CNP Options History — October 2013

In October 2013, CNP traded between $23.85 and $24.87. ATM implied volatility averaged 30.0%, placing in the 79.4% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 11.9% (HV 20d: 18.1%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2013-10-01: Highest Volume — 20,903 contracts
2013-10-10: Largest IV drop — 13.9% change
2013-10-08: Highest IV Rank — 100.0%
2013-10-03: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.41	$23.85	$24.87	$24.19	$24.60
Max Pain	$19.40	$15.00	$25.00	$22.50	$20.00
ATM IV	30.0%	25.9%	35.3%	33.5%	25.9%
Expected Move	7.7%	6.4%	9.8%	9.6%	6.9%
HV 20d	18.1%	13.8%	21.3%	18.6%	13.8%
HV 60d	16.7%	16.0%	17.2%	16.0%	16.5%
IV Rank	79.4%	62.2%	100.0%	95.0%	62.2%
IV Percentile	94.5%	84.9%	100.0%	99.6%	84.9%
Term Structure	-3.6%	-5.1%	-1.8%	-3.0%	-2.4%
VWIV	30.0%	23.9%	34.2%	33.5%	25.3%
Skew 25d	-2.6%	-9.5%	2.6%	-0.5%	-8.9%
Skew 10d	-4.7%	-15.3%	1.5%	-2.3%	-15.3%
Call IV 25d	28.6%	25.9%	34.3%	33.8%	28.4%
Put IV 25d	26.0%	17.6%	33.3%	33.3%	19.5%
Bid-Ask Spread %	37.70	7.56	129.83	13.27	50.41
Gamma HHI	0.65	0.56	0.80	0.73	0.65
Net GEX	4.7M	2.1M	11.0M	4.6M	3.1M
Net DEX	-39.1M	-55.6M	-30.3M	-43.4M	-31.5M
Net VEX	-193.1K	-275.2K	-105.2K	-220.0K	-105.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	2.17	0.80	0.00
Total Volume	2,000	76	20,903	20,903	76
Total OI	98,632.652	78,637	112,680	87,518	78,637

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-10-01	$24.19	$22.50	33.5%	9.6%	18.6%	95.0%	33.5%	-0.5%	-3.0%	4.6M	-43.4M	-220.0K	0.80	13.27	N/A	N/A	11,599	9,304	58,386	29,132
2013-10-02	$24.41	$25.00	33.4%	9.6%	18.7%	94.2%	33.3%	-1.5%	-3.8%	5.3M	-55.6M	-274.1K	0.59	16.41	N/A	N/A	9,302	5,498	69,034	38,325
2013-10-03	$23.87	$25.00	34.2%	9.8%	20.5%	97.5%	34.2%	-2.9%	-4.1%	3.8M	-32.2M	-275.2K	0.26	12.79	N/A	N/A	832	219	67,991	43,754
2013-10-04	$24.13	$22.50	32.4%	8.8%	20.7%	90.4%	29.5%	0.1%	-3.6%	4.5M	-41.1M	-273.7K	0.31	28.77	N/A	N/A	220	69	68,086	43,837
2013-10-07	$23.87	$22.50	33.9%	9.0%	21.1%	96.4%	31.1%	-1.1%	-4.6%	4.0M	-31.5M	-254.4K	0.24	7.56	N/A	N/A	169	41	68,032	43,894
2013-10-08	$23.85	$22.50	35.3%	9.1%	21.1%	100.0%	31.1%	-0.7%	-4.4%	4.1M	-30.3M	-251.0K	0.28	29.03	N/A	N/A	168	47	68,115	43,927
2013-10-09	$23.93	$22.50	34.9%	9.1%	20.6%	98.4%	29.8%	-1.2%	-3.9%	4.3M	-32.7M	-243.5K	0.60	9.97	N/A	N/A	77	46	68,135	43,959
2013-10-10	$24.34	$22.50	30.1%	8.6%	21.2%	79.0%	29.3%	0.8%	-3.2%	5.4M	-48.7M	-238.9K	0.44	11.91	N/A	N/A	264	117	68,143	43,973
2013-10-11	$24.46	$22.50	29.2%	8.4%	21.2%	75.4%	29.3%	2.6%	-3.3%	6.5M	-52.8M	-235.2K	0.60	10.18	N/A	N/A	99	59	68,276	44,058
2013-10-14	$24.41	$0.00	31.1%	6.8%	21.3%	83.3%	0.0%	1.6%	-5.1%	6.8M	-49.9M	-218.3K	0.27	129.83	N/A	N/A	245	67	68,287	44,098
2013-10-15	$24.04	$0.00	30.9%	6.8%	20.3%	82.1%	23.9%	0.8%	-4.3%	5.5M	-32.2M	-204.4K	0.02	72.66	N/A	N/A	287	5	68,407	44,109
2013-10-16	$24.35	$22.50	29.8%	6.9%	16.8%	78.1%	0.0%	-0.8%	-4.4%	7.3M	-40.0M	-193.8K	0.00	53.53	N/A	N/A	373	0	68,576	44,104
2013-10-17	$24.68	$22.50	29.4%	6.6%	17.3%	76.5%	0.0%	-0.1%	-4.1%	11.0M	-55.3M	-188.6K	1.16	47.93	N/A	N/A	137	159	68,245	44,069
2013-10-18	$24.60	$15.00	27.2%	6.6%	16.7%	67.7%	0.0%	-1.1%	-2.9%	11.0M	-36.1M	-171.5K	0.06	32.51	N/A	N/A	1,045	59	68,212	44,114
2013-10-21	$24.60	$15.00	26.8%	6.9%	16.1%	65.8%	0.0%	-1.7%	-2.6%	2.1M	-31.1M	-152.5K	0.54	47.90	N/A	N/A	363	197	37,572	42,933
2013-10-22	$24.71	$15.00	27.3%	6.9%	15.7%	68.0%	0.0%	-8.9%	-3.3%	2.4M	-34.9M	-149.1K	0.08	38.04	N/A	N/A	490	39	37,766	43,119
2013-10-23	$24.68	$15.00	27.9%	6.8%	15.7%	70.2%	0.0%	0.9%	-3.3%	2.3M	-34.5M	-151.1K	0.26	34.50	N/A	N/A	241	62	37,933	43,147
2013-10-24	$24.62	$15.00	27.6%	6.4%	15.7%	69.2%	0.0%	-9.5%	-3.2%	2.5M	-33.7M	-141.8K	0.32	36.87	N/A	N/A	103	33	38,017	43,144
2013-10-25	$24.87	$15.00	27.1%	6.9%	15.8%	67.2%	0.0%	-6.6%	-3.1%	3.2M	-42.0M	-131.7K	0.70	42.07	N/A	N/A	182	127	37,990	43,112
2013-10-28	$24.84	$15.00	28.0%	6.8%	15.8%	70.6%	0.0%	-7.2%	-3.8%	3.3M	-40.8M	-126.5K	0.46	38.19	N/A	N/A	98	45	38,092	43,203
2013-10-29	$24.80	$15.00	28.4%	6.8%	15.6%	72.5%	0.0%	-6.7%	-4.9%	3.2M	-38.2M	-123.6K	2.17	42.83	N/A	N/A	29	63	38,089	43,199
2013-10-30	$24.48	$15.00	26.7%	6.7%	16.1%	65.5%	25.3%	-7.6%	-1.8%	3.0M	-31.1M	-117.4K	0.01	59.98	N/A	N/A	3,305	40	38,061	43,259
2013-10-31	$24.60	$20.00	25.9%	6.9%	13.8%	62.2%	0.0%	-8.9%	-2.4%	3.1M	-31.5M	-105.2K	0.00	50.41	N/A	N/A	76	0	35,358	43,279