CEG Options History — April 2007

In April 2007, CEG traded between $87.25 and $93.25. ATM implied volatility averaged 21.7%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.3% (HV 20d: 15.4%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 5.50.

Notable Days

  • 2007-04-04: Highest Volume — 11,137 contracts
  • 2007-04-25: Largest IV drop — 18.4% change
  • 2007-04-23: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.46$87.25$93.25$87.95$89.12
Max Pain$87.00$75.00$90.00$75.00$90.00
ATM IV21.7%17.3%27.2%18.9%18.8%
Expected Move6.4%5.0%7.8%5.4%5.4%
HV 20d15.4%11.4%19.1%19.1%16.5%
HV 60d18.1%17.5%19.3%17.8%19.3%
Term Structure-0.0%-2.5%4.7%3.7%0.1%
VWIV22.8%17.0%27.3%25.5%18.9%
Skew 25d4.3%2.6%7.6%5.0%3.8%
Skew 10d11.8%5.1%15.3%15.3%8.1%
Call IV 25d20.7%16.8%24.3%17.4%18.2%
Put IV 25d25.0%20.4%29.3%22.4%22.0%
Bid-Ask Spread %35.9823.8545.0923.8535.10
Gamma HHI0.650.270.880.700.27
Net GEX12.7M2.2M42.2M10.2M2.6M
Net DEX-152.8M-235.2M-72.7M-143.1M-72.7M
Net VEX-761.7K-864.9K-643.3K-662.5K-864.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.500.0172.751.311.48
Total Volume2,834.4529911,1373601,520
Total OI65,753.357,73778,61358,13267,382

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$87.95$75.0018.9%5.4%19.1%0.0%25.5%5.0%3.7%10.2M-143.1M-662.5K1.3123.85N/AN/A15620433,85224,280
2007-04-03$88.05$75.0017.3%5.0%18.4%0.0%17.0%4.4%4.7%11.1M-144.7M-643.3K0.0129.29N/AN/A5,2274533,88524,413
2007-04-04$88.00$75.0017.8%5.1%18.3%0.0%20.6%3.4%4.4%12.3M-168.1M-733.4K72.7532.60N/AN/A15110,98638,98724,431
2007-04-05$88.00$75.0017.9%5.1%18.3%0.0%17.9%4.9%4.4%11.6M-164.0M-755.4K1.9525.10N/AN/A42482839,03626,268
2007-04-09$89.00$90.0019.7%6.8%18.4%0.0%20.8%4.3%-1.7%13.0M-180.8M-756.7K2.8838.14N/AN/A3721,07339,32326,982
2007-04-10$89.00$90.0019.6%6.8%18.2%0.0%24.4%5.1%-1.5%13.1M-182.4M-755.5K0.1325.17N/AN/A4375539,57827,838
2007-04-11$88.09$90.0020.5%6.7%17.6%0.0%23.6%3.9%-1.5%12.7M-161.4M-752.9K1.1835.38N/AN/A41248739,66727,853
2007-04-12$87.55$90.0023.2%6.7%17.9%0.0%20.6%4.3%-1.1%11.4M-147.1M-751.9K0.2836.19N/AN/A2,46868239,87428,237
2007-04-13$87.25$90.0025.0%7.2%12.7%0.0%25.4%4.5%-0.6%11.6M-143.9M-748.9K0.9837.07N/AN/A15114841,37128,149
2007-04-16$88.55$90.0024.0%6.9%13.1%0.0%25.6%5.4%-1.7%15.8M-169.7M-731.8K0.4438.34N/AN/A66929341,30628,250
2007-04-17$89.60$90.0023.4%6.7%13.4%0.0%26.0%5.2%-0.7%21.2M-201.8M-721.4K0.8940.37N/AN/A1,2861,15041,47428,257
2007-04-18$89.61$90.0024.4%7.0%13.4%0.0%25.0%2.6%-1.9%23.0M-198.4M-755.0K7.3342.21N/AN/A2882,11042,47129,331
2007-04-19$89.55$90.0023.9%6.8%11.4%0.0%23.9%2.7%-1.8%28.5M-183.3M-784.3K12.6141.47N/AN/A4796,03842,58331,371
2007-04-20$90.50$90.0025.1%7.2%11.6%0.0%25.0%4.4%-2.5%42.2M-235.2M-815.3K1.2140.09N/AN/A1,2891,56342,58636,027
2007-04-23$92.22$90.0027.2%7.8%12.8%0.0%25.9%7.6%-1.5%2.3M-109.1M-795.6K0.4645.09N/AN/A68731426,26531,472
2007-04-24$92.65$90.0025.0%7.2%12.8%0.0%27.3%5.1%-0.8%2.2M-117.7M-792.5K0.6335.73N/AN/A1,51895826,61331,695
2007-04-25$93.25$90.0020.4%5.9%12.7%0.0%21.9%4.0%0.2%2.7M-128.3M-774.3K0.8544.42N/AN/A1,5001,28227,54932,319
2007-04-26$91.13$90.0020.9%6.0%15.1%0.0%20.0%2.8%-0.3%3.0M-109.6M-813.0K0.7237.88N/AN/A1,9681,41928,38933,016
2007-04-27$90.10$90.0020.3%5.8%15.9%0.0%20.1%3.4%0.0%3.4M-94.8M-825.5K2.0036.14N/AN/A2,0164,03629,46933,217
2007-04-30$89.12$90.0018.8%5.4%16.5%0.0%18.9%3.8%0.1%2.6M-72.7M-864.9K1.4835.10N/AN/A61290830,95136,431