CNP Options History — February 2012

In February 2012, CNP traded between $18.52 and $19.49. ATM implied volatility averaged 25.9%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.6% (HV 20d: 16.3%). 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 3 of 20 days. Put/call ratio averaged 0.17.

Notable Days

  • 2012-02-27: Highest Volume — 10,313 contracts
  • 2012-02-10: Largest IV spike — 60.7% change
  • 2012-02-16: Highest IV Rank — 37.9%
  • 2012-02-16: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.83$18.52$19.49$18.68$19.49
Max Pain$17.75$17.50$20.00$20.00$17.50
ATM IV25.9%16.2%31.9%26.4%28.4%
Expected Move7.4%4.6%9.1%7.6%8.1%
HV 20d16.3%11.9%21.5%17.6%21.5%
HV 60d20.1%17.3%21.9%21.6%20.3%
IV Rank27.6%11.0%37.9%28.4%31.9%
IV Percentile61.3%8.3%90.5%63.9%75.0%
Term Structure-4.0%-13.8%1.2%-13.7%-6.2%
VWIV27.8%19.7%38.5%38.5%28.4%
Skew 25d3.4%-3.1%11.7%-3.1%-2.6%
Skew 10d9.6%-5.7%58.6%6.4%-1.3%
Call IV 25d24.3%16.6%31.2%16.6%26.3%
Put IV 25d27.7%13.5%35.1%13.5%23.7%
Bid-Ask Spread %36.5912.24103.4213.3439.17
Gamma HHI0.490.460.550.470.55
Net GEX1.2M657.5K2.0M657.5K2.0M
Net DEX-21.8M-41.5M-10.2M-10.2M-41.5M
Net VEX-73.9K-98.1K-31.1K-31.1K-97.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.320.000.06
Total Volume2,587.113910,3134,4566,751
Total OI28,631.916,33339,00016,33339,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$18.68$20.0026.4%7.6%17.6%28.4%0.0%-3.1%-13.7%657.5K-10.2M-31.1K0.0013.34N/AN/A4,4421414,1442,189
2012-02-02$18.58$20.0026.9%7.7%17.6%29.3%38.5%-2.3%-13.8%846.2K-13.3M-47.4K0.0312.24N/AN/A1,1893518,2172,187
2012-02-03$18.88$17.5016.6%5.6%18.8%11.7%26.1%6.7%0.2%892.4K-16.2M-52.0K0.0127.59N/AN/A2,9172118,9602,207
2012-02-06$18.77$17.5019.3%5.0%18.4%16.4%25.1%5.5%-0.1%991.0K-17.8M-59.6K0.3717.45N/AN/A32312021,0622,217
2012-02-07$18.87$17.5020.5%5.7%18.3%18.4%27.3%6.0%-1.3%987.6K-18.8M-62.0K0.2225.72N/AN/A1,08824021,3342,328
2012-02-08$18.89$17.5020.5%4.9%18.2%18.4%19.7%6.2%-0.6%1.0M-19.3M-65.7K0.0923.42N/AN/A1,78516622,3282,538
2012-02-09$18.84$17.5016.2%4.6%17.8%11.0%26.0%5.4%0.9%1.1M-20.6M-72.4K0.0418.43N/AN/A4522023,8512,704
2012-02-10$18.91$17.5026.0%7.5%17.7%27.8%25.4%4.9%-4.6%1.1M-21.2M-74.6K0.0534.39N/AN/A2,95214924,2612,724
2012-02-13$18.86$17.5023.9%6.9%17.6%24.2%25.3%2.7%-3.3%1.3M-21.9M-75.7K0.1426.93N/AN/A4586626,4142,872
2012-02-14$18.63$17.5030.5%8.7%18.1%35.4%30.9%2.5%-2.0%1.0M-19.1M-72.7K1.3221.42N/AN/A7821,03525,9102,902
2012-02-15$18.84$17.5031.5%9.0%18.3%37.2%31.6%3.7%-5.8%977.5K-20.4M-78.0K0.0134.93N/AN/A4,8285926,2023,886
2012-02-16$18.85$17.5031.9%9.1%15.3%37.9%31.5%5.9%-5.2%1.2M-23.4M-85.2K0.1963.37N/AN/A96418029,7313,867
2012-02-17$18.98$17.5029.8%8.6%13.7%34.3%30.2%2.0%-5.3%1.2M-23.7M-85.0K0.5522.21N/AN/A2,2091,21229,9664,012
2012-02-21$18.95$17.5026.7%7.7%13.6%29.0%28.5%4.8%-2.8%1.3M-24.0M-81.2K0.1222.00N/AN/A5366526,4272,798
2012-02-22$18.79$17.5027.6%7.9%13.6%30.5%28.6%5.1%-3.7%1.3M-23.2M-80.9K0.05103.42N/AN/A3,33015626,7712,826
2012-02-23$18.83$17.5025.6%7.3%13.3%27.1%23.2%1.9%-5.9%1.5M-24.1M-87.8K0.0530.89N/AN/A8223829,1972,982
2012-02-24$18.80$17.5029.8%8.6%12.4%34.3%23.6%11.7%1.2%1.5M-25.7M-86.4K0.0495.65N/AN/A134529,7582,989
2012-02-27$18.62$17.5028.8%8.3%11.9%32.6%27.6%1.1%-2.6%1.5M-23.0M-84.4K0.0153.36N/AN/A10,17214129,8432,989
2012-02-28$18.52$17.5031.5%9.0%11.9%37.1%31.1%-0.0%-5.3%1.7M-29.5M-98.1K0.0345.80N/AN/A1,8394734,9373,108
2012-02-29$19.49$17.5028.4%8.1%21.5%31.9%28.4%-2.6%-6.2%2.0M-41.5M-97.9K0.0639.17N/AN/A6,34840335,8603,140