CNP Options History — October 2011

In October 2011, CNP traded between $19.18 and $21.29. ATM implied volatility averaged 30.8%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 1.1% (HV 20d: 29.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2011-10-31: Highest Volume — 2,133 contracts
  • 2011-10-31: Largest IV spike — 76.6% change
  • 2011-10-04: Highest IV Rank — 48.2%
  • 2011-10-04: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.48$19.18$21.29$19.18$20.84
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV30.8%16.5%39.1%38.8%29.2%
Expected Move9.2%4.7%11.2%11.1%8.4%
HV 20d29.7%22.2%33.7%31.8%22.2%
HV 60d35.9%34.8%36.3%35.3%35.2%
IV Rank33.5%8.2%48.2%47.6%30.7%
IV Percentile80.8%9.9%92.9%92.9%79.4%
Term Structure-0.4%-4.0%10.0%0.9%-2.2%
VWIV33.0%28.6%48.2%28.6%29.5%
Skew 25d8.7%-7.6%18.1%-7.6%9.7%
Skew 10d11.5%-4.1%35.6%1.0%12.3%
Call IV 25d25.5%14.7%35.6%35.6%19.1%
Put IV 25d34.2%26.9%46.5%28.0%28.8%
Bid-Ask Spread %19.369.1678.6227.8914.84
Gamma HHI0.560.460.690.480.53
Net GEX1.1M684.1K1.8M1.0M810.8K
Net DEX-28.5M-37.9M-19.7M-19.7M-28.0M
Net VEX-42.7K-59.6K-29.3K-59.6K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.001.340.100.00
Total Volume524.333132,1331372,133
Total OI25,002.04821,59726,73725,86822,684

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$19.18$17.5038.8%11.1%31.8%47.6%28.6%-7.6%0.9%1.0M-19.7M-59.6K0.1027.89N/AN/A1241322,5353,333
2011-10-04$19.57$17.5039.1%11.2%32.3%48.2%48.2%13.9%1.1%1.0M-21.6M-59.4K1.1732.17N/AN/A8910422,5373,329
2011-10-05$19.71$17.5033.4%9.6%31.7%38.1%33.4%11.0%7.0%1.2M-22.7M-57.7K0.1922.20N/AN/A3897522,5563,387
2011-10-06$20.13$17.5031.9%9.1%31.7%35.4%31.9%3.4%4.3%1.3M-26.8M-55.6K0.019.16N/AN/A1,069622,8423,391
2011-10-07$19.93$17.5029.3%9.9%30.6%30.9%37.6%5.7%-0.9%1.3M-25.1M-54.0K0.6014.50N/AN/A40124122,1753,397
2011-10-10$20.50$17.5029.6%10.2%32.1%31.4%38.9%8.2%-2.6%1.3M-29.3M-50.4K0.1611.97N/AN/A621022,3343,557
2011-10-11$20.05$17.5028.8%10.4%32.9%29.9%0.0%7.6%-4.0%1.4M-25.7M-50.4K0.0813.58N/AN/A12122,2173,565
2011-10-12$19.88$17.5024.3%9.2%33.0%22.0%32.1%14.5%-1.1%1.6M-24.7M-48.1K0.0211.99N/AN/A1,1191822,2203,565
2011-10-13$20.07$17.5030.3%8.7%33.2%32.5%31.5%6.9%-0.3%1.7M-26.2M-47.8K0.129.35N/AN/A2432922,6563,566
2011-10-14$20.35$17.5029.8%8.5%33.5%31.7%34.4%15.5%-0.1%1.8M-30.1M-44.3K1.0215.04N/AN/A899122,7893,568
2011-10-17$20.51$17.5029.6%8.5%33.6%31.3%29.8%13.9%-0.1%1.6M-32.9M-39.4K0.3615.13N/AN/A2117522,8323,533
2011-10-18$20.73$17.5031.6%9.0%33.7%34.8%31.9%18.1%-2.2%1.1M-34.8M-37.4K0.7911.76N/AN/A826522,8193,554
2011-10-19$20.67$17.5030.9%8.8%30.2%33.6%31.1%-0.4%-1.4%1.5M-33.4M-37.2K0.1414.55N/AN/A6689322,8423,584
2011-10-20$20.94$17.5031.5%9.0%26.9%34.7%31.5%16.7%-1.7%870.3K-36.7M-35.1K0.4110.97N/AN/A2269223,1103,627
2011-10-21$21.23$17.5032.6%9.3%26.9%36.6%30.4%5.9%-3.4%727.5K-37.9M-33.2K1.3413.89N/AN/A29339422,7923,663
2011-10-24$21.25$17.5033.4%9.6%26.7%38.2%30.6%6.9%-3.6%684.1K-28.5M-31.9K0.0912.28N/AN/A2422118,0253,572
2011-10-25$20.91$17.5033.3%9.5%27.7%37.8%32.0%6.7%-3.0%700.1K-27.5M-31.8K1.0420.47N/AN/A242518,1293,587
2011-10-26$21.02$17.5031.4%9.0%27.5%34.6%31.5%4.6%-2.0%706.8K-27.9M-30.4K0.0319.57N/AN/A2,0366118,1353,587
2011-10-27$21.25$17.5031.5%9.0%23.6%34.8%34.0%5.2%-3.6%764.7K-29.6M-31.6K0.0078.62N/AN/A55019,1613,623
2011-10-28$21.29$17.5016.5%4.7%22.4%8.2%30.9%15.5%10.0%751.8K-30.1M-31.1K0.5026.51N/AN/A201019,1873,478
2011-10-31$20.84$17.5029.2%8.4%22.2%30.7%29.5%9.7%-2.2%810.8K-28.0M-29.3K0.0014.84N/AN/A2,131219,1963,488