CNP Options History — November 2013

In November 2013, CNP traded between $23.43 and $25.07. ATM implied volatility averaged 23.8%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.4% (HV 20d: 17.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.21.

Notable Days

  • 2013-11-26: Highest Volume — 27,531 contracts
  • 2013-11-14: Largest IV spike — 45.0% change
  • 2013-11-29: Highest IV Rank — 86.5%
  • 2013-11-26: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.57$23.43$25.07$24.41$23.43
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV23.8%16.3%31.9%29.3%31.9%
Expected Move6.8%6.4%7.6%6.6%7.5%
HV 20d17.3%13.0%25.7%13.7%25.3%
HV 60d17.5%16.5%20.4%16.6%20.3%
IV Rank53.9%23.9%86.5%76.1%86.5%
IV Percentile72.7%21.4%96.8%94.0%96.8%
Term Structure-1.0%-4.9%1.0%-4.9%-3.9%
VWIV25.8%25.8%25.8%25.8%25.8%
Skew 25d-1.5%-11.5%4.9%-11.5%-8.5%
Skew 10d-2.0%-16.8%7.8%-16.8%-11.2%
Call IV 25d24.5%20.5%38.9%31.2%38.9%
Put IV 25d23.0%14.4%30.4%19.7%30.4%
Bid-Ask Spread %41.0520.0683.3362.3239.62
Gamma HHI0.890.580.990.580.94
Net GEX6.6M2.3M21.5M2.3M5.5M
Net DEX-36.0M-59.0M-19.7M-26.9M-45.2M
Net VEX-105.5K-229.9K-77.6K-110.6K-229.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.710.000.30
Total Volume5,946.78427,5319,334882
Total OI64,503.924,66988,89578,62883,339

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$24.41$20.0029.3%6.6%13.7%76.1%0.0%-11.5%-4.9%2.3M-26.9M-110.6K0.0062.32N/AN/A9,334035,34943,279
2013-11-04$24.45$20.0029.0%6.7%13.0%74.9%0.0%3.3%-1.3%3.3M-29.1M-102.3K0.7154.70N/AN/A493539,54543,279
2013-11-05$24.26$20.0028.9%6.7%13.4%74.2%0.0%1.4%-1.1%2.4M-23.3M-90.9K0.0054.80N/AN/A8,7462134,35143,310
2013-11-06$25.05$20.0021.4%6.4%17.4%44.5%0.0%4.2%-0.0%7.5M-47.4M-89.2K0.0383.33N/AN/A4,80813537,93343,321
2013-11-07$24.73$20.0018.6%7.0%17.3%33.4%0.0%4.4%1.0%7.2M-35.9M-86.7K0.0235.00N/AN/A1,6763938,34543,430
2013-11-08$24.82$20.0022.2%6.6%17.2%47.7%0.0%3.7%-1.8%6.9M-39.8M-88.0K0.0639.78N/AN/A9,64662038,34243,437
2013-11-11$25.00$20.0024.7%6.8%17.3%57.5%0.0%4.1%-1.0%9.0M-51.4M-102.2K0.6938.04N/AN/A23916443,84443,831
2013-11-12$24.90$20.0023.4%6.9%16.4%52.4%0.0%3.8%-0.2%9.9M-47.1M-99.7K0.0229.20N/AN/A6,99413644,95943,936
2013-11-13$24.98$20.0016.3%6.5%15.8%23.9%0.0%4.9%-0.4%17.0M-51.7M-99.5K0.4227.96N/AN/A71430042,51044,060
2013-11-14$24.94$20.0023.6%6.9%15.2%53.2%0.0%4.7%-0.2%21.5M-47.5M-95.2K0.3236.77N/AN/A83927142,42344,074
2013-11-15$25.07$20.0021.9%6.7%15.2%46.3%0.0%3.2%0.2%16.6M-59.0M-89.6K0.2437.29N/AN/A1,92646642,28444,313
2013-11-18$24.91$20.0021.6%6.6%15.4%45.4%0.0%-4.3%-0.8%2.3M-26.0M-77.6K0.6120.06N/AN/A1,43887520,8263,843
2013-11-19$24.68$20.0021.3%6.4%15.7%43.8%0.0%-5.6%-1.1%2.4M-23.6M-83.8K0.5931.17N/AN/A22413322,2034,614
2013-11-20$24.39$20.0021.0%6.6%16.3%42.6%0.0%-7.2%-0.5%2.3M-19.7M-82.6K0.0364.26N/AN/A3391022,3214,718
2013-11-21$24.54$20.0019.8%6.6%16.4%37.9%0.0%-5.7%0.1%2.6M-22.1M-82.5K0.0448.35N/AN/A243922,4874,728
2013-11-22$24.98$20.0021.3%6.5%17.3%44.1%0.0%-6.6%-0.1%2.5M-28.7M-83.7K0.1026.05N/AN/A4,34542122,6724,734
2013-11-25$24.87$20.0022.0%6.7%17.4%46.9%0.0%-7.6%-1.2%3.2M-31.3M-91.2K0.0028.24N/AN/A21,4207026,5044,935
2013-11-26$23.58$20.0026.8%7.6%25.7%66.0%25.8%-1.1%0.3%3.7M-21.2M-107.8K0.0326.16N/AN/A26,67485743,9024,980
2013-11-27$23.45$20.0030.4%7.4%25.4%80.3%0.0%-8.6%-2.3%4.7M-42.9M-216.2K0.0437.93N/AN/A13,36347367,5015,616
2013-11-29$23.43$20.0031.9%7.5%25.3%86.5%0.0%-8.5%-3.9%5.5M-45.2M-229.9K0.3039.62N/AN/A67620677,3286,011