CNP Options History — July 2012

In July 2012, CNP traded between $20.46 and $21.19. ATM implied volatility averaged 19.8%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.6% (HV 20d: 13.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2012-07-12: Highest Volume — 1,215 contracts
  • 2012-07-12: Largest IV spike — 87.0% change
  • 2012-07-31: Highest IV Rank — 31.9%
  • 2012-07-31: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.79$20.46$21.19$20.76$21.06
Max Pain$17.86$17.50$20.00$20.00$17.50
ATM IV19.8%11.4%28.4%16.8%28.4%
Expected Move6.1%4.5%8.1%4.8%8.1%
HV 20d13.2%11.4%15.6%12.4%15.6%
HV 60d15.2%14.8%15.7%15.6%14.8%
IV Rank17.2%2.9%31.9%12.1%31.9%
IV Percentile33.6%1.6%75.0%11.9%75.0%
Term Structure-1.3%-15.7%5.9%5.9%-15.7%
VWIV21.9%15.9%31.5%15.9%28.4%
Skew 25d6.8%-6.1%11.1%7.7%3.5%
Skew 10d15.9%0.4%56.6%56.6%9.8%
Call IV 25d15.2%11.0%22.6%13.7%17.4%
Put IV 25d22.0%16.5%25.4%21.5%20.8%
Bid-Ask Spread %43.2910.87112.6057.4699.62
Gamma HHI0.650.560.740.670.57
Net GEX1.9M1.6M2.2M1.9M1.7M
Net DEX-43.2M-50.9M-37.1M-42.8M-41.9M
Net VEX-57.2K-69.1K-44.8K-67.8K-50.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0020.0020.000.09
Total Volume22771,21563351
Total OI37,972.47635,61039,83437,89836,265

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$20.76$20.0016.8%4.8%12.4%12.1%0.0%7.7%5.9%1.9M-42.8M-67.8K20.0057.46N/AN/A36030,5927,306
2012-07-03$20.65$20.0017.9%5.1%12.5%13.9%0.0%-0.7%3.2%1.9M-41.5M-69.1K0.0034.07N/AN/A7030,5957,336
2012-07-05$20.46$20.0015.8%4.5%12.6%10.4%15.9%-6.1%3.9%2.1M-40.1M-65.7K1.11112.60N/AN/A91030,6007,336
2012-07-06$20.57$17.5015.3%6.2%12.4%9.5%21.7%10.9%-0.6%2.0M-40.7M-66.2K0.0046.93N/AN/A540030,6077,340
2012-07-09$20.56$17.5012.2%5.9%12.3%4.2%21.4%9.8%0.4%2.1M-41.5M-61.4K0.1110.96N/AN/A46531,1187,340
2012-07-10$20.47$17.5016.2%6.0%11.6%11.0%21.2%9.8%-0.6%2.2M-39.8M-64.0K0.0026.64N/AN/A513031,1057,340
2012-07-11$20.52$17.5011.4%6.0%11.4%2.9%21.0%10.1%-0.5%2.1M-41.9M-63.3K0.1642.69N/AN/A891431,6187,340
2012-07-12$20.63$17.5021.4%6.1%11.5%19.9%21.3%3.1%-0.6%2.0M-42.8M-61.8K0.0228.76N/AN/A1,1922331,6037,334
2012-07-13$20.99$17.5020.6%5.9%12.9%18.6%20.6%9.6%-0.3%1.7M-48.8M-57.0K1.0616.12N/AN/A16016932,4337,348
2012-07-16$20.70$17.5021.2%6.1%13.5%19.6%21.8%11.1%-0.4%2.0M-44.8M-59.7K0.5610.87N/AN/A181032,4057,351
2012-07-17$20.80$17.5019.9%5.7%13.5%17.4%20.0%8.0%0.2%1.9M-47.0M-55.1K0.0013.85N/AN/A21032,4057,348
2012-07-18$20.95$17.5020.9%6.0%13.5%19.1%20.9%8.6%-0.3%1.8M-48.2M-51.7K0.0013.78N/AN/A123032,4047,348
2012-07-19$20.92$17.5021.5%6.2%13.6%20.2%21.5%9.2%-1.2%1.8M-47.8M-55.4K0.0012.68N/AN/A66032,4617,342
2012-07-20$21.15$17.5020.9%6.0%11.6%19.1%20.6%8.4%-0.3%1.6M-50.9M-51.4K0.0910.92N/AN/A3773332,4927,342
2012-07-23$20.97$17.5020.8%6.0%12.1%19.0%20.8%6.3%-0.6%1.7M-42.0M-50.9K0.2713.59N/AN/A1173129,1946,416
2012-07-24$20.55$17.5023.1%6.6%14.3%22.8%23.0%6.8%-3.5%1.8M-37.1M-52.7K0.1326.47N/AN/A4295629,2446,427
2012-07-25$20.57$17.5022.3%6.4%14.3%21.4%22.3%4.7%-2.7%1.9M-37.6M-54.2K0.3686.87N/AN/A281029,6726,467
2012-07-26$20.89$17.5022.9%6.6%14.7%22.4%0.0%9.0%-2.8%1.8M-41.8M-49.3K0.6363.65N/AN/A483029,6506,477
2012-07-27$21.19$17.5020.2%5.8%15.4%17.9%20.0%9.4%0.9%1.6M-45.2M-44.8K0.3487.43N/AN/A832829,6986,487
2012-07-30$21.19$17.5026.2%7.5%15.4%28.0%31.5%2.8%-11.3%1.7M-43.6M-48.7K0.1993.16N/AN/A571129,7576,479
2012-07-31$21.06$17.5028.4%8.1%15.6%31.9%28.4%3.5%-15.7%1.7M-41.9M-50.5K0.0999.62N/AN/A3213029,7776,488