CNP Options History — December 2011

In December 2011, CNP traded between $18.76 and $20.31. ATM implied volatility averaged 18.4%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 6.6% (HV 20d: 25.0%). 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 0.46.

Notable Days

  • 2011-12-22: Highest Volume — 494 contracts
  • 2011-12-14: Largest IV spike — 43.5% change
  • 2011-12-14: Highest IV Rank — 30.2%
  • 2011-12-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.67$18.76$20.31$19.80$20.09
Max Pain$17.74$17.50$20.00$20.00$17.50
ATM IV18.4%14.5%28.9%18.9%16.4%
Expected Move5.4%4.6%6.4%5.4%4.7%
HV 20d25.0%21.6%26.2%25.8%21.6%
HV 60d25.9%23.6%27.6%27.0%23.6%
IV Rank11.5%4.5%30.2%12.4%7.9%
IV Percentile16.9%2.4%79.4%18.3%5.6%
Term Structure2.3%0.1%4.6%2.4%3.7%
VWIV19.0%15.9%23.4%18.9%22.3%
Skew 25d10.2%-3.2%50.9%4.3%1.5%
Skew 10d19.9%-4.7%105.5%6.0%2.5%
Call IV 25d18.2%14.8%21.9%19.4%15.9%
Put IV 25d28.3%15.6%68.3%23.7%17.4%
Bid-Ask Spread %21.0910.2171.4816.2610.55
Gamma HHI0.780.660.920.880.70
Net GEX587.3K210.3K1.4M882.5K428.6K
Net DEX-3.6M-5.7M-1.2M-5.5M-4.1M
Net VEX-18.5K-22.9K-13.8K-22.9K-18.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.001.950.000.38
Total Volume174.6677494122110
Total OI9,190.6196,01811,13210,5127,623

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$19.80$20.0018.9%5.4%25.8%12.4%18.9%4.3%2.4%882.5K-5.5M-22.9K0.0016.26N/AN/A12209,0561,456
2011-12-02$19.63$20.0019.8%5.7%25.5%13.9%19.7%4.0%1.4%828.3K-4.9M-22.3K1.2121.37N/AN/A67819,1331,456
2011-12-05$19.79$17.5017.6%5.8%25.8%10.1%20.9%7.5%3.0%1.0M-5.2M-21.8K0.5418.43N/AN/A142779,1771,465
2011-12-06$19.68$17.5019.8%6.0%25.8%14.0%20.9%7.1%1.6%946.8K-5.0M-21.7K0.0016.25N/AN/A3709,2891,495
2011-12-07$19.80$17.5021.1%6.1%25.8%16.2%0.0%7.9%1.5%994.4K-5.7M-22.2K0.0616.62N/AN/A398229,3261,495
2011-12-08$19.42$17.5020.3%6.4%24.5%14.8%0.0%7.6%1.2%778.1K-3.9M-20.6K1.1816.82N/AN/A17209,5021,505
2011-12-09$19.83$17.5014.5%6.0%25.6%4.5%0.0%8.3%1.8%1.4M-5.3M-21.5K0.0818.10N/AN/A118109,4121,515
2011-12-12$19.44$17.5017.7%6.1%26.2%10.2%21.3%-3.2%1.4%743.5K-2.8M-18.3K0.1712.47N/AN/A89159,5301,505
2011-12-13$19.20$17.5020.2%5.8%24.6%14.6%20.4%6.7%1.7%440.9K-2.1M-16.6K0.1940.03N/AN/A62129,5511,520
2011-12-14$18.76$17.5028.9%6.1%24.9%30.2%23.4%5.5%0.1%228.0K-1.2M-14.3K1.4014.94N/AN/A53749,5851,520
2011-12-15$19.10$17.5018.6%5.3%25.2%11.8%19.2%6.7%2.3%395.6K-1.8M-15.6K0.0021.42N/AN/A709,5681,564
2011-12-16$19.22$17.5017.5%5.0%25.3%9.9%17.5%6.0%2.5%467.1K-1.8M-15.2K0.2323.97N/AN/A150359,5751,555
2011-12-19$19.10$17.5016.8%4.8%25.3%8.6%16.7%5.8%4.6%210.3K-1.5M-13.8K0.4622.96N/AN/A87404,7401,278
2011-12-20$19.52$17.5015.9%4.6%25.6%7.0%15.9%-1.5%3.2%270.3K-2.2M-14.9K0.6438.75N/AN/A81524,7521,300
2011-12-21$19.76$17.5016.7%4.8%25.8%8.5%16.8%-0.1%2.8%308.7K-2.6M-15.6K1.9510.21N/AN/A1392714,8061,316
2011-12-22$19.92$17.5016.9%4.8%25.3%8.8%16.9%0.8%3.2%333.8K-3.2M-17.1K0.0413.16N/AN/A474204,9241,851
2011-12-23$20.22$17.5016.8%4.8%25.4%8.6%16.8%50.9%3.2%381.9K-4.0M-18.4K1.0511.40N/AN/A1901995,2821,871
2011-12-27$20.31$17.5016.8%4.8%24.7%8.6%16.8%45.1%2.5%411.0K-4.4M-18.5K0.0016.78N/AN/A24505,4371,965
2011-12-28$20.17$17.5017.8%5.1%24.7%10.3%17.8%-1.8%2.3%409.7K-4.2M-19.1K0.1571.48N/AN/A108165,5331,965
2011-12-29$20.23$17.5017.4%5.0%21.6%9.7%0.0%44.5%2.3%426.4K-4.5M-19.2K0.0011.00N/AN/A2805,6241,981
2011-12-30$20.09$17.5016.4%4.7%21.6%7.9%22.3%1.5%3.7%428.6K-4.1M-18.8K0.3810.55N/AN/A80305,6421,981