CEG Options History — March 2007

In March 2007, CEG traded between $76.51 and $87.88. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.6% (HV 20d: 23.6%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2007-03-26: Highest Volume — 14,432 contracts
  • 2007-03-23: Largest IV drop — 21.4% change
  • 2007-03-21: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.04$76.51$87.88$79.08$86.95
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV24.2%19.8%28.5%22.7%20.4%
Expected Move6.8%5.7%7.8%6.5%5.8%
HV 20d23.6%20.1%26.5%20.1%20.8%
HV 60d18.0%16.9%18.7%16.9%17.8%
Term Structure-0.2%-6.4%4.6%0.2%2.3%
VWIV24.1%19.7%27.8%23.3%19.7%
Skew 25d4.2%1.7%6.8%5.7%5.1%
Skew 10d7.9%-0.7%16.7%4.9%15.6%
Call IV 25d22.1%17.0%25.2%19.2%17.0%
Put IV 25d26.4%22.2%30.7%24.9%22.2%
Bid-Ask Spread %33.0019.6057.8741.3824.28
Gamma HHI0.310.180.650.300.65
Net GEX1.8M-535.4K8.9M-489.4K8.9M
Net DEX-66.3M-144.4M-14.4M-26.3M-125.1M
Net VEX-423.8K-685.1K-189.7K-189.7K-667.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.033.000.180.34
Total Volume2,297.513714,432137465
Total OI36,388.18220,81658,02620,81658,026

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$79.08$75.0022.7%6.5%20.1%0.0%23.3%5.7%0.2%-489.4K-26.3M-189.7K0.1841.38N/AN/A116216,71914,097
2007-03-02$77.81$75.0023.0%6.6%20.6%0.0%27.3%3.0%1.6%-529.8K-20.6M-206.0K1.0957.87N/AN/A6016566,79114,109
2007-03-05$76.51$75.0026.2%7.5%21.7%0.0%25.6%3.4%-6.4%-535.4K-14.4M-232.2K0.0442.28N/AN/A991437,34914,627
2007-03-06$78.21$75.0022.2%6.8%22.8%0.0%24.6%5.9%-3.3%-269.5K-22.9M-241.0K0.7530.22N/AN/A4,4113,3248,07014,647
2007-03-07$79.23$75.0023.4%7.2%23.1%0.0%23.8%3.2%-2.5%67.9K-35.5M-353.2K0.0638.95N/AN/A1,1527211,63717,714
2007-03-08$80.11$75.0024.3%7.1%23.3%0.0%23.5%4.9%-1.3%189.7K-39.8M-347.3K0.0628.75N/AN/A9726011,63317,743
2007-03-09$80.50$75.0025.0%7.3%22.9%0.0%24.3%4.4%-2.3%476.8K-45.6M-354.7K0.2429.62N/AN/A2034812,48717,777
2007-03-12$81.56$75.0028.2%6.8%23.0%0.0%23.7%2.9%0.6%634.8K-51.2M-347.6K0.3226.35N/AN/A2,47478512,65017,806
2007-03-13$80.31$75.0028.3%7.1%23.7%0.0%24.4%4.3%-0.1%414.3K-44.0M-383.2K1.5134.41N/AN/A35954213,33818,458
2007-03-14$81.05$75.0028.5%7.2%23.6%0.0%24.7%3.7%-0.4%258.9K-42.5M-357.8K1.6134.83N/AN/A45272612,43318,815
2007-03-15$84.18$75.0023.6%6.8%26.3%0.0%24.1%2.6%0.6%557.3K-62.4M-330.4K0.8720.62N/AN/A2,5472,20812,84719,410
2007-03-16$83.58$75.0025.3%7.2%26.5%0.0%26.2%1.7%0.1%444.4K-58.7M-453.2K1.4120.27N/AN/A29942314,73121,523
2007-03-19$83.75$75.0027.1%7.8%26.5%0.0%27.5%6.2%-2.4%381.7K-55.6M-457.9K0.3639.74N/AN/A71225914,46620,897
2007-03-20$84.25$75.0025.1%7.2%26.5%0.0%26.5%3.3%0.1%633.0K-60.4M-457.6K1.0330.90N/AN/A83385415,02421,082
2007-03-21$86.15$75.0027.3%7.8%26.5%0.0%27.8%6.8%-1.3%685.4K-74.7M-440.0K0.8850.24N/AN/A87576715,48321,727
2007-03-22$86.83$75.0025.9%7.4%26.4%0.0%25.9%3.1%-2.2%778.6K-80.7M-456.8K0.2827.38N/AN/A3,9311,11316,13222,383
2007-03-23$87.65$75.0020.3%5.8%26.4%0.0%20.7%5.1%2.7%1.3M-94.3M-515.3K0.1919.60N/AN/A95118519,01823,319
2007-03-26$87.88$75.0022.1%6.3%22.4%0.0%21.8%4.4%2.3%1.6M-100.5M-498.8K0.0332.11N/AN/A14,03040219,58123,478
2007-03-27$87.55$75.0019.8%5.7%21.4%0.0%22.2%5.7%4.6%8.2M-144.4M-685.1K1.6029.60N/AN/A10817333,55323,822
2007-03-28$86.70$75.0021.4%6.1%22.1%0.0%22.1%3.1%2.9%8.1M-128.6M-680.6K0.5930.43N/AN/A33920033,57223,921
2007-03-29$87.02$75.0021.5%6.2%22.1%0.0%20.3%4.5%1.0%8.7M-130.4M-668.7K3.0036.14N/AN/A21664733,71723,928
2007-03-30$86.95$75.0020.4%5.8%20.8%0.0%19.7%5.1%2.3%8.9M-125.1M-667.5K0.3424.28N/AN/A34711833,75324,273