CNP Options History — August 2013

In August 2013, CNP traded between $22.93 and $25.16. ATM implied volatility averaged 20.4%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.0% (HV 20d: 14.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2013-08-13: Highest Volume — 13,007 contracts
  • 2013-08-12: Largest IV spike — 91.9% change
  • 2013-08-12: Highest IV Rank — 88.8%
  • 2013-08-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.70$22.93$25.16$25.16$22.93
Max Pain$24.77$22.50$25.00$22.50$25.00
ATM IV20.4%14.5%29.3%19.3%20.7%
Expected Move5.7%4.7%6.9%5.5%5.9%
HV 20d14.4%12.1%15.9%12.1%14.2%
HV 60d16.9%16.5%17.4%16.6%16.5%
IV Rank50.1%19.6%88.8%42.0%54.0%
IV Percentile67.7%20.2%99.2%62.7%75.0%
Term Structure1.4%-0.8%2.7%-0.8%1.9%
VWIV19.4%16.1%22.0%19.3%21.5%
Skew 25d2.1%-19.1%17.4%-6.1%17.4%
Skew 10d3.1%-30.7%39.6%-9.1%39.6%
Call IV 25d19.4%14.3%35.9%25.9%18.4%
Put IV 25d21.5%16.8%35.8%19.8%35.8%
Bid-Ask Spread %32.809.7981.7579.029.79
Gamma HHI0.650.470.930.920.47
Net GEX1.9M518.7K4.8M4.1M518.7K
Net DEX-13.6M-32.3M-5.3M-32.3M-5.3M
Net VEX-86.1K-110.6K-52.2K-67.7K-104.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.008.980.540.08
Total Volume1,030.8643213,007370129
Total OI34,893.68231,30145,95933,69435,947

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$25.16$22.5019.3%5.5%12.1%42.0%19.3%-6.1%-0.8%4.1M-32.3M-67.7K0.5479.02N/AN/A24112922,15511,539
2013-08-02$25.11$22.5016.4%4.7%12.2%28.7%16.4%-19.1%-0.2%4.8M-30.1M-67.9K2.8225.86N/AN/A6217522,10411,625
2013-08-05$24.58$25.0016.4%4.9%14.4%28.3%17.0%1.1%1.8%3.5M-18.5M-78.6K0.1119.22N/AN/A1321422,13711,800
2013-08-06$24.62$25.0014.5%4.9%14.2%19.6%17.2%3.2%1.5%4.1M-18.5M-57.9K0.1814.23N/AN/A3286022,11111,806
2013-08-07$24.53$25.0015.8%4.9%14.2%25.7%0.0%3.1%1.5%3.8M-18.2M-58.3K0.0012.78N/AN/A100022,29711,866
2013-08-08$24.40$25.0018.9%5.1%13.8%40.0%0.0%2.4%1.0%4.0M-18.0M-57.3K0.0016.74N/AN/A40022,19711,866
2013-08-09$24.25$25.0015.3%4.7%13.9%23.3%16.1%3.3%2.3%2.1M-20.3M-59.2K0.2616.25N/AN/A922422,20211,866
2013-08-12$24.11$25.0029.3%4.9%13.5%88.8%16.9%2.8%1.5%2.3M-16.7M-52.2K0.0047.43N/AN/A544022,21011,890
2013-08-13$24.03$25.0019.7%5.6%13.4%44.1%20.0%1.9%2.7%1.7M-15.0M-71.4K0.0131.91N/AN/A12,88811921,98911,890
2013-08-14$23.55$25.0028.5%6.6%15.1%85.2%20.6%1.8%1.0%1.2M-12.1M-110.6K0.0815.80N/AN/A4433733,24311,972
2013-08-15$23.29$25.0024.0%6.9%14.6%64.1%21.8%1.4%1.0%880.6K-10.2M-106.5K0.0018.47N/AN/A1,474033,00012,007
2013-08-16$23.18$25.0022.0%6.3%14.6%60.9%22.0%0.4%2.6%882.7K-9.1M-105.0K0.0119.00N/AN/A425533,95212,007
2013-08-19$22.93$25.0021.0%6.0%14.8%55.5%21.0%-2.3%1.4%765.4K-8.3M-99.4K0.0636.66N/AN/A3362020,19611,105
2013-08-20$23.31$25.0020.4%5.8%15.9%52.4%0.0%10.0%2.3%968.7K-10.6M-101.9K8.9819.09N/AN/A4338620,31211,125
2013-08-21$23.00$25.0021.0%6.0%15.9%55.7%21.0%-2.4%1.1%813.2K-8.2M-100.6K1.1935.12N/AN/A738720,33011,461
2013-08-22$23.01$25.0021.0%6.0%15.2%55.7%21.0%4.4%1.1%794.6K-7.9M-98.9K0.7458.58N/AN/A272020,32211,545
2013-08-23$23.17$25.0020.4%5.9%15.4%52.7%0.0%5.4%1.8%871.2K-9.0M-100.3K0.4570.67N/AN/A221020,32311,565
2013-08-26$22.99$25.0021.4%6.1%15.4%58.0%21.5%4.3%0.5%754.2K-8.1M-94.7K0.2570.12N/AN/A401020,32911,575
2013-08-27$23.04$25.0021.5%6.2%15.1%58.1%0.0%4.5%0.8%779.1K-8.3M-97.4K1.0081.75N/AN/A282820,33911,585
2013-08-28$23.20$25.0020.6%5.9%15.6%53.5%0.0%4.9%1.9%893.5K-8.8M-97.3K7.7911.89N/AN/A4613,59320,34911,590
2013-08-29$23.05$25.0021.1%6.1%14.2%56.5%0.0%4.0%1.6%660.7K-6.3M-106.9K0.1711.28N/AN/A29520,80815,124
2013-08-30$22.93$25.0020.7%5.9%14.2%54.0%0.0%17.4%1.9%518.7K-5.3M-104.5K0.089.79N/AN/A1191020,82315,124