CNP Options History — July 2013

In July 2013, CNP traded between $23.27 and $24.83. ATM implied volatility averaged 19.8%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.1% (HV 20d: 16.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-07-26: Highest Volume — 9,767 contracts
  • 2013-07-11: Largest IV spike — 27.0% change
  • 2013-07-26: Highest IV Rank — 65.6%
  • 2013-07-26: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.29$23.27$24.83$23.27$24.82
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV19.8%13.9%24.3%18.4%23.4%
Expected Move6.0%4.9%7.0%5.3%6.7%
HV 20d16.7%11.8%21.0%20.9%11.8%
HV 60d16.9%16.5%17.6%17.4%16.5%
IV Rank44.6%16.9%65.6%37.9%61.3%
IV Percentile64.7%15.9%92.9%57.1%89.7%
Term Structure-0.3%-4.3%10.0%4.7%-3.9%
VWIV22.0%18.7%26.5%18.7%23.4%
Skew 25d2.6%-6.0%7.6%3.3%3.4%
Skew 10d3.3%-12.7%35.0%35.0%3.1%
Call IV 25d21.6%13.5%34.5%15.2%27.1%
Put IV 25d24.2%18.5%30.5%18.5%30.5%
Bid-Ask Spread %22.628.5487.9313.9273.69
Gamma HHI0.670.490.880.490.88
Net GEX2.0M920.9K5.2M920.9K3.1M
Net DEX-17.1M-38.9M-7.5M-7.6M-26.0M
Net VEX-94.3K-123.9K-66.4K-98.3K-70.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.007.000.290.46
Total Volume1,118.31889,767110188
Total OI31,101.36428,56747,85428,56733,710

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$23.27$22.5018.4%5.3%20.9%37.9%18.7%3.3%4.7%920.9K-7.6M-98.3K0.2913.92N/AN/A852518,6679,900
2013-07-02$23.45$22.5017.1%4.9%21.0%31.6%0.0%5.5%10.0%1.1M-8.3M-97.8K0.0816.86N/AN/A1291018,6929,920
2013-07-03$23.36$22.5019.2%5.5%20.6%41.7%0.0%3.7%5.9%1.0M-7.9M-96.7K0.0016.90N/AN/A13018,7519,930
2013-07-05$23.34$22.5017.2%7.0%20.1%32.2%0.0%7.6%-1.4%992.1K-8.7M-98.0K7.0019.28N/AN/A1718,7519,930
2013-07-08$23.68$22.5016.8%6.8%20.4%30.1%23.2%2.5%-0.8%1.3M-10.4M-96.5K0.199.03N/AN/A1052018,7419,929
2013-07-09$23.86$22.5013.9%5.9%20.6%16.9%22.1%2.0%-0.1%1.3M-7.5M-86.2K0.458.86N/AN/A743318,8469,949
2013-07-10$24.04$22.5014.7%5.8%20.3%20.7%19.2%3.5%-0.2%1.5M-14.0M-98.9K1.509.41N/AN/A1,0441,56118,9179,945
2013-07-11$24.31$22.5018.7%5.4%20.5%39.3%26.5%3.9%2.2%1.7M-15.6M-101.4K1.1811.22N/AN/A111319,06111,444
2013-07-12$24.40$22.5019.0%5.4%19.0%40.6%19.4%2.9%0.6%1.8M-15.8M-103.8K0.079.73N/AN/A1751319,08811,444
2013-07-15$24.64$22.5022.0%6.3%19.2%54.5%22.0%1.4%-2.2%1.9M-19.7M-101.3K0.0613.46N/AN/A1,3217419,16711,457
2013-07-16$24.51$22.5020.8%6.0%19.1%49.2%20.8%2.1%-1.0%1.8M-17.1M-98.0K0.598.54N/AN/A442618,86711,467
2013-07-17$24.46$22.5020.5%5.9%19.1%47.7%20.5%2.3%-0.7%1.8M-16.5M-97.6K0.039.63N/AN/A40118,87011,493
2013-07-18$24.74$22.5020.5%5.9%16.6%47.9%20.6%2.5%-0.6%2.0M-19.5M-97.8K0.1713.96N/AN/A871518,69011,447
2013-07-19$24.64$22.5020.4%5.9%12.7%47.4%22.6%2.2%-0.8%2.0M-18.2M-97.3K0.2515.16N/AN/A16418,71211,462
2013-07-22$24.58$22.5020.7%5.9%12.6%48.5%20.7%2.4%-2.3%2.0M-17.4M-90.1K0.0514.49N/AN/A104518,54711,378
2013-07-23$24.78$22.5020.1%5.8%12.1%45.9%20.1%1.8%-1.9%2.2M-19.5M-90.0K0.0087.93N/AN/A59018,61111,383
2013-07-24$24.45$22.5020.3%5.8%12.3%46.5%25.2%2.8%-1.6%2.0M-15.6M-87.4K0.0013.91N/AN/A02718,66011,383
2013-07-25$24.71$22.5020.7%5.9%12.4%48.5%20.7%2.0%-2.3%2.5M-21.1M-66.4K1.1561.94N/AN/A789018,66011,368
2013-07-26$24.82$22.5024.3%7.0%12.2%65.6%24.3%-6.0%-4.3%2.3M-22.8M-67.3K0.0015.89N/AN/A9,7561118,71211,392
2013-07-29$24.67$22.5024.3%7.0%12.6%65.5%24.3%2.3%-3.1%3.4M-27.5M-108.5K0.0115.18N/AN/A9,1937027,63211,403
2013-07-30$24.83$22.5023.4%6.7%11.9%61.4%23.5%3.3%-3.0%5.2M-38.9M-123.9K0.1538.73N/AN/A651036,38111,473
2013-07-31$24.82$22.5023.4%6.7%11.8%61.3%23.4%3.4%-3.9%3.1M-26.0M-70.9K0.4673.69N/AN/A1295922,22711,483