CNP Options History — April 2013

In April 2013, CNP traded between $23.51 and $24.68. ATM implied volatility averaged 22.0%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.1% (HV 20d: 20.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2013-04-10: Highest Volume — 3,207 contracts
  • 2013-04-11: Largest IV spike — 75.2% change
  • 2013-04-03: Highest IV Rank — 81.4%
  • 2013-04-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.03$23.51$24.68$23.80$24.68
Max Pain$20.45$20.00$22.50$22.50$20.00
ATM IV22.0%13.4%27.7%20.3%22.7%
Expected Move6.7%5.1%8.0%5.8%6.5%
HV 20d20.9%15.3%27.5%26.9%15.4%
HV 60d19.4%18.7%20.0%19.0%19.9%
IV Rank54.7%14.4%81.4%46.9%58.1%
IV Percentile76.2%11.1%95.6%71.4%86.9%
Term Structure-1.4%-4.4%3.1%3.1%-2.8%
VWIV24.4%20.4%28.9%27.9%25.7%
Skew 25d0.5%-5.8%5.6%5.0%-5.1%
Skew 10d-2.4%-10.7%24.7%-0.7%-9.4%
Call IV 25d22.9%20.5%24.7%21.5%24.7%
Put IV 25d23.4%15.8%27.6%26.5%19.6%
Bid-Ask Spread %20.926.6641.9241.926.66
Gamma HHI0.530.440.690.440.69
Net GEX3.2M2.9M3.6M3.1M3.6M
Net DEX-70.4M-78.3M-63.7M-68.5M-74.5M
Net VEX-171.9K-190.4K-147.5K-180.5K-147.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.002.641.200.15
Total Volume477.455193,2072,084142
Total OI54,749.22751,52858,24152,45351,765

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$23.80$22.5020.3%5.8%26.9%46.9%27.9%5.0%3.1%3.1M-68.5M-180.5K1.2041.92N/AN/A9481,13648,7273,726
2013-04-02$23.96$22.5022.6%6.5%26.9%57.4%23.9%5.6%1.4%3.0M-71.4M-179.2K0.1222.64N/AN/A84510549,4394,739
2013-04-03$23.73$22.5027.7%8.0%27.4%81.4%22.7%4.0%-0.4%3.1M-66.9M-188.6K2.6436.45N/AN/A10427549,6544,831
2013-04-04$23.94$22.5017.6%5.1%27.1%34.3%0.0%3.5%2.4%3.1M-70.3M-189.1K0.0129.44N/AN/A366249,6535,106
2013-04-05$23.87$20.0013.9%6.8%27.1%16.9%26.6%1.1%-1.0%3.1M-68.6M-190.4K0.0212.15N/AN/A189449,7535,108
2013-04-08$24.07$20.0019.1%6.9%27.1%41.3%25.1%0.9%-1.0%3.1M-72.7M-184.4K0.3314.80N/AN/A1294249,8865,108
2013-04-09$23.94$20.0019.4%7.1%27.3%42.4%26.4%0.1%-1.6%3.1M-71.7M-181.5K0.0027.07N/AN/A483049,9115,150
2013-04-10$24.10$20.0013.4%6.8%27.1%14.4%22.9%0.4%-1.0%2.9M-74.7M-176.0K0.0410.19N/AN/A3,08012749,9605,150
2013-04-11$24.23$20.0023.4%6.7%27.1%61.3%23.7%0.6%-0.8%3.3M-78.3M-185.0K1.039.58N/AN/A9710052,7425,273
2013-04-12$24.02$20.0023.4%6.7%27.5%61.2%22.5%1.3%-0.3%3.2M-76.3M-180.4K0.0013.20N/AN/A35052,7805,273
2013-04-15$23.51$20.0025.6%7.3%15.4%71.5%25.9%0.2%-3.1%3.2M-66.7M-176.1K0.4518.37N/AN/A1436452,7855,273
2013-04-16$23.85$20.0024.8%7.1%15.3%67.8%24.6%1.6%-1.9%3.2M-71.6M-174.5K0.2210.28N/AN/A461052,8845,308
2013-04-17$23.57$20.0026.3%7.6%15.8%74.9%27.0%0.1%-4.4%3.2M-67.5M-173.0K0.129.91N/AN/A1612052,9235,318
2013-04-18$23.74$20.0026.3%7.5%15.9%74.8%26.4%1.8%-4.0%3.2M-69.9M-167.9K1.1111.13N/AN/A91052,7015,312
2013-04-19$24.14$20.0023.5%6.7%16.2%61.8%22.4%1.5%-1.0%3.3M-76.6M-168.5K0.1732.70N/AN/A29552,7015,310
2013-04-22$24.02$20.0023.1%6.6%16.4%59.7%28.9%2.1%-1.0%3.3M-63.7M-163.3K0.0033.20N/AN/A156047,9063,756
2013-04-23$24.19$20.0023.5%6.7%16.5%61.6%22.4%3.1%-2.6%3.4M-65.7M-163.5K0.0030.55N/AN/A118047,9433,756
2013-04-24$24.19$20.0022.6%6.5%15.8%57.2%22.6%-0.1%-3.8%3.4M-65.2M-156.6K0.0435.36N/AN/A4231747,9523,756
2013-04-25$24.32$20.0021.1%6.1%15.7%50.5%21.1%-5.6%-2.0%3.5M-68.2M-155.5K0.9429.10N/AN/A37435347,7573,771
2013-04-26$24.26$20.0020.3%5.8%15.3%46.9%20.4%-4.7%-1.6%3.5M-67.3M-151.6K0.0014.05N/AN/A299047,8474,064
2013-04-29$24.52$20.0023.2%6.6%15.4%60.1%23.2%-5.8%-3.8%3.5M-72.3M-148.5K0.0011.58N/AN/A58047,6624,064
2013-04-30$24.68$20.0022.7%6.5%15.4%58.1%25.7%-5.1%-2.8%3.6M-74.5M-147.5K0.156.66N/AN/A1241847,7014,064