CEG Options History — February 2007

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

In February 2007, CEG traded between $73.58 and $79.56. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.8% (HV 20d: 12.0%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 10.50.

Notable Days

2007-02-06: Highest Volume — 8,627 contracts
2007-02-26: Largest IV spike — 41.9% change
2007-02-27: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.48	$73.58	$79.56	$73.90	$78.62
Max Pain	$74.21	$65.00	$75.00	$65.00	$75.00
ATM IV	15.8%	13.8%	22.5%	13.8%	20.8%
Expected Move	4.6%	3.9%	6.4%	3.9%	6.0%
HV 20d	12.0%	8.8%	20.1%	10.7%	20.1%
Term Structure	0.8%	-1.1%	2.2%	-0.0%	0.9%
VWIV	16.3%	13.7%	24.3%	13.7%	24.3%
Skew 25d	2.5%	0.9%	5.3%	1.6%	5.3%
Skew 10d	2.3%	-2.0%	5.9%	3.1%	5.9%
Call IV 25d	15.9%	14.4%	20.4%	14.6%	18.6%
Put IV 25d	18.4%	16.2%	24.5%	16.2%	24.0%
Bid-Ask Spread %	35.19	13.16	75.79	36.16	58.65
Gamma HHI	0.36	0.30	0.59	0.47	0.32
Net GEX	-249.3K	-715.7K	868.6K	482.0K	-539.0K
Net DEX	-22.0M	-31.5M	-13.6M	-27.5M	-25.0M
Net VEX	-169.7K	-211.1K	-76.5K	-76.5K	-189.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.50	0.00	171.54	1.60	0.19
Total Volume	940.842	14	8,627	91	289
Total OI	17,655.211	8,797	21,502	8,797	20,665

Daily Data (19 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
2007-02-01	$73.90	$65.00	13.8%	3.9%	10.7%	0.0%	13.7%	1.6%	-0.0%	482.0K	-27.5M	-76.5K	1.60	36.16	N/A	N/A	35	56	5,044	3,753
2007-02-02	$74.07	$70.00	13.8%	4.2%	10.3%	0.0%	14.8%	1.7%	0.4%	489.4K	-27.9M	-76.7K	0.43	18.18	N/A	N/A	605	263	5,073	3,770
2007-02-05	$74.65	$75.00	15.7%	4.7%	8.9%	0.0%	16.2%	1.1%	-0.6%	719.5K	-30.5M	-79.8K	0.08	21.45	N/A	N/A	397	30	5,644	3,991
2007-02-06	$74.70	$75.00	15.5%	4.5%	8.9%	0.0%	15.6%	1.4%	0.3%	868.6K	-31.5M	-82.1K	171.54	17.18	N/A	N/A	50	8,577	5,907	3,991
2007-02-07	$75.02	$75.00	14.3%	4.6%	8.8%	0.0%	16.1%	0.9%	-0.1%	-377.8K	-21.7M	-182.4K	1.08	17.94	N/A	N/A	161	174	5,879	12,564
2007-02-08	$74.46	$75.00	15.6%	4.5%	9.6%	0.0%	15.6%	1.6%	0.4%	-434.4K	-20.0M	-187.0K	3.51	35.48	N/A	N/A	228	800	5,964	12,670
2007-02-09	$74.18	$75.00	13.9%	4.0%	9.7%	0.0%	13.9%	2.2%	1.7%	-676.9K	-16.0M	-201.0K	0.73	23.87	N/A	N/A	593	431	6,159	13,416
2007-02-12	$73.58	$75.00	14.2%	4.1%	10.3%	0.0%	14.1%	1.7%	1.6%	-715.7K	-13.6M	-211.1K	0.27	28.43	N/A	N/A	11	3	6,643	13,807
2007-02-13	$74.47	$75.00	14.3%	4.1%	10.8%	0.0%	20.8%	2.9%	1.4%	-632.3K	-16.4M	-208.9K	0.44	20.91	N/A	N/A	16	7	6,651	13,807
2007-02-14	$75.39	$75.00	14.4%	4.1%	11.3%	0.0%	14.4%	2.2%	0.9%	-514.4K	-22.5M	-194.6K	0.04	53.45	N/A	N/A	139	5	6,652	13,812
2007-02-15	$75.16	$75.00	14.8%	4.2%	11.5%	0.0%	14.8%	2.1%	1.4%	-455.6K	-22.4M	-191.5K	0.04	65.72	N/A	N/A	358	16	6,724	13,814
2007-02-16	$75.31	$75.00	14.4%	4.1%	11.5%	0.0%	14.4%	3.1%	1.2%	-323.1K	-23.5M	-197.2K	0.66	67.38	N/A	N/A	35	23	6,989	13,822
2007-02-20	$75.79	$75.00	15.3%	4.4%	10.9%	0.0%	15.3%	3.1%	1.9%	-324.0K	-17.0M	-188.1K	0.52	13.36	N/A	N/A	223	117	5,840	12,764
2007-02-21	$75.00	$75.00	15.1%	4.3%	11.8%	0.0%	15.1%	2.1%	1.6%	-282.3K	-14.1M	-196.7K	15.51	43.39	N/A	N/A	45	698	6,018	12,778
2007-02-22	$75.85	$75.00	15.3%	4.4%	12.2%	0.0%	15.9%	4.0%	2.1%	-492.2K	-15.7M	-198.1K	1.24	44.20	N/A	N/A	261	323	6,025	13,393
2007-02-23	$76.08	$75.00	15.1%	4.3%	11.8%	0.0%	15.1%	3.6%	2.2%	-517.1K	-17.5M	-196.9K	0.00	13.16	N/A	N/A	28	0	6,255	13,703
2007-02-26	$79.56	$75.00	21.4%	6.1%	18.9%	0.0%	23.2%	1.8%	-1.0%	-473.4K	-30.1M	-166.3K	1.34	13.96	N/A	N/A	1,136	1,518	6,257	13,703
2007-02-27	$78.41	$75.00	22.5%	6.4%	20.1%	0.0%	24.3%	4.4%	-1.1%	-537.7K	-24.9M	-199.0K	0.30	75.79	N/A	N/A	173	52	7,012	14,490
2007-02-28	$78.62	$75.00	20.8%	6.0%	20.1%	0.0%	0.0%	5.3%	0.9%	-539.0K	-25.0M	-189.9K	0.19	58.65	N/A	N/A	243	46	6,568	14,097