CNP Options History — February 2013

In February 2013, CNP traded between $20.41 and $21.43. ATM implied volatility averaged 19.3%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.9% (HV 20d: 11.4%). 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 10 of 19 days. Put/call ratio averaged 4.35.

Notable Days

2013-02-12: Highest Volume — 38,539 contracts
2013-02-28: Largest IV drop — 43.2% change
2013-02-26: Highest IV Rank — 65.0%
2013-02-26: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.77	$20.41	$21.43	$20.56	$21.43
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	19.3%	11.7%	24.2%	18.9%	11.7%
Expected Move	5.4%	3.3%	6.9%	5.4%	3.3%
HV 20d	11.4%	8.1%	15.9%	11.6%	15.9%
HV 60d	13.3%	11.9%	16.5%	16.5%	13.7%
IV Rank	41.7%	6.4%	65.0%	39.6%	6.4%
IV Percentile	55.7%	3.2%	87.3%	51.2%	3.2%
Term Structure	-0.6%	-6.4%	2.9%	-0.1%	2.4%
VWIV	18.5%	13.2%	24.2%	18.9%	13.2%
Skew 25d	5.2%	-0.5%	14.2%	4.1%	1.4%
Skew 10d	15.8%	1.4%	46.0%	5.2%	2.8%
Call IV 25d	14.1%	11.7%	18.5%	14.2%	13.1%
Put IV 25d	19.4%	14.4%	28.8%	18.3%	14.5%
Bid-Ask Spread %	15.26	8.78	29.37	10.79	18.65
Gamma HHI	0.53	0.49	0.66	0.66	0.51
Net GEX	1.6M	969.9K	2.4M	2.4M	1.3M
Net DEX	-20.0M	-28.2M	-12.9M	-24.8M	-20.8M
Net VEX	-85.3K	-96.1K	-79.9K	-89.9K	-84.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.35	0.00	70.00	0.04	0.00
Total Volume	2,634.842	35	38,539	1,804	195
Total OI	26,929.526	20,581	33,568	33,147	21,570

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
2013-02-01	$20.56	$20.00	18.9%	5.4%	11.6%	39.6%	18.9%	4.1%	-0.1%	2.4M	-24.8M	-89.9K	0.04	10.79	N/A	N/A	1,742	62	30,934	2,213
2013-02-04	$20.53	$20.00	22.3%	5.2%	11.5%	55.5%	0.0%	3.6%	0.2%	2.3M	-23.7M	-86.4K	1.83	21.42	N/A	N/A	18	33	30,372	2,244
2013-02-05	$20.67	$20.00	21.6%	5.2%	10.5%	52.4%	18.3%	4.3%	0.3%	2.3M	-25.9M	-84.2K	0.56	15.24	N/A	N/A	346	195	30,386	2,256
2013-02-06	$20.78	$20.00	21.4%	5.5%	10.0%	51.5%	19.1%	5.4%	0.3%	2.2M	-25.4M	-91.8K	1.06	13.00	N/A	N/A	209	221	30,392	2,435
2013-02-07	$20.87	$20.00	17.7%	5.1%	9.6%	34.4%	18.2%	6.1%	1.8%	2.1M	-27.9M	-86.1K	0.54	11.34	N/A	N/A	41	22	30,467	2,477
2013-02-08	$20.91	$20.00	18.6%	5.3%	9.6%	38.4%	18.6%	6.9%	0.3%	2.2M	-27.2M	-85.5K	0.04	17.26	N/A	N/A	6,210	240	30,457	2,499
2013-02-11	$20.92	$20.00	19.7%	5.6%	8.9%	43.5%	0.0%	7.6%	-0.7%	2.1M	-27.0M	-96.1K	0.00	11.79	N/A	N/A	176	0	30,943	2,587
2013-02-12	$21.05	$20.00	20.2%	5.8%	8.1%	46.0%	0.0%	8.6%	-1.1%	2.1M	-28.2M	-93.5K	0.00	9.53	N/A	N/A	38,509	30	30,981	2,587
2013-02-13	$20.78	$20.00	18.0%	5.2%	9.5%	35.6%	17.9%	5.8%	0.7%	1.1M	-15.4M	-86.2K	1.83	12.67	N/A	N/A	46	84	23,922	2,617
2013-02-14	$20.43	$20.00	17.7%	5.1%	11.2%	34.4%	0.0%	4.7%	0.6%	983.6K	-13.2M	-83.2K	0.30	8.78	N/A	N/A	27	8	23,943	2,618
2013-02-15	$20.41	$20.00	17.7%	5.1%	11.2%	34.1%	17.7%	4.5%	0.9%	969.9K	-12.9M	-80.7K	0.78	9.92	N/A	N/A	90	70	23,940	2,624
2013-02-19	$20.51	$20.00	18.9%	5.4%	11.2%	39.9%	18.9%	14.2%	-1.7%	1.1M	-13.6M	-81.1K	1.25	29.37	N/A	N/A	115	144	19,174	1,633
2013-02-20	$20.70	$20.00	18.9%	5.4%	11.3%	40.0%	18.8%	3.2%	-1.0%	1.2M	-15.4M	-82.7K	0.85	12.14	N/A	N/A	47	40	19,254	1,769
2013-02-21	$20.67	$20.00	20.5%	5.9%	11.3%	47.7%	0.0%	5.5%	-2.7%	1.1M	-14.7M	-82.5K	2.19	17.99	N/A	N/A	32	70	18,794	1,787
2013-02-22	$20.90	$20.00	19.7%	5.6%	11.8%	43.9%	0.0%	4.2%	-1.0%	1.1M	-15.8M	-82.7K	70.00	17.73	N/A	N/A	1	70	18,821	1,857
2013-02-25	$20.52	$20.00	18.2%	5.2%	13.7%	37.0%	0.0%	4.2%	2.9%	1.1M	-14.0M	-79.9K	0.11	16.53	N/A	N/A	98	11	18,821	1,917
2013-02-26	$20.70	$20.00	24.2%	6.9%	13.9%	65.0%	24.2%	5.8%	-6.2%	1.1M	-14.7M	-81.5K	0.41	12.98	N/A	N/A	559	229	18,905	1,928
2013-02-27	$21.23	$20.00	20.5%	5.9%	15.7%	47.8%	13.2%	-0.5%	-6.4%	1.3M	-19.8M	-82.8K	0.80	22.91	N/A	N/A	40	32	19,404	2,133
2013-02-28	$21.43	$20.00	11.7%	3.3%	15.9%	6.4%	0.0%	1.4%	2.4%	1.3M	-20.8M	-84.2K	0.00	18.65	N/A	N/A	195	0	19,434	2,136