CEG Options History — January 2007

Name: CEG Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, CEG traded between $70.02 and $72.55. ATM implied volatility averaged 15.6%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 6.1% (HV 20d: 9.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.76.

Notable Days

2007-01-18: Highest Volume — 5,035 contracts
2007-01-31: Largest IV drop — 21.4% change
2007-01-29: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.98	$70.02	$72.55	$70.17	$72.55
Max Pain	$64.50	$60.00	$65.00	$60.00	$65.00
ATM IV	15.6%	11.9%	17.4%	14.9%	11.9%
Expected Move	4.6%	3.4%	5.0%	4.3%	3.4%
HV 20d	9.5%	9.1%	9.9%	9.7%	9.1%
Term Structure	0.7%	-0.7%	2.5%	1.8%	-0.7%
VWIV	15.4%	9.4%	17.4%	14.9%	9.4%
Skew 25d	2.6%	-0.9%	24.8%	0.9%	2.1%
Skew 10d	4.0%	-1.5%	42.4%	0.6%	3.0%
Call IV 25d	14.7%	11.7%	16.4%	12.1%	14.6%
Put IV 25d	17.4%	12.6%	38.1%	13.0%	16.8%
Bid-Ask Spread %	33.01	10.06	55.81	10.29	52.96
Gamma HHI	0.31	0.23	0.41	0.41	0.27
Net GEX	342.3K	-50.6K	1.1M	1.1M	19.8K
Net DEX	-72.7M	-110.5M	-18.2M	-107.9M	-23.2M
Net VEX	-83.3K	-94.6K	-73.7K	-85.7K	-74.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.00	9.32	0.46	0.10
Total Volume	613.15	22	5,035	158	714
Total OI	33,396.75	7,761	51,181	49,892	8,186

Daily Data (20 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
2007-01-03	$70.17	$60.00	14.9%	4.3%	0.0%	0.0%	14.9%	0.9%	1.8%	1.1M	-107.9M	-85.7K	0.46	10.29	N/A	N/A	108	50	16,998	32,894
2007-01-04	$70.89	$60.00	14.4%	4.1%	0.0%	0.0%	14.5%	2.2%	2.1%	770.4K	-110.5M	-81.9K	0.40	10.06	N/A	N/A	126	51	17,062	32,928
2007-01-05	$70.02	$65.00	13.8%	4.6%	0.0%	0.0%	14.2%	-0.2%	0.8%	868.1K	-108.6M	-82.0K	0.25	38.06	N/A	N/A	52	13	17,097	32,979
2007-01-08	$70.04	$65.00	14.5%	4.7%	0.0%	0.0%	0.0%	-0.9%	0.6%	867.3K	-107.8M	-84.4K	1.80	32.06	N/A	N/A	69	124	17,120	32,990
2007-01-09	$70.03	$65.00	14.6%	4.8%	0.0%	0.0%	16.7%	-0.1%	0.4%	795.2K	-107.9M	-87.1K	0.30	38.03	N/A	N/A	47	14	17,170	33,090
2007-01-10	$70.45	$65.00	14.2%	4.7%	0.0%	0.0%	17.0%	0.9%	0.8%	708.2K	-109.3M	-86.7K	6.64	37.95	N/A	N/A	50	332	17,189	33,099
2007-01-11	$70.34	$65.00	16.2%	4.6%	0.0%	0.0%	16.2%	1.2%	1.3%	577.9K	-108.2M	-89.1K	9.32	38.06	N/A	N/A	57	531	17,195	33,431
2007-01-12	$70.14	$65.00	16.0%	4.6%	0.0%	0.0%	0.0%	24.8%	1.0%	323.4K	-106.1M	-94.6K	6.33	51.68	N/A	N/A	3	19	17,225	33,929
2007-01-16	$70.59	$65.00	16.7%	4.8%	0.0%	0.0%	16.7%	2.0%	0.5%	292.4K	-108.3M	-88.9K	0.12	22.36	N/A	N/A	25	3	17,222	33,948
2007-01-17	$70.87	$65.00	16.8%	4.8%	0.0%	0.0%	15.2%	1.6%	0.3%	257.3K	-109.5M	-89.0K	0.01	55.81	N/A	N/A	294	2	17,231	33,950
2007-01-18	$71.12	$65.00	16.0%	4.6%	0.0%	0.0%	12.7%	1.6%	1.4%	181.5K	-110.2M	-85.8K	0.00	24.44	N/A	N/A	5,035	0	17,150	33,952
2007-01-19	$71.24	$65.00	16.7%	4.8%	0.0%	0.0%	16.7%	1.9%	0.7%	100.7K	-93.8M	-82.7K	0.01	22.61	N/A	N/A	3,746	50	14,739	33,939
2007-01-22	$70.71	$65.00	17.3%	5.0%	0.0%	0.0%	0.0%	2.5%	0.2%	27.0K	-18.2M	-83.3K	1.17	22.71	N/A	N/A	12	14	4,280	3,481
2007-01-23	$71.25	$65.00	16.7%	4.8%	0.0%	0.0%	0.0%	2.3%	0.4%	-3.3K	-19.4M	-81.6K	0.50	35.60	N/A	N/A	34	17	4,286	3,493
2007-01-24	$71.63	$65.00	17.0%	4.9%	0.0%	0.0%	16.9%	2.6%	-0.0%	9.2K	-20.1M	-79.1K	1.08	35.83	N/A	N/A	52	56	4,301	3,508
2007-01-25	$71.28	$65.00	15.5%	4.5%	9.7%	0.0%	0.0%	1.9%	-0.5%	-50.6K	-20.0M	-81.5K	0.07	39.45	N/A	N/A	67	5	4,330	3,553
2007-01-26	$71.92	$65.00	16.4%	4.7%	9.9%	0.0%	16.5%	1.9%	1.1%	10.7K	-21.4M	-78.2K	1.74	41.59	N/A	N/A	23	40	4,393	3,552
2007-01-29	$71.97	$65.00	17.4%	5.0%	9.6%	0.0%	17.4%	2.0%	0.1%	-7.0K	-21.6M	-76.4K	0.10	23.48	N/A	N/A	140	14	4,399	3,592
2007-01-30	$72.34	$65.00	15.1%	4.3%	9.4%	0.0%	16.2%	1.6%	2.5%	25.9K	-22.8M	-73.7K	4.83	27.15	N/A	N/A	47	227	4,451	3,603
2007-01-31	$72.55	$65.00	11.9%	3.4%	9.1%	0.0%	9.4%	2.1%	-0.7%	19.8K	-23.2M	-74.5K	0.10	52.96	N/A	N/A	647	67	4,457	3,729