CNP Options History — January 2013

In January 2013, CNP traded between $19.47 and $20.53. ATM implied volatility averaged 17.4%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.6% (HV 20d: 13.8%). 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 12 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2013-01-08: Highest Volume — 3,990 contracts
  • 2013-01-08: Largest IV drop — 30.3% change
  • 2013-01-31: Highest IV Rank — 53.9%
  • 2013-01-31: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.01$19.47$20.53$19.62$20.44
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV17.4%11.1%21.9%12.2%21.9%
Expected Move5.1%3.5%6.3%3.5%6.3%
HV 20d13.8%11.5%15.0%13.6%11.5%
HV 60d16.7%16.5%17.2%16.5%16.5%
IV Rank33.7%6.3%53.9%11.1%53.9%
IV Percentile42.1%2.4%75.8%5.2%75.8%
Term Structure0.7%-2.5%9.5%9.5%-2.5%
VWIV18.5%13.9%28.8%13.9%20.7%
Skew 25d6.0%-1.0%95.2%10.6%2.6%
Skew 10d8.0%-1.2%119.9%5.2%5.7%
Call IV 25d17.1%9.7%20.7%9.7%20.7%
Put IV 25d23.1%14.6%110.2%20.4%23.3%
Bid-Ask Spread %24.8110.7353.6310.7329.53
Gamma HHI0.810.680.960.840.70
Net GEX2.5M1.4M8.3M1.4M2.2M
Net DEX-14.9M-23.2M-6.5M-7.2M-21.9M
Net VEX-73.7K-88.0K-51.9K-51.9K-85.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.006.730.020.01
Total Volume1,081.143343,9901163,356
Total OI26,793.33321,86430,09621,86430,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$19.62$20.0012.2%3.5%13.6%11.1%0.0%10.6%9.5%1.4M-7.2M-51.9K0.0210.73N/AN/A114220,0321,832
2013-01-03$19.68$20.0013.9%4.0%13.4%18.9%13.9%95.2%2.6%1.6M-7.8M-54.4K0.0017.96N/AN/A1,041120,1151,832
2013-01-04$19.82$20.0012.9%4.6%12.6%14.3%15.9%-0.3%1.4%1.9M-9.3M-61.1K0.0719.08N/AN/A5633921,1421,833
2013-01-07$19.60$20.0016.0%4.5%13.2%28.1%15.8%1.2%1.3%1.7M-7.7M-56.5K0.0033.22N/AN/A52021,6851,836
2013-01-08$19.47$20.0011.1%4.8%13.3%6.3%16.6%-0.7%1.0%1.5M-6.5M-54.2K0.0117.49N/AN/A3,9315921,7061,836
2013-01-09$19.67$20.0012.5%4.6%13.8%12.4%28.8%-1.0%1.6%2.0M-10.7M-72.6K0.1116.37N/AN/A1651824,9061,885
2013-01-10$19.79$20.0016.1%4.6%14.0%28.6%16.1%-0.8%1.8%2.3M-12.1M-75.6K0.0032.10N/AN/A315024,9541,894
2013-01-11$20.04$20.0016.2%4.6%14.7%29.1%16.2%0.7%2.2%2.5M-16.6M-80.6K0.0017.85N/AN/A121025,1561,894
2013-01-14$19.88$20.0016.0%4.6%15.0%26.9%16.0%2.3%1.6%2.6M-13.7M-73.3K0.0246.21N/AN/A216425,1801,894
2013-01-15$20.06$20.0016.1%4.6%15.0%27.7%16.1%0.7%1.8%3.0M-16.5M-77.5K0.1319.80N/AN/A30425,3421,898
2013-01-16$19.92$20.0019.4%5.6%15.0%42.5%19.4%-0.4%-0.5%2.7M-14.8M-74.8K0.0417.29N/AN/A3,59314225,3461,894
2013-01-17$19.91$20.0019.1%5.5%14.9%41.4%19.1%1.1%0.5%3.8M-16.1M-80.2K0.0322.02N/AN/A172627,1111,918
2013-01-18$20.02$20.0018.6%5.3%14.6%38.3%18.6%0.3%0.2%8.3M-17.9M-79.0K6.7324.05N/AN/A4933027,0841,921
2013-01-22$20.19$20.0020.1%5.8%14.8%45.2%20.1%1.6%-0.8%1.9M-16.9M-79.0K0.0411.77N/AN/A8203624,3281,861
2013-01-23$20.16$20.0019.9%5.7%14.2%44.4%19.9%1.4%-0.5%1.9M-16.1M-75.1K0.0113.23N/AN/A3,4843824,0621,882
2013-01-24$20.24$20.0019.6%5.6%14.1%43.0%19.6%1.8%-0.8%2.1M-17.8M-79.9K0.0318.14N/AN/A1,1463626,8001,909
2013-01-25$20.33$20.0020.6%5.9%12.8%47.7%17.5%2.8%-1.4%2.0M-19.5M-82.6K0.0932.80N/AN/A6055526,7191,945
2013-01-28$20.25$20.0020.7%5.9%12.8%48.3%20.7%2.0%-0.8%2.1M-18.2M-79.4K0.0253.63N/AN/A1,7513827,0112,000
2013-01-29$20.53$20.0021.1%6.1%13.1%50.1%21.2%2.9%-1.3%2.1M-23.2M-88.0K0.4346.78N/AN/A934027,8992,027
2013-01-30$20.51$20.0020.8%6.0%12.8%48.7%20.7%2.4%-1.8%2.2M-22.9M-86.0K1.9920.97N/AN/A8015927,9282,067
2013-01-31$20.44$20.0021.9%6.3%11.5%53.9%0.0%2.6%-2.5%2.2M-21.9M-85.4K0.0129.53N/AN/A3,3342227,9052,191