CNP Options History — January 2012

In January 2012, CNP traded between $18.23 and $19.89. ATM implied volatility averaged 17.8%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.3% (HV 20d: 18.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2012-01-27: Highest Volume — 7,181 contracts
  • 2012-01-23: Largest IV spike — 109.3% change
  • 2012-01-30: Highest IV Rank — 30.3%
  • 2012-01-30: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.04$18.23$19.89$19.89$18.47
Max Pain$19.63$17.50$20.00$17.50$20.00
ATM IV17.8%9.7%27.5%16.8%24.6%
Expected Move5.4%2.9%7.9%4.8%7.0%
HV 20d18.2%15.3%21.9%21.7%16.9%
HV 60d22.3%21.6%23.3%23.3%21.6%
IV Rank12.9%0.0%30.3%8.6%25.3%
IV Percentile22.5%0.0%70.2%8.7%55.6%
Term Structure0.6%-14.7%11.3%2.7%0.3%
VWIV19.7%10.6%27.4%16.8%24.4%
Skew 25d7.0%-13.5%102.2%4.5%8.1%
Skew 10d13.3%-3.4%141.3%6.6%12.3%
Call IV 25d17.9%11.0%24.8%17.5%16.2%
Put IV 25d24.9%11.3%120.5%22.0%24.3%
Bid-Ask Spread %17.176.7582.6312.5216.19
Gamma HHI0.650.510.790.740.52
Net GEX337.4K151.1K652.8K440.3K652.8K
Net DEX-2.4M-8.9M-147.5K-3.5M-8.9M
Net VEX-16.4K-28.9K-11.3K-17.6K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.004.620.000.19
Total Volume717.55257,1811351,075
Total OI9,192.857,51116,2017,72416,201

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$19.89$17.5016.8%4.8%21.7%8.6%16.8%4.5%2.7%440.3K-3.5M-17.6K0.0012.52N/AN/A13505,7222,002
2012-01-04$19.79$17.5015.8%4.5%21.6%6.9%0.0%102.2%3.1%456.4K-3.2M-17.1K0.0014.95N/AN/A27005,8242,002
2012-01-05$19.80$17.5015.7%4.5%21.5%6.7%15.7%2.9%5.5%432.0K-3.1M-18.0K0.0916.24N/AN/A110106,0942,002
2012-01-06$19.54$20.0014.2%5.4%21.9%4.0%21.2%-5.8%-1.0%370.3K-2.3M-15.7K0.3921.62N/AN/A1876,0632,002
2012-01-09$19.70$20.0013.2%5.4%21.0%2.3%19.0%-0.4%2.4%461.8K-2.8M-16.6K0.0911.08N/AN/A152136,0732,004
2012-01-10$19.55$20.009.7%4.1%19.7%0.0%16.1%7.5%3.8%508.0K-2.6M-15.7K0.0924.15N/AN/A269256,1992,007
2012-01-11$19.32$20.0012.1%5.2%18.9%4.0%18.4%-4.0%2.3%391.7K-1.9M-15.5K0.178.02N/AN/A404706,4681,992
2012-01-12$19.16$20.0014.0%4.0%18.6%7.3%0.0%6.7%5.0%308.6K-1.8M-15.7K1.1519.37N/AN/A20236,6692,059
2012-01-13$19.09$20.0014.5%4.2%16.6%8.2%17.7%5.9%2.1%282.6K-1.8M-15.5K2.3716.80N/AN/A38906,6892,059
2012-01-17$19.13$20.0010.1%2.9%15.3%0.6%10.6%1.2%11.3%271.7K-1.9M-15.9K0.319.94N/AN/A90286,6802,122
2012-01-18$18.94$20.0015.1%4.3%15.5%9.2%22.3%1.5%0.6%246.3K-1.4M-15.2K4.6214.87N/AN/A924256,6902,131
2012-01-19$18.43$20.0025.3%7.3%18.1%26.6%23.7%0.8%1.5%151.1K-437.1K-12.2K0.3513.36N/AN/A243856,6742,134
2012-01-20$18.81$20.0011.1%3.2%17.9%2.3%17.6%8.5%9.4%195.0K-742.5K-13.3K0.4082.63N/AN/A167666,4932,162
2012-01-23$18.74$20.0023.3%6.7%17.1%23.1%24.3%-13.5%-10.0%184.3K-907.1K-13.4K0.196.75N/AN/A288555,9031,608
2012-01-24$18.58$20.0024.2%6.9%16.7%24.7%24.7%-0.9%-1.3%175.7K-304.3K-11.3K0.079.67N/AN/A1,6241186,1621,656
2012-01-25$18.72$20.0023.9%6.9%15.8%24.3%18.9%0.7%-14.7%245.8K-1.1M-14.7K0.367.78N/AN/A3641307,1231,740
2012-01-26$18.48$20.0020.2%5.8%15.8%17.9%11.3%-3.9%-12.0%211.3K-542.2K-14.0K0.208.51N/AN/A176357,4281,812
2012-01-27$18.23$20.0024.8%7.1%16.1%25.7%24.7%7.9%2.2%155.6K-147.5K-13.3K0.069.70N/AN/A6,7794027,5641,835
2012-01-30$18.34$20.0027.5%7.9%16.3%30.3%27.4%9.5%-1.2%607.2K-7.7M-28.9K0.1719.25N/AN/A3906513,7472,062
2012-01-31$18.47$20.0024.6%7.0%16.9%25.3%24.4%8.1%0.3%652.8K-8.9M-27.8K0.1916.19N/AN/A90217314,1052,096