CNP Options History — November 2012

In November 2012, CNP traded between $19.13 and $21.74. ATM implied volatility averaged 16.4%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 3.2% (HV 20d: 19.6%). 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 17 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2012-11-16: Highest Volume — 5,073 contracts
  • 2012-11-07: Largest IV spike — 41.4% change
  • 2012-11-12: Highest IV Rank — 57.8%
  • 2012-11-15: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.06$19.13$21.74$21.74$19.73
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV16.4%12.8%22.5%13.7%14.0%
Expected Move4.4%3.7%5.3%3.9%4.0%
HV 20d19.6%12.3%22.9%12.8%21.8%
HV 60d15.4%12.2%17.0%12.2%16.8%
IV Rank30.2%13.9%57.8%17.9%19.3%
IV Percentile28.6%6.0%71.4%8.7%11.9%
Term Structure1.1%-0.5%4.3%4.3%1.3%
VWIV18.8%14.0%45.8%34.7%14.0%
Skew 25d8.9%-4.7%29.9%1.7%21.7%
Skew 10d12.1%-4.5%40.7%3.0%28.4%
Call IV 25d15.8%13.4%19.4%14.5%15.0%
Put IV 25d24.6%13.8%45.0%16.2%36.7%
Bid-Ask Spread %24.958.2381.109.6818.16
Gamma HHI0.710.500.850.510.77
Net GEX1.3M693.2K2.2M1.6M1.1M
Net DEX-10.0M-24.9M-2.8M-24.9M-6.2M
Net VEX-42.7K-59.8K-32.5K-59.8K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.580.380.00
Total Volume607.857315,07319552
Total OI19,795.66714,85123,74622,55316,256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$21.74$20.0013.7%3.9%12.8%17.9%34.7%1.7%4.3%1.6M-24.9M-59.8K0.389.68N/AN/A1415421,0921,461
2012-11-02$21.54$20.0012.8%3.7%12.3%14.1%45.8%-0.5%2.9%1.5M-23.1M-59.7K0.148.23N/AN/A2153021,1051,471
2012-11-05$21.37$20.0017.8%5.0%12.6%36.3%0.0%2.7%1.2%1.6M-21.8M-54.1K0.0026.17N/AN/A31021,1031,481
2012-11-06$21.48$20.0015.1%3.7%12.6%24.1%19.6%3.1%0.2%1.6M-22.8M-54.2K0.5825.69N/AN/A573321,1021,481
2012-11-07$20.63$20.0021.3%5.1%19.1%52.2%17.6%4.1%1.0%1.5M-16.8M-44.8K1.1411.30N/AN/A41747721,0951,509
2012-11-08$20.39$20.0017.7%5.2%19.5%36.1%18.1%3.1%0.9%1.9M-15.0M-46.5K1.1816.88N/AN/A404721,3861,852
2012-11-09$20.15$20.0021.9%5.1%19.8%55.0%17.8%0.9%1.6%1.9M-11.4M-48.1K0.5411.71N/AN/A1588621,4971,940
2012-11-12$20.16$20.0022.5%4.9%19.8%57.8%0.0%0.7%1.4%2.2M-10.5M-41.9K0.0013.88N/AN/A1,268021,3651,863
2012-11-13$19.96$20.0022.3%4.8%19.9%56.6%16.9%-0.4%1.1%2.2M-8.0M-41.3K0.2714.48N/AN/A3439421,6871,863
2012-11-14$19.49$20.0019.3%5.0%20.4%42.9%17.5%-0.6%0.8%1.3M-4.1M-36.1K2.5815.18N/AN/A4010321,7521,889
2012-11-15$19.13$20.0018.5%5.3%20.8%39.6%0.0%-4.7%-0.2%742.9K-2.8M-32.5K0.6417.97N/AN/A32420621,5461,917
2012-11-16$19.58$20.0014.2%4.1%22.1%20.4%14.3%18.6%3.2%1.6M-4.5M-35.4K0.0313.07N/AN/A4,91116221,6932,053
2012-11-19$19.38$20.0015.8%4.5%22.2%27.3%15.8%-0.7%-0.5%837.1K-4.5M-37.3K0.0216.30N/AN/A1,4252914,2361,355
2012-11-20$19.36$20.0015.4%4.4%22.1%25.6%15.8%22.3%-0.5%728.6K-4.1M-35.6K0.5414.36N/AN/A1256713,4741,377
2012-11-21$19.30$20.0013.1%3.8%22.0%15.4%14.7%-1.1%0.4%716.6K-3.9M-35.4K0.1937.78N/AN/A2474613,4581,434
2012-11-23$19.26$20.0014.0%4.0%22.0%19.4%0.0%17.5%-0.0%693.2K-3.5M-34.2K0.4542.66N/AN/A221013,6601,480
2012-11-26$19.56$20.0012.8%3.7%22.9%13.9%14.8%23.0%1.7%859.6K-4.8M-37.5K0.4137.92N/AN/A1857513,6581,490
2012-11-27$19.62$20.0014.1%4.1%22.3%19.9%14.3%25.1%1.4%889.1K-5.2M-38.8K0.0037.66N/AN/A196013,6831,553
2012-11-28$19.74$20.0014.3%4.1%22.4%20.7%14.3%29.9%0.6%983.2K-5.7M-38.6K0.0781.10N/AN/A7725113,7741,553
2012-11-29$19.76$20.0014.1%4.0%21.9%19.7%14.1%19.5%0.2%1.1M-6.5M-41.9K0.0053.77N/AN/A226014,5011,564
2012-11-30$19.73$20.0014.0%4.0%21.8%19.3%14.0%21.7%1.3%1.1M-6.2M-42.2K0.0018.16N/AN/A52014,6921,564