CNP Options History — September 2012

In September 2012, CNP traded between $20.63 and $21.45. ATM implied volatility averaged 14.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.3% (HV 20d: 12.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.31.

Notable Days

2012-09-06: Highest Volume — 1,292 contracts
2012-09-07: Largest IV drop — 35.2% change
2012-09-06: Highest IV Rank — 37.8%
2012-09-06: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.00	$20.63	$21.45	$20.63	$21.30
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	14.8%	11.2%	20.8%	14.5%	13.6%
Expected Move	4.4%	3.2%	6.0%	4.2%	3.9%
HV 20d	12.5%	10.9%	13.5%	10.9%	13.4%
HV 60d	13.4%	13.0%	13.8%	13.2%	13.4%
IV Rank	16.4%	4.8%	37.8%	8.2%	13.3%
IV Percentile	11.5%	1.6%	47.6%	6.3%	6.3%
Term Structure	6.7%	2.7%	12.5%	7.8%	6.8%
VWIV	15.8%	10.1%	26.8%	26.8%	12.6%
Skew 25d	3.9%	-1.5%	11.1%	1.5%	1.5%
Skew 10d	9.3%	-2.3%	29.1%	29.1%	1.4%
Call IV 25d	12.5%	9.7%	16.5%	15.6%	11.9%
Put IV 25d	16.4%	10.8%	26.4%	17.1%	13.3%
Bid-Ask Spread %	54.23	13.57	99.94	23.76	56.81
Gamma HHI	0.51	0.50	0.54	0.54	0.50
Net GEX	1.2M	1.1M	1.4M	1.1M	1.4M
Net DEX	-18.3M	-20.9M	-15.5M	-15.5M	-20.3M
Net VEX	-66.0K	-70.6K	-60.5K	-68.4K	-64.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	1.35	0.03	0.52
Total Volume	277.421	17	1,292	532	38
Total OI	19,844.789	18,996	20,517	18,996	20,517

Daily Data (19 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
2012-09-04	$20.63	$20.00	14.5%	4.2%	10.9%	8.2%	0.0%	1.5%	7.8%	1.1M	-15.5M	-68.4K	0.03	23.76	N/A	N/A	515	17	17,596	1,400
2012-09-05	$20.64	$20.00	16.5%	4.7%	10.9%	11.6%	0.0%	2.0%	4.5%	1.1M	-15.9M	-69.6K	0.00	26.12	N/A	N/A	42	0	17,908	1,411
2012-09-06	$20.99	$20.00	20.8%	6.0%	12.5%	37.8%	26.8%	11.1%	4.6%	1.1M	-17.9M	-70.2K	0.10	26.51	N/A	N/A	1,175	117	17,910	1,411
2012-09-07	$20.95	$20.00	13.5%	5.0%	12.4%	12.9%	0.0%	5.4%	4.2%	1.2M	-18.2M	-70.6K	0.11	18.38	N/A	N/A	185	21	18,358	1,392
2012-09-10	$20.93	$20.00	16.4%	5.5%	12.4%	22.8%	19.2%	6.3%	2.7%	1.2M	-18.3M	-68.8K	0.08	13.75	N/A	N/A	508	40	18,344	1,383
2012-09-11	$20.90	$20.00	16.4%	5.1%	11.2%	22.8%	17.6%	6.0%	3.8%	1.2M	-18.1M	-68.5K	0.00	68.46	N/A	N/A	17	0	18,459	1,387
2012-09-12	$20.70	$20.00	16.2%	5.2%	11.0%	21.9%	0.0%	5.4%	3.3%	1.2M	-16.7M	-67.9K	0.00	89.09	N/A	N/A	122	0	18,468	1,387
2012-09-13	$21.10	$20.00	13.6%	3.9%	12.8%	13.1%	10.1%	7.1%	12.5%	1.3M	-18.9M	-67.6K	0.00	99.94	N/A	N/A	188	0	18,488	1,387
2012-09-14	$21.02	$20.00	17.7%	5.1%	12.8%	27.1%	0.0%	5.9%	3.4%	1.3M	-18.8M	-66.4K	0.22	93.72	N/A	N/A	54	12	18,599	1,387
2012-09-17	$20.80	$20.00	16.9%	4.9%	13.0%	24.5%	17.1%	4.3%	4.9%	1.2M	-17.2M	-65.5K	0.05	92.65	N/A	N/A	235	11	18,601	1,387
2012-09-18	$20.81	$20.00	17.0%	4.9%	12.6%	24.8%	0.0%	2.8%	5.0%	1.2M	-17.3M	-65.5K	0.06	54.41	N/A	N/A	212	12	18,836	1,387
2012-09-19	$20.72	$20.00	14.1%	4.0%	12.8%	14.9%	0.0%	3.0%	9.7%	1.3M	-16.7M	-64.3K	1.24	31.78	N/A	N/A	29	36	19,042	1,394
2012-09-20	$20.87	$20.00	14.1%	4.0%	12.9%	14.8%	0.0%	3.8%	10.5%	1.3M	-18.2M	-65.2K	0.59	73.18	N/A	N/A	39	23	19,048	1,402
2012-09-21	$21.12	$20.00	11.2%	3.2%	13.1%	4.8%	11.1%	-1.5%	10.2%	1.3M	-18.3M	-61.6K	1.23	15.31	N/A	N/A	75	92	18,102	1,382
2012-09-24	$21.29	$20.00	12.5%	3.6%	13.2%	9.3%	0.0%	1.5%	8.0%	1.3M	-19.4M	-60.5K	0.04	13.57	N/A	N/A	363	15	18,035	1,297
2012-09-25	$21.42	$20.00	12.3%	3.5%	13.2%	8.6%	0.0%	2.5%	8.5%	1.3M	-20.6M	-62.1K	0.26	70.36	N/A	N/A	248	65	18,321	1,298
2012-09-26	$21.45	$20.00	12.0%	3.5%	13.1%	7.8%	0.0%	3.3%	8.8%	1.3M	-20.9M	-62.1K	0.02	80.67	N/A	N/A	699	12	18,536	1,308
2012-09-27	$21.30	$20.00	12.6%	3.6%	13.5%	9.7%	12.2%	1.5%	7.3%	1.4M	-20.1M	-64.4K	1.35	81.93	N/A	N/A	23	31	19,163	1,320
2012-09-28	$21.30	$20.00	13.6%	3.9%	13.4%	13.3%	12.6%	1.5%	6.8%	1.4M	-20.3M	-64.0K	0.52	56.81	N/A	N/A	25	13	19,186	1,331