CNP Options History — June 2013

In June 2013, CNP traded between $22.49 and $23.71. ATM implied volatility averaged 20.3%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.3% (HV 20d: 18.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 7.26.

Notable Days

  • 2013-06-10: Highest Volume — 3,971 contracts
  • 2013-06-28: Largest IV drop — 17.2% change
  • 2013-06-20: Highest IV Rank — 58.4%
  • 2013-06-20: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.20$22.49$23.71$23.20$23.49
Max Pain$23.00$22.50$25.00$25.00$22.50
ATM IV20.3%15.8%22.8%19.8%15.8%
Expected Move5.9%4.5%6.5%5.7%4.5%
HV 20d18.0%14.9%21.1%15.2%20.6%
HV 60d17.6%15.0%20.8%20.4%17.3%
IV Rank46.6%25.8%58.4%44.2%25.8%
IV Percentile71.3%31.0%88.1%69.4%31.0%
Term Structure2.2%0.6%4.2%1.5%2.5%
VWIV20.5%16.1%22.8%19.9%19.9%
Skew 25d2.4%-4.5%7.4%-4.5%-2.5%
Skew 10d5.4%-4.0%41.6%-3.0%3.0%
Call IV 25d17.9%13.1%24.2%24.2%13.6%
Put IV 25d20.3%11.0%22.9%19.8%11.0%
Bid-Ask Spread %39.825.5988.1812.305.59
Gamma HHI0.620.470.750.730.54
Net GEX1.2M545.5K1.6M1.6M1.1M
Net DEX-11.5M-15.6M-5.4M-15.6M-9.5M
Net VEX-92.8K-102.1K-80.3K-98.4K-102.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.260.0074.6011.332.50
Total Volume1,004.803,9713742
Total OI27,060.4524,76128,59327,10628,555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$23.20$25.0019.8%5.7%15.2%44.2%19.9%-4.5%1.5%1.6M-15.6M-98.4K11.3312.30N/AN/A33425,7291,377
2013-06-04$23.11$25.0018.8%5.4%15.1%39.8%0.0%2.6%1.6%1.5M-14.6M-92.5K0.0012.53N/AN/A0025,7431,353
2013-06-05$22.85$25.0020.5%5.9%14.9%47.7%20.5%4.8%0.6%1.4M-13.0M-88.0K0.399.56N/AN/A823225,7431,353
2013-06-06$23.15$25.0019.9%5.7%15.9%44.6%16.1%2.7%1.6%1.5M-14.8M-95.5K0.0313.58N/AN/A2,6747525,7421,373
2013-06-07$23.39$22.5020.3%6.0%16.5%46.6%19.1%0.9%2.0%1.5M-15.2M-90.2K6.2510.92N/AN/A2961,85023,3231,438
2013-06-10$23.33$22.5017.2%6.1%16.3%32.2%20.9%-0.0%2.7%1.4M-14.3M-95.5K0.0214.41N/AN/A3,9026923,5153,159
2013-06-11$23.12$22.5019.7%6.0%16.5%43.8%0.0%-0.4%2.0%1.2M-12.2M-87.8K0.0119.99N/AN/A2,4001323,3493,206
2013-06-12$23.07$22.5020.6%6.1%16.4%48.1%0.0%-0.2%1.8%1.2M-14.2M-98.0K8.5023.16N/AN/A65124,0493,209
2013-06-13$23.62$22.5022.3%6.4%18.2%56.2%21.3%1.3%2.7%1.4M-14.5M-89.6K6.2535.13N/AN/A5093,17921,6343,255
2013-06-14$23.71$22.5021.7%6.2%17.8%53.3%21.7%0.6%3.1%1.3M-13.9M-101.7K0.5748.28N/AN/A472721,9076,369
2013-06-17$23.54$22.5021.1%6.1%17.6%50.7%0.0%2.7%2.2%1.2M-12.3M-98.0K0.0074.42N/AN/A85021,9526,396
2013-06-18$23.67$22.5020.2%5.8%17.8%46.4%0.0%0.8%4.1%1.3M-12.7M-98.5K0.2770.17N/AN/A992722,0296,396
2013-06-19$23.09$22.5021.0%6.0%19.5%49.9%0.0%7.4%2.3%963.0K-9.2M-89.8K0.1188.14N/AN/A2242522,0576,412
2013-06-20$22.49$22.5022.8%6.5%19.5%58.4%22.8%3.6%0.8%545.5K-5.4M-84.7K7.5088.18N/AN/A2216522,0396,402
2013-06-21$22.76$22.5022.2%6.4%20.0%55.7%22.2%5.3%1.4%679.8K-6.7M-87.2K3.8381.29N/AN/A238822,0386,555
2013-06-24$22.62$22.5021.7%6.2%19.7%53.1%0.0%5.2%1.6%713.8K-5.6M-80.3K0.5786.34N/AN/A442518,4456,316
2013-06-25$23.07$22.5020.7%5.9%21.1%48.4%20.7%5.5%1.5%971.8K-7.7M-85.7K74.6080.90N/AN/A302,23818,4896,320
2013-06-26$23.30$22.5020.0%5.7%20.5%45.2%19.9%6.0%2.9%1.0M-8.0M-95.9K3.0811.92N/AN/A6018518,5048,370
2013-06-27$23.49$22.5019.1%5.5%20.6%41.2%0.0%5.9%4.2%1.1M-9.6M-97.5K12.089.53N/AN/A1121,35318,5548,554
2013-06-28$23.49$22.5015.8%4.5%20.6%25.8%0.0%-2.5%2.5%1.1M-9.5M-102.1K2.505.59N/AN/A123018,6559,900