CNP Options History — March 2013

In March 2013, CNP traded between $21.53 and $23.96. ATM implied volatility averaged 17.1%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 4.8% (HV 20d: 21.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2013-03-15: Highest Volume — 9,156 contracts
  • 2013-03-06: Largest IV spike — 97.3% change
  • 2013-03-06: Highest IV Rank — 86.6%
  • 2013-03-28: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.59$21.53$23.96$21.53$23.96
Max Pain$21.13$20.00$22.50$20.00$22.50
ATM IV17.1%11.3%28.8%11.3%20.5%
Expected Move4.6%3.2%5.9%3.2%5.9%
HV 20d21.9%15.7%28.4%15.8%26.6%
HV 60d16.4%13.4%19.6%13.7%19.2%
IV Rank31.7%4.7%86.6%4.7%47.6%
IV Percentile40.1%2.4%98.4%2.4%72.6%
Term Structure3.9%1.8%12.2%3.3%1.8%
VWIV17.0%11.8%26.6%14.6%26.6%
Skew 25d-0.1%-2.9%10.4%2.3%4.7%
Skew 10d2.0%-4.2%31.9%4.2%15.3%
Call IV 25d16.1%13.0%20.9%13.0%20.8%
Put IV 25d16.0%11.4%25.6%15.2%25.6%
Bid-Ask Spread %22.5512.8841.6918.6930.46
Gamma HHI0.530.410.730.510.48
Net GEX1.8M1.3M2.7M1.3M2.7M
Net DEX-35.9M-60.6M-21.6M-21.6M-60.6M
Net VEX-110.8K-184.3K-82.1K-83.4K-184.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.006.896.890.22
Total Volume2,244.35219,1561426,728
Total OI30,096.221,65946,91321,74146,913

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$21.53$20.0011.3%3.2%15.8%4.7%0.0%2.3%3.3%1.3M-21.6M-83.4K6.8918.69N/AN/A1812419,6052,136
2013-03-04$21.65$20.0012.0%4.1%15.8%8.2%0.0%-2.5%2.4%1.3M-22.8M-83.2K0.0015.65N/AN/A64019,5412,118
2013-03-05$21.86$20.0014.6%4.2%15.9%20.2%14.6%-2.7%2.5%1.4M-24.0M-82.1K0.0023.55N/AN/A2,152019,5592,118
2013-03-06$21.71$20.0028.8%4.0%16.3%86.6%0.0%-2.7%2.6%1.5M-24.5M-88.3K0.1424.89N/AN/A37521,6242,118
2013-03-07$21.63$20.0013.6%4.1%16.4%15.3%0.0%-2.9%2.7%1.5M-24.3M-86.2K0.0914.92N/AN/A6956221,6472,123
2013-03-08$21.82$20.0013.4%4.0%16.5%14.3%13.4%-2.1%3.4%1.6M-25.8M-89.2K0.0016.69N/AN/A46022,3042,139
2013-03-11$21.85$20.0015.8%4.1%16.5%25.8%0.0%-2.0%3.0%1.7M-26.4M-88.0K0.0017.42N/AN/A56022,3102,139
2013-03-12$21.77$20.0017.7%4.1%16.6%34.8%0.0%-2.1%2.3%1.7M-25.2M-87.5K0.0215.02N/AN/A1,3152022,3652,139
2013-03-13$21.87$20.0020.8%4.0%16.6%49.2%13.9%-1.5%2.7%1.9M-26.8M-91.2K0.0015.24N/AN/A21023,6752,156
2013-03-14$21.84$20.0013.7%3.9%15.7%15.8%13.8%-1.4%2.9%1.8M-26.9M-91.3K0.8015.79N/AN/A504023,6912,146
2013-03-15$23.41$20.0017.3%4.9%27.2%32.5%17.3%-1.4%4.1%1.4M-41.1M-87.5K0.0541.69N/AN/A8,74740923,7052,166
2013-03-18$23.11$22.5017.6%5.0%28.0%34.0%15.5%10.4%3.3%1.9M-39.8M-100.8K0.5512.88N/AN/A40722528,3341,788
2013-03-19$22.97$22.5018.0%5.2%28.3%35.8%18.0%4.1%3.9%1.8M-37.7M-104.8K0.0713.38N/AN/A2,16715528,2491,875
2013-03-20$23.12$22.5017.7%5.1%28.3%34.6%17.7%3.4%3.8%1.9M-40.6M-110.5K1.3224.49N/AN/A385030,2491,938
2013-03-21$23.44$22.5018.5%5.3%28.3%38.2%18.6%-1.4%5.3%1.8M-43.5M-114.9K0.0130.21N/AN/A8,81610930,2571,968
2013-03-22$23.43$22.5018.2%5.2%28.4%37.1%18.3%-2.2%5.0%2.1M-45.9M-144.4K0.2624.66N/AN/A3087934,9372,077
2013-03-25$23.41$22.5018.1%5.2%27.0%36.5%18.3%-2.3%6.3%2.2M-47.8M-147.6K0.0426.50N/AN/A6,33726036,4282,136
2013-03-26$23.75$22.5015.9%4.6%27.2%26.2%11.8%2.0%12.2%2.6M-56.8M-172.6K0.1439.62N/AN/A4,28359542,4192,376
2013-03-27$23.67$22.5018.0%5.2%26.5%35.8%20.3%-1.7%5.0%2.7M-56.2M-177.3K0.0329.17N/AN/A4541543,4972,959
2013-03-28$23.96$22.5020.5%5.9%26.6%47.6%26.6%4.7%1.8%2.7M-60.6M-184.3K0.2230.46N/AN/A5,5081,22043,9452,968