CNP Options History — October 2012

In October 2012, CNP traded between $21.04 and $21.75. ATM implied volatility averaged 16.7%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.6% (HV 20d: 12.1%). 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 11 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-10-10: Highest Volume — 1,612 contracts
  • 2012-10-22: Largest IV spike — 133.5% change
  • 2012-10-22: Highest IV Rank — 60.4%
  • 2012-10-22: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.37$21.04$21.75$21.15$21.67
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV16.7%10.3%24.1%15.2%13.5%
Expected Move4.8%3.0%6.9%4.4%3.9%
HV 20d12.1%10.5%13.8%13.4%12.8%
HV 60d12.9%12.2%13.7%13.4%12.2%
IV Rank28.9%2.4%60.4%18.7%17.1%
IV Percentile27.0%0.8%73.4%13.1%7.5%
Term Structure1.6%-4.5%12.4%5.2%3.8%
VWIV22.0%11.5%35.2%16.9%20.4%
Skew 25d5.2%-4.0%17.3%-1.2%2.1%
Skew 10d8.6%-0.8%36.9%-0.8%5.5%
Call IV 25d14.6%8.9%18.8%14.2%13.2%
Put IV 25d19.8%10.3%26.2%13.0%15.3%
Bid-Ask Spread %45.039.4596.4082.189.45
Gamma HHI0.500.490.520.500.51
Net GEX1.5M1.4M1.7M1.4M1.6M
Net DEX-21.9M-25.3M-19.0M-19.6M-24.1M
Net VEX-62.6K-66.5K-55.5K-61.9K-59.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.002.500.060.00
Total Volume228.857181,61266071
Total OI22,173.61920,53523,12420,53522,593

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$21.15$20.0015.2%4.4%13.4%18.7%0.0%-1.2%5.2%1.4M-19.6M-61.9K0.0682.18N/AN/A6204019,1961,339
2012-10-02$21.20$20.0017.1%4.9%12.9%25.2%0.0%10.1%12.4%1.4M-20.3M-66.5K2.1410.75N/AN/A429019,7491,359
2012-10-03$21.52$20.0012.9%3.7%13.8%10.9%16.9%17.3%8.2%1.5M-22.3M-64.8K0.3113.99N/AN/A361119,7671,397
2012-10-04$21.51$20.0012.7%3.6%12.6%12.4%11.5%3.2%5.2%1.5M-22.5M-63.7K0.0232.97N/AN/A5361019,7651,401
2012-10-05$21.41$20.0014.9%5.5%12.8%21.6%20.1%3.1%-0.7%1.5M-22.1M-65.1K0.1744.70N/AN/A23420,2911,391
2012-10-08$21.41$20.0016.6%5.2%12.8%29.0%22.7%4.6%1.4%1.5M-21.5M-62.6K1.6846.41N/AN/A376220,2881,395
2012-10-09$21.36$20.0017.8%4.3%12.8%34.2%0.0%4.0%-0.4%1.5M-21.2M-63.8K0.0024.27N/AN/A504020,2931,445
2012-10-10$21.29$20.0017.8%4.5%12.3%33.8%23.4%3.9%0.8%1.5M-21.4M-64.5K0.0346.92N/AN/A1,5694320,7951,445
2012-10-11$21.18$20.0022.1%6.3%10.5%52.3%22.1%2.3%-2.1%1.6M-21.8M-66.4K1.5843.29N/AN/A193021,5421,488
2012-10-12$21.13$20.0021.6%6.2%10.5%50.1%0.0%10.2%-1.2%1.6M-21.3M-65.6K0.0051.45N/AN/A01821,5261,498
2012-10-15$21.40$20.0016.4%4.7%10.5%28.3%17.7%2.5%-0.8%1.6M-23.0M-64.8K0.6787.46N/AN/A523521,5261,506
2012-10-16$21.44$20.0016.1%4.6%10.5%27.0%18.1%7.5%1.4%1.6M-23.6M-64.3K1.2195.17N/AN/A141721,5781,537
2012-10-17$21.75$20.0014.6%4.2%11.2%20.5%16.7%-3.9%-0.9%1.7M-25.3M-64.1K0.3818.98N/AN/A261021,5901,534
2012-10-18$21.69$20.0014.3%4.1%11.2%19.5%0.0%-4.0%-0.4%1.7M-24.4M-62.6K0.0096.40N/AN/A02921,2651,520
2012-10-19$21.41$20.0010.3%3.0%11.8%2.4%31.7%-0.1%6.0%1.5M-22.3M-65.2K0.0984.40N/AN/A53521,2651,516
2012-10-22$21.24$20.0024.1%6.9%11.8%60.4%24.1%10.1%-4.5%1.6M-20.7M-59.1K0.3183.25N/AN/A591820,7441,400
2012-10-23$21.04$20.0022.5%6.5%12.0%54.0%22.5%8.2%-3.3%1.6M-19.0M-55.8K0.4527.73N/AN/A1275720,7671,405
2012-10-24$21.12$20.0023.8%6.8%12.1%59.9%24.0%10.0%-4.4%1.6M-20.0M-55.5K2.5014.23N/AN/A123020,7061,453
2012-10-25$21.38$20.0013.7%3.9%12.7%18.0%25.7%8.3%3.0%1.6M-21.7M-58.1K0.0015.93N/AN/A85020,7161,461
2012-10-26$21.47$20.0012.5%3.6%12.8%12.4%35.2%11.0%4.7%1.6M-22.5M-60.5K0.0015.71N/AN/A412020,7331,461
2012-10-31$21.67$20.0013.5%3.9%12.8%17.1%20.4%2.1%3.8%1.6M-24.1M-59.2K0.009.45N/AN/A71021,1321,461