CNP Options History — June 2012

In June 2012, CNP traded between $19.78 and $20.71. ATM implied volatility averaged 17.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.0% (HV 20d: 14.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2012-06-15: Highest Volume — 3,617 contracts
2012-06-11: Largest IV spike — 72.8% change
2012-06-15: Highest IV Rank — 18.8%
2012-06-04: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.34	$19.78	$20.71	$19.97	$20.67
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	17.7%	10.5%	20.8%	20.0%	13.8%
Expected Move	5.4%	3.9%	6.2%	5.7%	3.9%
HV 20d	14.7%	12.8%	17.1%	17.1%	13.0%
HV 60d	16.1%	15.6%	16.6%	16.3%	15.6%
IV Rank	13.6%	1.3%	18.8%	17.5%	6.9%
IV Percentile	19.2%	0.8%	39.3%	29.4%	3.2%
Term Structure	3.1%	1.0%	10.5%	1.1%	8.8%
VWIV	18.9%	11.9%	21.6%	20.0%	11.9%
Skew 25d	6.3%	-1.9%	39.0%	-1.7%	-1.4%
Skew 10d	19.5%	-2.8%	77.8%	-2.8%	46.9%
Call IV 25d	17.8%	14.3%	26.3%	21.7%	17.2%
Put IV 25d	24.1%	15.8%	58.4%	20.0%	15.8%
Bid-Ask Spread %	52.45	10.02	98.32	12.04	46.56
Gamma HHI	0.69	0.60	0.73	0.71	0.69
Net GEX	1.8M	1.4M	2.0M	1.6M	1.9M
Net DEX	-36.3M	-42.0M	-26.5M	-29.5M	-41.5M
Net VEX	-87.5K	-102.2K	-71.4K	-96.1K	-71.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.75	0.54	0.05
Total Volume	502.857	1	3,617	2,045	58
Total OI	38,246.714	36,234	39,201	36,234	37,882

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-06-01	$19.97	$20.00	20.0%	5.7%	17.1%	17.5%	20.0%	-1.7%	1.1%	1.6M	-29.5M	-96.1K	0.54	12.04	N/A	N/A	1,325	720	28,650	7,584
2012-06-04	$19.78	$20.00	20.2%	6.2%	16.3%	17.8%	21.6%	6.4%	1.0%	1.6M	-26.5M	-102.2K	0.19	17.15	N/A	N/A	310	60	29,920	8,229
2012-06-05	$19.93	$20.00	19.8%	5.8%	16.3%	17.1%	20.3%	7.7%	2.1%	1.7M	-29.2M	-98.8K	0.29	17.15	N/A	N/A	14	4	29,996	8,268
2012-06-06	$20.15	$20.00	18.4%	5.6%	16.8%	14.8%	19.5%	2.9%	2.8%	1.8M	-32.4M	-97.9K	0.17	25.68	N/A	N/A	243	42	30,010	8,268
2012-06-07	$20.32	$20.00	18.3%	5.5%	16.8%	14.6%	19.2%	4.2%	2.3%	1.7M	-35.2M	-94.7K	0.03	10.02	N/A	N/A	151	4	30,128	8,263
2012-06-08	$20.40	$20.00	10.5%	5.3%	14.6%	1.3%	0.0%	4.5%	2.9%	1.8M	-37.9M	-89.0K	0.48	11.80	N/A	N/A	64	31	30,122	8,264
2012-06-11	$20.16	$20.00	18.1%	5.6%	15.2%	14.4%	19.6%	3.3%	2.2%	2.0M	-33.7M	-92.0K	0.00	10.43	N/A	N/A	73	0	30,164	8,261
2012-06-12	$20.30	$20.00	12.9%	5.4%	15.1%	5.4%	19.0%	1.1%	2.6%	2.0M	-36.2M	-88.5K	0.02	95.02	N/A	N/A	50	1	30,201	8,261
2012-06-13	$20.30	$20.00	14.9%	5.5%	14.3%	8.9%	19.3%	3.6%	2.2%	2.0M	-36.3M	-88.7K	0.01	93.24	N/A	N/A	687	10	30,206	8,261
2012-06-14	$20.41	$20.00	18.4%	5.3%	14.1%	14.8%	18.4%	4.3%	3.2%	1.7M	-39.0M	-85.9K	0.61	37.81	N/A	N/A	142	86	30,844	8,271
2012-06-15	$20.62	$20.00	20.8%	6.0%	13.9%	18.8%	20.8%	-1.9%	1.7%	1.4M	-42.0M	-83.7K	0.01	34.91	N/A	N/A	3,574	43	30,887	8,314
2012-06-18	$20.71	$20.00	20.4%	5.8%	13.1%	18.1%	20.3%	5.5%	2.2%	1.7M	-40.7M	-86.3K	0.05	92.48	N/A	N/A	232	11	30,659	7,314
2012-06-19	$20.59	$20.00	19.3%	5.5%	12.9%	16.3%	19.3%	2.4%	1.8%	1.7M	-39.7M	-82.9K	0.06	93.26	N/A	N/A	1,612	104	30,609	7,314
2012-06-20	$20.58	$20.00	19.3%	5.5%	12.8%	16.2%	19.3%	5.3%	1.4%	1.8M	-39.9M	-84.2K	1.46	94.06	N/A	N/A	56	82	31,125	7,387
2012-06-21	$20.18	$20.00	19.4%	5.5%	14.7%	16.4%	19.4%	39.0%	2.8%	1.8M	-34.6M	-89.6K	0.17	98.32	N/A	N/A	115	20	31,143	7,445
2012-06-22	$20.34	$20.00	19.2%	5.5%	14.7%	16.2%	0.0%	3.5%	2.0%	1.8M	-37.2M	-84.4K	0.00	92.85	N/A	N/A	1	0	30,987	7,290
2012-06-25	$20.28	$20.00	19.2%	5.5%	14.5%	16.1%	0.0%	38.3%	2.4%	1.9M	-35.8M	-83.3K	0.22	70.87	N/A	N/A	27	6	30,988	7,290
2012-06-26	$20.29	$20.00	18.1%	5.2%	14.5%	14.3%	18.1%	1.5%	4.3%	1.9M	-36.3M	-82.2K	0.00	97.86	N/A	N/A	23	0	30,961	7,293
2012-06-27	$20.52	$20.00	17.4%	5.0%	14.4%	13.1%	17.4%	2.5%	4.9%	1.9M	-39.4M	-80.1K	0.04	35.51	N/A	N/A	526	20	30,960	7,293
2012-06-28	$20.62	$20.00	13.8%	4.0%	14.0%	6.9%	16.4%	0.9%	10.5%	1.9M	-40.3M	-75.3K	1.75	14.35	N/A	N/A	12	21	30,576	7,293
2012-06-29	$20.67	$20.00	13.8%	3.9%	13.0%	6.9%	11.9%	-1.4%	8.8%	1.9M	-41.5M	-71.4K	0.05	46.56	N/A	N/A	55	3	30,575	7,307