CNP Options History — August 2012

In August 2012, CNP traded between $20.24 and $21.16. ATM implied volatility averaged 20.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.8% (HV 20d: 14.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.97.

Notable Days

  • 2012-08-13: Highest Volume — 56,537 contracts
  • 2012-08-14: Largest IV drop — 51.3% change
  • 2012-08-13: Highest IV Rank — 37.5%
  • 2012-08-01: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.65$20.24$21.16$20.90$20.39
Max Pain$19.67$17.50$20.00$17.50$20.00
ATM IV20.0%14.3%31.7%24.4%17.9%
Expected Move5.0%4.1%7.0%7.0%5.1%
HV 20d14.2%9.8%16.4%15.8%9.8%
HV 60d13.9%13.0%15.0%14.8%13.0%
IV Rank17.6%7.8%37.5%25.1%14.0%
IV Percentile33.2%5.2%92.1%56.7%23.8%
Term Structure0.7%-14.8%4.1%-3.6%0.6%
VWIV17.9%9.3%33.7%24.8%15.3%
Skew 25d4.5%-3.7%12.0%6.9%12.0%
Skew 10d11.6%3.6%34.5%14.7%34.5%
Call IV 25d14.2%10.7%17.9%17.9%17.2%
Put IV 25d18.7%12.5%29.3%24.8%29.3%
Bid-Ask Spread %44.9914.8698.5695.3516.95
Gamma HHI0.540.480.660.610.55
Net GEX1.0M144.1K1.9M1.8M999.9K
Net DEX-18.0M-42.3M-6.4M-42.3M-14.3M
Net VEX-51.4K-69.1K-43.8K-47.4K-68.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0035.003.771.55
Total Volume3,239.1744456,5371,182125
Total OI22,776.08711,87537,23736,54518,915

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$20.90$17.5024.4%7.0%15.8%25.1%24.8%6.9%-3.6%1.8M-42.3M-47.4K3.7795.35N/AN/A24893430,0476,498
2012-08-02$20.83$17.5019.8%5.7%15.4%17.2%19.4%2.5%-0.7%1.8M-41.2M-45.5K0.1677.29N/AN/A2033329,8707,367
2012-08-03$21.16$17.5023.1%6.6%16.2%22.7%33.7%-3.7%-14.8%1.6M-38.0M-49.4K0.0490.20N/AN/A138527,8827,384
2012-08-06$21.06$20.0024.6%5.2%16.4%25.3%9.3%7.0%2.0%1.6M-36.9M-49.5K0.0025.10N/AN/A44027,8527,360
2012-08-07$21.04$20.0026.2%5.4%16.2%28.2%0.0%8.2%0.6%1.6M-22.9M-47.9K0.0016.72N/AN/A5,687021,2427,360
2012-08-08$21.11$20.0026.4%5.4%16.3%28.5%18.9%7.9%1.4%1.7M-27.1M-60.8K0.0216.47N/AN/A295523,8797,360
2012-08-09$21.01$20.0028.6%5.2%16.3%32.3%18.0%6.5%1.9%1.7M-26.2M-61.0K1.1018.33N/AN/A778523,9297,365
2012-08-10$21.08$20.0028.9%4.9%15.2%32.8%16.7%6.0%2.7%1.7M-26.6M-59.8K0.0070.72N/AN/A110023,9367,450
2012-08-13$20.78$20.0031.7%4.9%15.2%37.5%17.0%4.3%1.7%1.9M-23.9M-53.4K0.0014.86N/AN/A56,5122523,9367,450
2012-08-14$20.55$20.0015.4%4.8%15.6%9.7%16.8%4.2%2.4%444.5K-7.4M-44.5K0.2815.52N/AN/A1133212,9197,470
2012-08-15$20.51$20.0018.8%4.8%15.4%15.4%0.0%5.7%2.1%410.0K-7.2M-44.7K0.0093.83N/AN/A76012,9857,495
2012-08-16$20.42$20.0016.7%4.8%15.4%11.9%16.7%4.1%2.8%357.0K-7.1M-43.8K0.1198.56N/AN/A4865213,0287,490
2012-08-17$20.24$20.0014.3%4.1%14.9%7.8%14.3%2.4%4.1%144.1K-6.4M-43.8K0.5433.91N/AN/A482613,4867,523
2012-08-20$20.43$20.0015.4%4.4%15.3%9.7%15.4%9.4%1.3%591.0K-7.5M-45.1K0.5719.97N/AN/A1528610,904971
2012-08-21$20.43$20.0014.8%4.2%13.5%8.7%14.8%2.1%1.9%581.8K-7.7M-45.7K0.0124.98N/AN/A228311,0021,057
2012-08-22$20.38$20.0015.5%4.5%13.5%9.9%0.0%2.5%0.7%602.4K-7.5M-44.6K0.0125.51N/AN/A536511,1811,060
2012-08-23$20.24$20.0014.9%4.3%12.3%8.9%0.0%1.6%1.9%609.5K-7.5M-46.4K35.0065.13N/AN/A310511,7061,063
2012-08-24$20.32$20.0015.3%4.4%11.1%9.4%15.3%2.8%1.6%610.2K-7.7M-46.7K1.3566.00N/AN/A202711,7091,162
2012-08-27$20.46$20.0015.1%4.3%11.5%9.1%0.0%5.7%1.6%645.7K-8.3M-46.4K0.2580.88N/AN/A561411,6891,188
2012-08-28$20.60$20.0017.1%4.9%11.8%12.6%0.0%2.0%1.3%628.0K-9.1M-49.0K0.0118.79N/AN/A7,0935011,7401,192
2012-08-29$20.58$20.0017.8%5.1%11.5%13.8%0.0%2.3%0.3%1.0M-15.7M-69.1K0.4829.67N/AN/A1718217,0831,242
2012-08-30$20.52$20.0017.4%5.0%11.5%13.2%0.0%2.0%1.7%1.0M-15.1M-69.1K0.0820.00N/AN/A4714017,1221,301
2012-08-31$20.39$20.0017.9%5.1%9.8%14.0%0.0%12.0%0.6%999.9K-14.3M-68.6K1.5516.95N/AN/A497617,5741,341