CNP Options History — May 2012

In May 2012, CNP traded between $19.62 and $20.42. ATM implied volatility averaged 21.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.0% (HV 20d: 18.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2012-05-11: Highest Volume — 6,786 contracts
  • 2012-05-03: Largest IV drop — 34.7% change
  • 2012-05-01: Highest IV Rank — 35.7%
  • 2012-05-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.00$19.62$20.42$20.42$20.23
Max Pain$19.66$17.50$20.00$17.50$20.00
ATM IV21.0%17.5%30.6%30.6%20.8%
Expected Move6.0%5.0%8.8%8.8%6.0%
HV 20d18.0%14.7%19.3%14.7%17.5%
HV 60d18.0%16.1%19.3%17.2%16.1%
IV Rank19.3%13.3%35.7%35.7%19.0%
IV Percentile34.4%12.3%86.9%86.9%37.3%
Term Structure0.2%-6.4%2.7%-6.4%0.1%
VWIV21.0%18.3%31.7%31.7%20.8%
Skew 25d17.4%-2.6%74.6%14.4%63.9%
Skew 10d31.4%-8.3%132.4%24.3%132.4%
Call IV 25d19.7%17.0%26.4%23.1%20.8%
Put IV 25d37.1%17.7%95.0%37.5%84.8%
Bid-Ask Spread %31.217.2187.088.9013.50
Gamma HHI0.840.660.940.870.69
Net GEX3.4M909.3K6.7M2.7M1.6M
Net DEX-33.4M-44.9M-21.8M-44.9M-33.2M
Net VEX-93.2K-103.6K-80.1K-98.9K-95.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0013.450.912.25
Total Volume1,556.227526,786737104
Total OI40,738.86428,02946,98243,78336,150

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$20.42$17.5030.6%8.8%14.7%35.7%31.7%14.4%-6.4%2.7M-44.9M-98.9K0.918.90N/AN/A38535236,2437,540
2012-05-02$20.05$17.5028.0%8.0%16.3%31.2%28.0%-0.5%-3.9%3.1M-38.6M-99.2K0.4323.36N/AN/A33914636,2357,617
2012-05-03$19.72$17.5018.3%5.2%17.0%14.6%18.3%-1.1%-0.1%3.7M-27.6M-91.5K0.0786.40N/AN/A3,30024335,1667,656
2012-05-04$20.05$20.0019.7%5.6%17.9%17.0%19.5%0.4%0.7%4.5M-38.3M-96.3K0.018.78N/AN/A4,8374037,6407,850
2012-05-07$19.89$20.0021.9%5.7%18.0%20.7%20.0%-0.7%0.5%4.2M-35.4M-103.6K0.088.75N/AN/A3182639,0257,882
2012-05-08$19.89$20.0019.7%5.8%16.4%17.0%20.1%-1.1%-0.0%4.5M-33.6M-102.0K0.308.15N/AN/A401238,5947,908
2012-05-09$19.77$20.0020.9%5.6%16.6%19.0%19.5%-1.4%1.3%4.2M-30.9M-98.6K0.039.95N/AN/A8442538,5827,920
2012-05-10$20.25$20.0019.6%5.6%18.2%16.8%18.6%55.1%1.6%4.8M-44.7M-98.3K0.167.22N/AN/A86414039,0577,925
2012-05-11$20.24$20.0019.9%5.7%18.1%17.3%19.8%1.2%1.6%5.6M-43.7M-95.7K0.047.79N/AN/A6,53525138,3547,874
2012-05-14$20.08$20.0019.1%5.5%18.3%16.1%19.1%58.3%2.7%5.1M-42.5M-95.4K0.107.21N/AN/A3,84436837,7618,010
2012-05-15$19.83$20.0020.9%6.0%18.9%19.1%20.9%-0.3%0.6%5.2M-35.2M-95.9K0.0117.45N/AN/A285437,8728,318
2012-05-16$20.02$20.0022.0%6.3%18.8%21.0%22.0%1.5%0.4%6.5M-41.8M-94.5K13.4512.21N/AN/A3141737,8798,320
2012-05-17$19.83$20.0022.9%6.6%19.2%22.4%22.7%-0.0%0.4%6.7M-32.1M-91.3K5.1658.45N/AN/A4422737,7308,708
2012-05-18$19.62$20.0021.2%6.1%19.3%19.6%21.2%-2.6%1.2%3.7M-21.8M-85.9K1.6930.13N/AN/A18030437,6308,871
2012-05-21$19.86$20.0021.5%6.2%19.1%20.1%21.5%0.0%-1.2%909.3K-22.8M-81.0K0.3472.86N/AN/A61021020,9777,052
2012-05-22$19.98$20.0020.3%5.8%18.7%18.0%20.3%74.6%-0.2%957.4K-24.2M-80.1K0.6237.53N/AN/A39824521,5017,260
2012-05-23$19.87$20.0019.4%5.6%18.6%16.6%19.5%-2.2%1.2%974.1K-23.4M-83.1K0.0670.26N/AN/A4232421,7817,465
2012-05-24$20.03$20.0018.6%5.3%18.6%15.2%18.6%-0.1%1.0%1.1M-25.6M-81.1K0.0187.08N/AN/A3,5613022,2037,487
2012-05-25$20.18$20.0020.0%5.7%18.5%17.6%20.0%61.6%0.8%1.3M-30.4M-93.5K0.0013.22N/AN/A3,161025,6237,517
2012-05-29$20.24$20.0017.5%5.0%18.3%13.3%0.0%60.1%1.8%1.6M-33.0M-93.6K0.0258.80N/AN/A329528,0257,517
2012-05-30$20.02$20.0019.4%5.6%18.3%16.5%19.4%1.6%1.3%1.5M-30.2M-95.9K0.0338.71N/AN/A7181828,0087,522
2012-05-31$20.23$20.0020.8%6.0%17.5%19.0%20.8%63.9%0.1%1.6M-33.2M-95.4K2.2513.50N/AN/A327228,6207,530