CNP Options History — May 2013

In May 2013, CNP traded between $23.04 and $24.41. ATM implied volatility averaged 18.6%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.6% (HV 20d: 15.0%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2013-05-13: Highest Volume — 62,412 contracts
  • 2013-05-10: Largest IV spike — 59.6% change
  • 2013-05-13: Highest IV Rank — 89.8%
  • 2013-05-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.98$23.04$24.41$24.34$23.18
Max Pain$23.18$20.00$25.00$20.00$25.00
ATM IV18.6%11.5%29.5%22.0%18.4%
Expected Move5.2%4.6%6.3%6.3%5.3%
HV 20d15.0%12.3%16.2%15.9%15.6%
HV 60d20.3%19.7%20.6%20.2%20.4%
IV Rank38.7%5.7%89.8%54.7%37.8%
IV Percentile51.6%3.6%99.6%83.3%58.7%
Term Structure1.1%-3.2%2.6%-3.2%1.9%
VWIV18.3%16.0%22.3%22.3%18.4%
Skew 25d-0.2%-6.4%3.7%-4.2%3.7%
Skew 10d-0.2%-13.3%30.1%-11.1%7.3%
Call IV 25d18.3%14.3%22.4%22.4%14.6%
Put IV 25d18.1%12.4%20.5%18.2%18.4%
Bid-Ask Spread %48.379.6785.349.6712.59
Gamma HHI0.710.560.900.660.73
Net GEX2.8M1.5M3.6M3.6M1.6M
Net DEX-38.7M-68.4M-14.9M-68.4M-16.1M
Net VEX-120.6K-144.3K-95.3K-144.3K-100.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.860.000.83
Total Volume3,775.2273262,41211,320121
Total OI37,955.31826,52251,82951,82927,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$24.34$20.0022.0%6.3%15.9%54.7%22.3%-4.2%-3.2%3.6M-68.4M-144.3K0.009.67N/AN/A11,2863447,7554,074
2013-05-02$24.14$20.0017.5%5.0%15.9%33.7%16.0%-5.5%-2.8%3.4M-62.6M-143.7K0.2316.23N/AN/A561346,6064,108
2013-05-03$24.34$20.0015.9%4.6%16.1%26.2%19.9%-5.0%-0.9%3.6M-66.3M-131.5K0.0137.08N/AN/A305346,5954,119
2013-05-06$24.18$22.5017.7%5.2%16.1%34.4%0.0%1.2%1.6%3.4M-63.6M-129.2K0.0015.38N/AN/A386046,4504,122
2013-05-07$24.38$22.5011.5%5.2%16.2%5.7%17.8%2.1%1.8%3.3M-66.0M-142.8K0.0014.49N/AN/A32046,5964,122
2013-05-08$24.22$22.5013.3%5.3%16.2%13.9%17.9%1.5%1.4%3.3M-63.3M-138.4K0.0014.96N/AN/A342046,6004,122
2013-05-09$24.09$22.5015.7%5.2%16.2%25.1%0.0%1.2%1.9%3.4M-60.9M-132.1K0.1716.47N/AN/A30546,8204,122
2013-05-10$24.21$22.5025.0%5.1%16.0%68.6%17.6%1.9%1.7%3.4M-63.7M-123.5K0.0713.17N/AN/A6775046,8184,122
2013-05-13$24.08$22.5029.5%5.4%14.0%89.8%19.4%0.5%1.0%3.5M-62.6M-122.3K0.0059.72N/AN/A62,10830447,3714,172
2013-05-14$24.13$22.5027.7%5.4%13.1%81.3%19.0%-0.9%1.0%3.1M-24.5M-115.2K0.1078.86N/AN/A1541629,6804,072
2013-05-15$24.41$22.5017.7%5.1%12.8%34.4%17.8%0.2%2.3%3.6M-24.5M-114.5K0.0080.06N/AN/A73029,7264,088
2013-05-16$24.10$22.5018.0%5.2%13.6%36.2%18.1%0.6%1.6%2.4M-20.9M-109.0K0.0071.88N/AN/A291029,5794,014
2013-05-17$24.30$22.5017.3%5.0%12.6%32.7%17.3%1.5%2.0%3.0M-23.3M-111.6K0.0072.78N/AN/A5,7151929,6594,014
2013-05-20$24.27$25.0016.6%4.8%12.5%29.4%16.6%-5.2%1.1%2.4M-26.0M-123.8K0.1284.66N/AN/A991225,624898
2013-05-21$24.37$25.0017.2%4.9%12.3%32.0%17.2%-6.4%0.4%2.6M-27.6M-127.7K0.1580.92N/AN/A40625,762910
2013-05-22$23.74$25.0017.5%5.0%15.5%33.8%17.8%0.7%2.6%2.1M-21.1M-114.7K1.0485.34N/AN/A262725,802916
2013-05-23$23.86$25.0016.4%4.7%15.5%28.4%0.0%2.3%2.3%2.2M-22.0M-118.5K2.8684.61N/AN/A3510025,823943
2013-05-24$23.56$25.0018.1%5.2%16.0%36.6%18.4%-0.4%2.4%1.9M-18.9M-108.5K1.1471.21N/AN/A212425,8571,020
2013-05-28$23.43$25.0019.6%5.6%15.4%43.6%19.7%-1.2%0.7%1.9M-17.7M-107.0K0.8274.39N/AN/A221825,8761,044
2013-05-29$23.04$25.0018.2%5.2%15.9%37.1%18.3%3.7%1.9%1.5M-14.9M-95.3K1.1757.30N/AN/A12614725,8881,059
2013-05-30$23.20$25.0018.0%5.2%15.8%35.8%0.0%3.6%2.3%1.6M-16.3M-100.3K1.0212.30N/AN/A16416825,8131,166
2013-05-31$23.18$25.0018.4%5.3%15.6%37.8%18.4%3.7%1.9%1.6M-16.1M-100.2K0.8312.59N/AN/A665525,7571,333