CNP Options History — December 2012

In December 2012, CNP traded between $19.00 and $19.92. ATM implied volatility averaged 15.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.8% (HV 20d: 14.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.56.

Notable Days

  • 2012-12-11: Highest Volume — 4,870 contracts
  • 2012-12-26: Largest IV drop — 33.4% change
  • 2012-12-11: Highest IV Rank — 40.0%
  • 2012-12-11: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.63$19.00$19.92$19.76$19.25
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV15.0%10.3%18.6%13.5%12.2%
Expected Move4.3%3.0%5.1%3.9%3.5%
HV 20d14.3%9.7%22.6%21.8%11.6%
HV 60d16.2%15.9%16.8%16.8%16.3%
IV Rank23.9%2.5%40.0%17.0%11.1%
IV Percentile23.3%0.8%50.4%8.3%5.2%
Term Structure2.3%-0.0%8.0%2.0%6.8%
VWIV15.6%9.7%17.7%13.5%9.7%
Skew 25d6.3%-0.3%66.4%2.4%6.2%
Skew 10d8.2%-2.0%94.5%0.9%4.9%
Call IV 25d15.8%11.2%24.2%16.2%11.2%
Put IV 25d22.1%14.4%90.6%18.6%17.3%
Bid-Ask Spread %27.315.6480.1223.185.64
Gamma HHI0.820.760.900.790.82
Net GEX1.5M853.8K2.3M1.1M1.1M
Net DEX-7.5M-11.1M-3.5M-6.6M-4.4M
Net VEX-47.2K-61.6K-38.6K-41.1K-46.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.380.000.04
Total Volume787.614,87029287
Total OI20,500.2516,28525,63616,29921,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$19.76$20.0013.5%3.9%21.8%17.0%13.5%2.4%2.0%1.1M-6.6M-41.1K0.0023.18N/AN/A29014,7351,564
2012-12-04$19.63$20.0013.5%3.9%21.8%16.9%13.6%31.9%2.5%1.1M-5.7M-38.6K0.0220.51N/AN/A47114,7351,564
2012-12-05$19.92$20.0015.2%4.3%22.6%24.4%15.2%3.2%-0.0%1.2M-7.9M-42.4K0.4924.20N/AN/A1788714,7201,565
2012-12-06$19.86$20.0014.7%4.2%18.0%22.4%0.0%1.3%1.5%1.2M-7.5M-42.0K0.0014.16N/AN/A1014,8511,641
2012-12-07$19.84$20.0013.4%4.4%17.6%16.5%15.4%0.2%1.2%1.2M-7.0M-40.7K0.0026.41N/AN/A2,448414,8521,641
2012-12-10$19.92$20.0015.4%4.6%17.3%25.7%0.0%0.7%0.7%1.6M-10.4M-47.3K0.377.98N/AN/A1244617,2911,641
2012-12-11$19.88$20.0018.6%5.1%17.3%40.0%17.7%0.8%0.3%1.5M-10.0M-47.3K0.1367.79N/AN/A4,31155917,3131,676
2012-12-12$19.85$20.0018.5%4.7%16.9%39.7%16.4%0.5%2.0%1.9M-11.1M-50.7K0.1034.78N/AN/A2302219,3512,194
2012-12-13$19.83$20.0017.1%4.9%14.5%33.3%17.1%0.3%0.6%1.8M-10.1M-48.7K0.0623.94N/AN/A1721019,1792,215
2012-12-14$19.67$20.0017.4%5.0%13.0%34.5%17.3%2.6%0.5%1.7M-8.1M-46.0K0.1472.66N/AN/A2102919,1692,215
2012-12-17$19.84$20.0017.6%5.0%10.5%35.4%17.5%-0.3%0.4%2.1M-9.7M-46.1K1.9580.12N/AN/A387419,2582,244
2012-12-18$19.90$20.0016.9%4.8%9.7%32.2%16.9%0.6%0.5%2.3M-10.1M-45.3K0.009.16N/AN/A3,0021319,2542,294
2012-12-19$19.72$20.0016.5%4.7%10.4%30.4%16.5%-0.2%1.5%2.2M-9.2M-57.2K0.0224.61N/AN/A3,0945021,7412,297
2012-12-20$19.67$20.0016.0%4.6%10.3%28.5%16.0%-0.1%1.4%2.1M-8.3M-61.6K2.068.76N/AN/A6513423,2572,286
2012-12-21$19.46$20.0015.7%4.5%11.1%26.8%15.6%-0.1%1.1%1.6M-5.9M-55.4K0.9431.53N/AN/A323023,3012,335
2012-12-24$19.39$20.0015.4%4.4%9.7%25.8%15.7%66.4%1.1%1.2M-5.9M-51.8K1.3814.49N/AN/A162219,7471,681
2012-12-26$19.13$20.0010.3%3.0%10.6%2.5%9.7%4.7%8.0%969.9K-4.3M-46.9K0.047.99N/AN/A133519,7591,702
2012-12-27$19.05$20.0011.5%3.3%10.3%7.8%0.0%2.8%7.3%903.2K-3.5M-42.4K2.3823.56N/AN/A409519,7991,707
2012-12-28$19.00$20.0011.1%3.2%10.3%6.4%0.0%1.9%7.0%853.8K-3.8M-45.3K1.1124.63N/AN/A546019,7791,802
2012-12-31$19.25$20.0012.2%3.5%11.6%11.1%0.0%6.2%6.8%1.1M-4.4M-46.6K0.045.64N/AN/A2771019,8081,842