CNP Options History — December 2013

In December 2013, CNP traded between $22.68 and $23.36. ATM implied volatility averaged 31.0%, placing in the 82.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.0% (HV 20d: 21.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2013-12-05: Highest Volume — 76,796 contracts
  • 2013-12-09: Largest IV spike — 17.3% change
  • 2013-12-09: Highest IV Rank — 100.0%
  • 2013-12-27: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.05$22.68$23.36$23.13$23.18
Max Pain$20.48$20.00$22.50$20.00$22.50
ATM IV31.0%27.0%35.3%31.9%28.8%
Expected Move8.2%7.5%9.1%7.6%7.7%
HV 20d21.0%12.4%25.5%25.5%12.4%
HV 60d19.2%18.0%20.5%20.5%18.0%
IV Rank82.6%65.4%100.0%86.3%72.9%
IV Percentile92.3%78.6%100.0%96.4%83.3%
Term Structure1.4%-3.6%5.6%-2.1%2.9%
VWIV28.6%27.6%29.6%27.7%29.6%
Skew 25d-5.6%-11.0%13.7%-8.7%-6.2%
Skew 10d-6.0%-14.5%38.7%-14.0%-9.7%
Call IV 25d34.7%28.8%39.4%38.6%34.4%
Put IV 25d29.1%24.7%49.1%29.9%28.1%
Bid-Ask Spread %57.5733.8693.7133.8681.62
Gamma HHI0.810.730.990.930.74
Net GEX6.7M4.5M10.4M5.0M7.8M
Net DEX-55.2M-82.8M-25.8M-35.0M-67.8M
Net VEX-490.2K-632.5K-175.0K-197.7K-571.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.011.550.420.48
Total Volume13,027.66731776,7962,6053,314
Total OI189,54484,080231,66084,080227,304

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$23.13$20.0031.9%7.6%25.5%86.3%0.0%-8.7%-2.1%5.0M-35.0M-197.7K0.4233.86N/AN/A1,83077577,9616,119
2013-12-03$23.05$20.0031.1%7.5%25.5%82.9%0.0%-8.4%-2.6%4.7M-30.1M-191.5K0.5836.73N/AN/A1,05160878,6686,836
2013-12-04$23.09$20.0030.6%8.6%25.4%81.0%0.0%13.7%-2.7%4.5M-25.8M-175.0K1.0366.13N/AN/A65166978,9277,398
2013-12-05$23.19$20.0035.3%7.7%22.1%100.0%0.0%-5.0%-3.6%4.9M-35.4M-199.0K0.0259.10N/AN/A75,3331,46379,0368,020
2013-12-06$23.36$20.0030.1%7.7%22.2%79.2%0.0%0.9%1.6%10.4M-70.0M-357.4K1.3164.17N/AN/A32,48142,661146,6139,350
2013-12-09$23.29$20.0035.3%8.5%22.1%100.0%0.0%-7.5%1.8%8.0M-72.0M-560.0K0.1793.71N/AN/A16,0862,783152,21840,031
2013-12-10$23.24$20.0035.0%8.2%21.7%98.7%0.0%-5.1%-0.1%8.1M-71.4M-593.7K1.3052.24N/AN/A570740161,86845,247
2013-12-11$22.85$20.0032.2%8.3%22.2%87.6%0.0%-8.5%1.4%6.0M-42.9M-545.3K0.5347.07N/AN/A796421163,74445,901
2013-12-12$22.85$20.0029.5%8.2%22.1%76.6%0.0%-6.8%2.3%6.3M-44.6M-546.4K0.3044.94N/AN/A525157164,01246,287
2013-12-13$22.68$20.0029.0%8.0%22.1%74.6%0.0%-7.8%2.5%5.3M-32.7M-520.7K0.1743.16N/AN/A27146163,94546,394
2013-12-16$22.79$20.0029.5%7.8%22.1%76.5%0.0%-9.5%1.6%5.6M-36.6M-516.1K0.0937.55N/AN/A1,873174164,21746,428
2013-12-17$22.89$20.0033.5%8.0%22.3%92.4%27.7%-9.7%0.3%5.5M-45.3M-519.4K0.0158.52N/AN/A46,239595164,22746,516
2013-12-18$22.99$20.0030.4%8.4%22.4%80.4%0.0%-9.2%4.3%8.1M-69.3M-611.1K0.0786.10N/AN/A9,316621184,72446,936
2013-12-19$22.76$20.0030.1%7.7%22.4%79.1%29.3%-11.0%4.0%6.1M-50.0M-579.2K1.5587.23N/AN/A233360182,54447,384
2013-12-20$23.25$20.0032.3%8.2%23.8%88.0%0.0%-4.8%2.4%7.6M-82.8M-614.8K0.3352.00N/AN/A7,2512,413184,19446,544
2013-12-23$23.06$20.0029.9%9.0%22.6%78.5%0.0%-4.7%3.2%7.3M-72.6M-588.0K1.0157.90N/AN/A8,6118,725162,75747,389
2013-12-24$23.15$20.0030.8%8.9%22.8%82.0%27.6%-4.4%1.6%7.3M-72.5M-632.5K0.0853.61N/AN/A33928169,01056,088
2013-12-26$23.07$22.5029.5%8.8%13.3%76.7%0.0%-4.5%3.5%7.2M-67.2M-610.8K0.4747.84N/AN/A422197168,88656,116
2013-12-27$23.12$22.5027.0%9.1%13.2%65.4%0.0%-3.3%5.6%7.2M-67.1M-590.1K0.1164.25N/AN/A38644168,93656,255
2013-12-30$23.11$22.5029.4%8.6%13.2%75.6%29.6%-7.1%2.6%7.4M-67.4M-573.8K0.3641.27N/AN/A1,860663169,10556,289
2013-12-31$23.18$22.5028.8%7.7%12.4%72.9%0.0%-6.2%2.9%7.8M-67.8M-571.8K0.4881.62N/AN/A2,2421,072170,40856,896