CNP Options History — November 2011

In November 2011, CNP traded between $18.59 and $20.35. ATM implied volatility averaged 25.7%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.5% (HV 20d: 23.2%). 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 16 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2011-11-11: Highest Volume — 103,876 contracts
  • 2011-11-28: Largest IV drop — 36.1% change
  • 2011-11-25: Highest IV Rank — 35.3%
  • 2011-11-25: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.55$18.59$20.35$20.23$19.90
Max Pain$19.64$17.50$20.00$17.50$20.00
ATM IV25.7%20.3%31.8%30.5%20.8%
Expected Move7.3%5.8%9.1%8.7%6.0%
HV 20d23.2%19.6%25.8%24.4%25.8%
HV 60d27.3%26.2%32.3%32.3%27.3%
IV Rank24.5%14.8%35.3%32.9%15.8%
IV Percentile60.2%25.0%88.9%85.3%31.7%
Term Structure0.7%-2.2%2.7%-2.2%1.6%
VWIV25.9%20.0%32.1%29.8%20.9%
Skew 25d7.7%-5.8%31.6%2.8%31.6%
Skew 10d13.1%-5.2%47.9%4.2%47.9%
Call IV 25d22.4%17.4%27.5%24.6%20.1%
Put IV 25d30.1%18.2%51.7%27.4%51.7%
Bid-Ask Spread %37.8817.3983.0431.7678.68
Gamma HHI0.740.500.900.520.86
Net GEX869.6K338.8K1.3M816.3K786.3K
Net DEX-16.4M-28.1M-2.3M-23.8M-5.7M
Net VEX-26.9K-36.0K-19.6K-29.9K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.001.461.460.14
Total Volume5,567.90560103,876172258
Total OI20,6669,95327,67022,37110,296

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$20.23$17.5030.5%8.7%24.4%32.9%29.8%2.8%-2.2%816.3K-23.8M-29.9K1.4631.76N/AN/A7010218,8823,489
2011-11-02$20.08$17.5028.8%8.3%24.5%29.9%29.2%0.6%-0.7%1.1M-24.7M-32.0K0.0862.21N/AN/A2,17817020,8423,572
2011-11-03$20.30$17.5027.9%8.0%23.6%28.3%27.9%3.2%-0.6%942.0K-25.7M-31.6K0.0860.92N/AN/A1221020,7453,634
2011-11-04$20.31$20.0027.3%7.5%23.3%27.2%26.2%13.7%0.6%960.6K-25.9M-31.8K0.0418.59N/AN/A2,2488520,6983,644
2011-11-07$20.35$20.0028.5%7.5%21.0%29.5%31.6%13.3%0.6%1.1M-28.1M-33.3K1.2124.47N/AN/A344122,3453,709
2011-11-08$20.17$20.0025.1%7.0%19.6%23.3%24.4%10.4%1.1%1.2M-26.7M-32.2K0.0721.72N/AN/A1951322,3633,739
2011-11-09$19.58$20.0027.6%7.5%22.2%27.7%26.5%10.9%1.3%1.1M-22.3M-30.6K0.2418.29N/AN/A3127622,5233,742
2011-11-10$19.55$20.0025.2%7.2%21.8%23.6%25.1%10.6%1.4%1.1M-21.0M-36.0K0.8717.39N/AN/A11610122,6953,806
2011-11-11$19.80$20.0024.3%7.0%21.7%21.9%25.1%11.2%2.3%1.2M-23.5M-29.2K0.0019.51N/AN/A103,66021622,6683,770
2011-11-14$19.25$20.0025.9%7.4%23.4%24.7%32.1%8.1%0.2%1.1M-19.6M-30.7K1.3141.32N/AN/A9221,21222,3763,878
2011-11-15$19.60$20.0025.1%7.2%24.1%23.4%25.1%7.2%1.1%1.3M-22.0M-27.2K0.0873.32N/AN/A2,06516022,3764,833
2011-11-16$19.27$20.0025.0%7.2%24.6%23.3%25.1%7.9%0.8%1.0M-20.0M-25.8K0.3322.83N/AN/A56018622,3664,985
2011-11-17$19.36$20.0023.9%6.8%24.1%21.2%23.9%8.4%2.7%1.1M-20.6M-25.2K0.0319.99N/AN/A156422,5355,079
2011-11-18$19.36$20.0023.8%6.8%23.2%21.1%25.5%6.0%1.0%829.5K-19.1M-23.3K0.5727.41N/AN/A50428622,5875,083
2011-11-21$19.01$20.0023.1%6.6%23.6%19.9%23.6%8.9%1.6%417.5K-3.2M-21.9K0.3419.76N/AN/A120418,5921,361
2011-11-22$18.90$20.0023.8%6.8%23.2%21.2%24.1%6.1%0.4%399.1K-2.8M-21.5K0.0376.00N/AN/A15958,6841,400
2011-11-23$18.68$20.0031.3%9.0%23.0%34.3%27.3%2.8%0.3%350.8K-2.5M-20.5K0.2523.16N/AN/A215538,6911,405
2011-11-25$18.59$20.0031.8%9.1%22.2%35.3%26.5%4.3%-0.0%338.8K-2.3M-19.6K0.7131.54N/AN/A35258,7551,458
2011-11-28$18.97$20.0020.4%5.8%24.0%15.0%24.4%-5.8%-0.8%423.4K-2.5M-19.6K0.0083.04N/AN/A9808,7211,452
2011-11-29$19.22$20.0020.3%5.8%24.1%14.8%20.0%0.3%2.7%552.1K-2.9M-19.8K0.3523.52N/AN/A84298,7551,452
2011-11-30$19.90$20.0020.8%6.0%25.8%15.8%20.9%31.6%1.6%786.3K-5.7M-23.1K0.1478.68N/AN/A227318,8391,457