CNP Options History — March 2012

In March 2012, CNP traded between $18.94 and $19.72. ATM implied volatility averaged 20.9%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.1% (HV 20d: 21.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2012-03-26: Highest Volume — 6,449 contracts
  • 2012-03-08: Largest IV drop — 23.4% change
  • 2012-03-07: Highest IV Rank — 35.1%
  • 2012-03-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$18.94$19.72$19.36$19.72
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV20.9%14.9%30.3%28.7%17.3%
Expected Move5.8%4.3%8.2%8.2%4.9%
HV 20d21.1%14.5%22.7%21.5%16.0%
HV 60d18.8%17.7%20.4%20.3%18.6%
IV Rank19.1%8.9%35.1%32.4%12.9%
IV Percentile31.6%4.4%85.3%76.2%13.1%
Term Structure1.8%-7.3%4.9%-7.3%4.8%
VWIV20.7%16.6%28.1%28.1%17.3%
Skew 25d5.0%-8.2%89.4%-8.2%89.4%
Skew 10d6.4%-11.5%121.9%-11.5%121.9%
Call IV 25d20.3%17.8%29.0%29.0%19.2%
Put IV 25d25.3%14.2%108.7%20.8%108.7%
Bid-Ask Spread %18.389.5750.7812.4411.99
Gamma HHI0.640.550.790.580.79
Net GEX2.2M1.6M3.2M2.4M2.2M
Net DEX-36.3M-43.9M-25.5M-41.5M-37.9M
Net VEX-96.8K-108.4K-85.5K-108.4K-106.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.002.190.130.00
Total Volume1,399.7271056,449449422
Total OI41,512.13633,54948,14743,27441,128

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$19.36$17.5028.7%8.2%21.5%32.4%28.1%-8.2%-7.3%2.4M-41.5M-108.4K0.1312.44N/AN/A3995039,7983,476
2012-03-02$19.53$17.5026.3%7.5%21.5%28.2%26.2%-5.7%-4.6%2.5M-43.9M-107.8K0.189.57N/AN/A1663039,9013,516
2012-03-05$19.31$17.5027.8%5.8%21.4%30.8%20.4%3.2%4.4%2.4M-40.6M-103.3K0.0041.79N/AN/A5,214039,9593,543
2012-03-06$19.16$17.5026.8%5.9%21.5%29.1%20.5%2.0%2.9%2.5M-39.6M-105.1K0.0018.92N/AN/A1,108442,2453,543
2012-03-07$19.29$17.5030.3%6.7%21.5%35.1%23.3%2.1%0.9%2.6M-42.3M-107.0K0.0115.24N/AN/A1,3561642,6373,543
2012-03-08$19.42$17.5023.2%6.3%21.6%23.0%21.4%3.6%1.6%2.8M-43.9M-106.8K0.0016.64N/AN/A1,806543,5523,537
2012-03-09$19.26$17.5019.5%6.3%21.8%16.6%23.0%2.6%0.6%2.7M-41.6M-106.0K0.3017.94N/AN/A2808344,1983,542
2012-03-12$19.37$17.5018.2%6.3%21.9%14.4%24.3%3.4%0.1%2.7M-41.4M-100.3K0.5416.96N/AN/A1146144,3073,589
2012-03-13$19.47$17.5020.3%6.3%21.9%18.0%21.9%2.4%1.4%3.2M-42.8M-99.7K0.0015.99N/AN/A105044,3383,562
2012-03-14$19.14$17.5023.9%5.6%22.4%24.2%19.7%4.0%2.3%2.1M-38.4M-93.4K0.0024.41N/AN/A254044,3903,562
2012-03-15$19.22$17.5019.7%5.6%22.1%17.0%20.0%3.0%1.7%2.1M-38.9M-93.7K0.1313.51N/AN/A1501944,4713,562
2012-03-16$19.07$17.5020.3%5.8%22.3%18.0%24.7%3.5%0.7%1.6M-37.2M-91.7K2.1921.75N/AN/A40388344,5893,558
2012-03-19$18.94$17.5018.5%5.3%22.3%14.9%18.7%3.7%1.3%1.6M-25.5M-87.6K0.7415.73N/AN/A27920730,2343,315
2012-03-20$19.15$17.5017.9%5.1%22.7%14.0%18.1%4.9%2.3%1.7M-27.8M-87.1K0.2711.58N/AN/A1484030,4843,400
2012-03-21$19.13$17.5014.9%4.3%22.4%8.9%17.9%4.2%3.0%1.7M-28.2M-87.0K0.0412.89N/AN/A5362130,4933,420
2012-03-22$19.30$17.5018.1%5.2%22.6%14.2%18.0%-2.2%3.7%1.8M-30.2M-88.7K0.2914.39N/AN/A2778030,9543,418
2012-03-23$19.31$17.5017.9%5.1%22.6%13.9%16.6%-3.8%3.7%1.8M-29.9M-88.5K0.0315.91N/AN/A3,0498131,0143,449
2012-03-26$19.49$17.5019.0%5.5%22.3%15.9%19.0%-2.0%3.5%1.8M-32.1M-86.9K0.0050.78N/AN/A6,449030,7223,487
2012-03-27$19.54$17.5016.9%4.8%22.2%12.2%17.1%0.8%3.7%2.0M-33.8M-87.5K0.0818.10N/AN/A4774031,9693,487
2012-03-28$19.17$17.5016.7%4.8%14.5%11.8%0.0%-1.8%3.9%1.7M-29.5M-85.5K0.9416.91N/AN/A2,6482,50231,7513,488
2012-03-29$19.35$17.5018.6%5.3%14.8%15.1%18.5%0.7%4.9%1.9M-31.5M-101.8K0.0210.84N/AN/A1,0102234,2135,923
2012-03-30$19.72$17.5017.3%4.9%16.0%12.9%17.3%89.4%4.8%2.2M-37.9M-106.7K0.0011.99N/AN/A422035,2035,925