011-09-09$19.52$20.0027.6%8.2%31.5%27.8%32.4%13.0%2.0%670.3K-17.5M-53.9K0.1788.52N/AN/A54916,5932,898
2011-09-12$19.54$20.0035.2%8.8%30.2%41.3%30.6%13.7%1.4%655.9K-16.9M-53.4K0.6922.40N/AN/A292016,6262,902
2011-09-13$19.83$20.0038.4%8.4%26.4%46.9%29.2%14.4%2.0%679.8K-18.0M-50.4K0.0022.73N/AN/A85016,1592,908
2011-09-14$19.91$20.0038.0%8.5%26.2%46.2%29.6%15.0%1.7%700.3K-19.2M-50.7K0.0289.50N/AN/A2,2254116,2292,908
2011-09-15$19.88$20.0028.5%8.2%26.2%29.5%29.1%13.5%2.1%981.3K-21.5M-55.3K0.00109.07N/AN/A138018,4062,935
2011-09-16$19.93$20.0026.4%7.6%23.3%25.7%26.4%11.7%3.3%1.4M-21.6M-52.8K0.0321.58N/AN/A3031018,4152,935
2011-09-19$19.97$20.0028.0%8.0%23.0%28.6%28.0%11.4%1.6%815.2K-21.4M-52.1K0.0931.68N/AN/A2562217,9862,819
2011-09-20$20.13$20.0027.3%7.8%22.9%27.2%27.3%12.6%2.6%838.8K-23.0M-50.5K0.3518.97N/AN/A1746118,2032,840
2011-09-21$19.36$20.0027.4%7.9%25.6%27.5%27.4%-4.4%2.7%843.6K-18.3M-53.3K0.9379.49N/AN/A35633018,3272,901
2011-09-22$18.71$20.0038.2%11.0%27.4%46.6%35.3%6.4%2.0%691.8K-14.2M-55.8K0.2816.81N/AN/A57916018,5063,188
2011-09-23$18.97$20.0030.0%8.6%27.4%32.1%29.9%8.2%1.8%742.3K-15.5M-55.1K0.7617.18N/AN/A665018,3743,187
2011-09-26$19.24$20.0029.5%8.5%27.2%31.2%29.6%8.7%2.9%792.0K-16.8M-54.1K0.0069.17N/AN/A40018,4113,206
2011-09-27$19.23$20.0029.4%8.4%26.6%30.9%28.9%7.9%3.1%805.9K-17.2M-53.1K0.0017.77N/AN/A64018,4453,206
2011-09-28$19.12$20.0028.5%8.2%26.6%29.3%28.8%7.7%2.8%791.7K-16.2M-51.5K0.1019.42N/AN/A1101118,4853,206
2011-09-29$19.96$20.0033.6%9.6%31.0%38.4%33.4%-8.4%5.4%810.2K-20.9M-53.7K0.0319.25N/AN/A6,05117718,5923,206
2011-09-30$19.62$17.5036.6%10.5%31.3%43.8%36.8%4.2%3.3%1.0M-23.2M-62.3K0.0022.53N/AN/A223122,5273,332