CNP Options History — September 2013

In September 2013, CNP traded between $22.76 and $24.31. ATM implied volatility averaged 24.0%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 8.0% (HV 20d: 15.9%). 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 13 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2013-09-30: Highest Volume — 20,909 contracts
  • 2013-09-17: Largest IV spike — 29.9% change
  • 2013-09-30: Highest IV Rank — 100.0%
  • 2013-09-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.45$22.76$24.31$22.76$23.97
Max Pain$23.75$22.50$25.00$25.00$22.50
ATM IV24.0%19.4%34.8%22.6%34.8%
Expected Move7.0%5.8%10.0%6.5%10.0%
HV 20d15.9%12.5%19.1%12.8%18.9%
HV 60d15.9%14.0%16.5%16.4%16.1%
IV Rank69.8%47.3%100.0%63.7%100.0%
IV Percentile84.1%59.9%100.0%88.5%100.0%
Term Structure0.5%-3.8%3.9%-0.2%-3.8%
VWIV24.6%14.3%34.3%22.5%34.3%
Skew 25d3.4%-5.0%20.4%15.7%-0.8%
Skew 10d6.4%-8.0%50.9%33.5%-2.3%
Call IV 25d23.4%15.4%33.8%28.5%33.8%
Put IV 25d26.8%20.2%44.1%44.1%33.1%
Bid-Ask Spread %34.4811.1386.8313.0912.28
Gamma HHI0.580.450.820.450.80
Net GEX1.4M331.4K4.0M388.5K3.6M
Net DEX-13.2M-32.8M-3.3M-4.4M-32.8M
Net VEX-106.8K-164.5K-84.5K-98.5K-164.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.005.770.920.59
Total Volume4,405.052020,90917320,909
Total OI42,70436,07167,72536,07167,725

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$22.76$25.0022.6%6.5%12.8%63.7%22.5%15.7%-0.2%388.5K-4.4M-98.5K0.9213.09N/AN/A908320,88715,184
2013-09-04$22.93$25.0021.4%6.1%13.3%57.6%0.0%20.4%0.4%507.7K-4.8M-95.6K5.7711.63N/AN/A8649620,93615,209
2013-09-05$22.76$25.0020.1%5.8%13.4%51.1%0.0%3.3%1.0%349.8K-4.2M-98.6K0.0011.26N/AN/A30020,96815,581
2013-09-06$22.81$22.5019.9%6.0%13.5%49.7%0.0%3.1%3.0%359.0K-3.9M-98.3K0.0051.82N/AN/A47020,98315,581
2013-09-09$23.02$22.5020.7%6.3%14.2%54.0%14.3%3.8%1.9%473.3K-4.7M-93.4K0.5539.35N/AN/A28415520,99515,581
2013-09-10$23.11$25.0019.4%6.2%14.3%47.5%21.7%0.7%2.1%518.7K-4.6M-94.2K0.1049.42N/AN/A52521,17115,713
2013-09-11$22.86$25.0019.4%6.0%14.6%47.3%0.0%5.4%1.6%363.8K-4.4M-86.7K0.0086.83N/AN/A20021,17115,718
2013-09-12$22.87$25.0021.1%6.0%13.1%56.2%21.1%5.5%1.6%363.5K-3.8M-89.2K2.0685.35N/AN/A316421,19115,718
2013-09-13$22.89$25.0020.3%5.8%12.6%52.1%20.3%5.4%3.1%378.7K-4.8M-88.4K0.1786.27N/AN/A871521,21715,781
2013-09-16$22.87$25.0020.8%6.0%12.5%54.9%20.8%4.1%2.5%331.4K-3.3M-84.5K4.0930.60N/AN/A4317621,24415,794
2013-09-17$23.49$25.0027.1%7.8%15.3%87.3%30.9%-5.0%3.9%542.2K-9.4M-96.2K0.0727.08N/AN/A6,42848121,28315,954
2013-09-18$24.31$25.0029.5%8.5%18.6%99.9%25.6%1.3%-2.8%2.2M-21.6M-114.2K0.0330.44N/AN/A3,57011826,16616,397
2013-09-19$24.21$22.5024.4%7.0%17.8%73.1%24.3%1.1%0.6%1.8M-17.4M-104.7K0.0417.25N/AN/A7,20325724,76516,493
2013-09-20$23.92$22.5026.5%7.6%18.6%84.3%26.7%-0.1%0.2%906.7K-11.5M-90.7K0.0311.13N/AN/A6,51119820,63716,668
2013-09-23$24.25$22.5026.1%7.5%19.0%82.3%26.1%0.9%-1.3%1.7M-20.0M-98.0K0.0330.05N/AN/A12,67443722,36316,581
2013-09-24$24.03$22.5026.1%7.5%19.1%82.3%26.1%-0.2%-2.5%2.9M-25.2M-122.4K0.5432.85N/AN/A1,31471133,04416,715
2013-09-25$24.00$22.5025.0%7.2%19.1%76.3%25.3%0.9%1.5%2.9M-24.6M-122.2K0.0932.86N/AN/A3,42832333,89517,407
2013-09-26$24.09$22.5027.0%7.7%19.0%87.0%26.7%1.1%-0.8%3.1M-27.9M-133.2K0.2014.82N/AN/A16,2943,31035,92417,715
2013-09-27$23.93$22.5027.4%7.8%19.0%88.7%27.1%0.4%-1.5%4.0M-31.0M-161.4K0.7815.27N/AN/A1,22394847,02120,704
2013-09-30$23.97$22.5034.8%10.0%18.9%100.0%34.3%-0.8%-3.8%3.6M-32.8M-164.5K0.5912.28N/AN/A13,1377,77247,02120,704