CNP Options History — April 2012

In April 2012, CNP traded between $19.06 and $20.21. ATM implied volatility averaged 23.7%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.9% (HV 20d: 15.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2012-04-24: Highest Volume — 4,804 contracts
  • 2012-04-12: Largest IV spike — 74.6% change
  • 2012-04-30: Highest IV Rank — 32.1%
  • 2012-04-30: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.52$19.06$20.21$19.87$20.21
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV23.7%16.3%28.5%20.3%28.5%
Expected Move7.1%5.6%8.2%5.8%8.2%
HV 20d15.9%14.5%17.2%15.5%14.5%
HV 60d17.9%17.3%18.7%18.6%17.3%
IV Rank23.9%11.3%32.1%18.1%32.1%
IV Percentile47.8%8.3%75.8%30.6%75.8%
Term Structure-1.3%-5.3%6.5%4.6%-4.2%
VWIV24.6%19.7%28.5%20.4%28.5%
Skew 25d10.4%-7.1%93.2%92.5%0.9%
Skew 10d16.8%-9.2%137.6%137.6%1.0%
Call IV 25d23.6%21.1%26.7%22.1%25.2%
Put IV 25d34.0%16.1%115.2%114.5%26.0%
Bid-Ask Spread %23.1810.7785.9885.9810.77
Gamma HHI0.820.680.890.770.89
Net GEX2.3M1.9M3.0M2.0M3.0M
Net DEX-34.2M-41.5M-20.8M-40.7M-41.5M
Net VEX-106.1K-117.3K-95.4K-107.0K-99.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.000.980.020.01
Total Volume1,220.15204,8042,258652
Total OI44,869.838,79649,60841,15243,999

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$19.87$17.5020.3%5.8%15.5%18.1%20.4%92.5%4.6%2.0M-40.7M-107.0K0.0285.98N/AN/A2,2085035,2275,925
2012-04-03$19.82$17.5019.8%5.7%15.2%17.2%19.8%93.2%5.7%2.2M-40.5M-108.3K0.0411.31N/AN/A5542036,3125,918
2012-04-04$19.63$17.5020.3%5.8%15.6%18.0%20.3%1.1%5.1%2.1M-38.5M-107.2K0.2911.86N/AN/A3209236,6515,938
2012-04-05$19.55$17.5019.7%5.6%15.5%17.0%19.7%2.2%6.5%2.1M-36.9M-108.4K0.0212.02N/AN/A2,0963536,6725,938
2012-04-09$19.42$17.5022.6%7.7%15.4%21.9%26.9%1.9%-3.8%2.2M-36.8M-107.1K0.0041.57N/AN/A137038,4865,966
2012-04-10$19.06$17.5024.3%7.9%16.7%24.8%26.9%1.1%-2.9%2.0M-32.0M-106.2K0.9415.56N/AN/A1,0681,00038,6925,966
2012-04-11$19.07$17.5016.3%7.6%16.6%11.3%25.8%2.4%-1.7%1.9M-31.8M-107.6K0.6317.21N/AN/A161039,7036,966
2012-04-12$19.26$17.5028.5%8.2%15.9%32.1%27.8%2.2%-5.3%2.1M-33.8M-110.6K0.9814.80N/AN/A1,5251,50039,7136,976
2012-04-13$19.17$17.5028.1%8.1%15.9%31.4%27.2%2.3%-5.0%2.1M-33.6M-117.3K0.0015.60N/AN/A36041,0128,476
2012-04-16$19.32$17.5027.9%8.0%15.8%31.0%28.0%0.6%-4.7%2.1M-33.4M-111.1K0.2419.24N/AN/A1243041,0388,476
2012-04-17$19.48$17.5024.5%7.0%15.8%25.2%24.5%3.8%-2.1%2.6M-35.6M-110.3K0.0218.36N/AN/A2,1543341,1028,506
2012-04-18$19.32$17.5024.7%7.1%15.7%25.5%25.3%1.1%-3.1%2.1M-33.0M-105.3K0.7312.09N/AN/A624539,7468,534
2012-04-19$19.33$17.5023.2%6.6%15.7%23.0%0.0%-7.1%-1.8%2.2M-31.3M-101.7K0.0013.11N/AN/A20039,7728,568
2012-04-20$19.53$17.5022.4%6.4%15.8%21.6%22.4%4.3%-1.0%2.6M-35.0M-100.2K0.3413.18N/AN/A802739,7728,568
2012-04-23$19.28$17.5021.9%6.3%16.5%20.7%22.2%3.3%-2.7%1.9M-20.8M-95.4K0.0112.78N/AN/A2,1121131,3077,489
2012-04-24$19.53$17.5025.0%7.2%16.9%26.1%25.1%4.6%-1.9%2.1M-26.2M-101.9K0.0027.27N/AN/A4,799533,1857,490
2012-04-25$19.72$17.5024.9%7.1%17.2%25.9%24.4%-2.7%-2.4%2.8M-31.8M-107.7K0.4610.90N/AN/A31614435,8797,490
2012-04-26$19.85$17.5025.4%7.3%15.6%26.8%25.4%-0.1%-2.0%2.8M-34.3M-106.4K0.0226.21N/AN/A7971535,6637,535
2012-04-27$20.05$17.5026.5%7.6%15.7%28.7%26.5%0.6%-3.0%2.8M-37.5M-103.1K0.0073.74N/AN/A2,2991135,2157,525
2012-04-30$20.21$17.5028.5%8.2%14.5%32.1%28.5%0.9%-4.2%3.0M-41.5M-99.2K0.0110.77N/AN/A645736,4667,533