CEG Options History — May 2007

In May 2007, CEG traded between $87.64 and $94.97. ATM implied volatility averaged 20.8%. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.8% (HV 20d: 19.1%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2007-05-11: Highest Volume — 11,276 contracts
  • 2007-05-18: Largest IV spike — 16.8% change
  • 2007-05-21: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.74$87.64$94.97$91.27$91.77
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV20.8%16.2%25.1%19.2%22.7%
Expected Move6.0%4.6%7.2%5.5%6.5%
HV 20d19.1%16.7%24.1%18.0%22.6%
HV 60d19.7%17.6%20.6%19.7%20.1%
Term Structure0.9%-0.3%3.3%0.3%3.3%
VWIV21.7%17.6%25.3%17.6%24.0%
Skew 25d1.8%-2.2%4.3%4.0%-2.2%
Skew 10d2.9%-7.7%9.1%9.1%-4.0%
Call IV 25d21.0%16.0%25.2%17.2%25.2%
Put IV 25d22.8%19.2%26.8%21.2%23.0%
Bid-Ask Spread %32.9120.3744.4221.5030.55
Gamma HHI0.370.220.750.290.32
Net GEX2.7M-997.7K8.0M2.7M162.1K
Net DEX-103.6M-162.4M-8.9M-99.9M-65.8M
Net VEX-710.7K-836.5K-575.3K-836.5K-647.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.015.360.550.15
Total Volume2,204.13640111,2762,316701
Total OI60,416.27353,96266,86065,98156,360

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$91.27$90.0019.2%5.5%18.0%0.0%17.6%4.0%0.3%2.7M-99.9M-836.5K0.5521.50N/AN/A1,49182529,24936,732
2007-05-02$92.74$90.0016.2%4.6%18.7%0.0%18.0%4.1%0.1%3.3M-129.0M-807.9K0.1435.37N/AN/A81911330,02536,417
2007-05-03$92.85$90.0017.5%5.0%18.7%0.0%18.9%0.5%-0.2%3.5M-135.3M-803.5K5.3639.21N/AN/A1,0555,65430,36736,493
2007-05-04$92.90$90.0017.5%5.1%18.7%0.0%18.3%2.8%0.7%3.9M-135.7M-775.3K1.7635.74N/AN/A22840230,66932,600
2007-05-07$93.50$90.0019.1%5.7%18.4%0.0%19.5%4.3%0.8%3.9M-143.4M-765.3K0.0342.96N/AN/A2,3857730,73832,732
2007-05-08$93.19$90.0018.9%5.8%18.5%0.0%21.9%3.7%0.1%4.9M-145.5M-792.0K0.8128.92N/AN/A1,21097732,53432,486
2007-05-09$93.52$90.0017.4%5.5%17.9%0.0%19.9%2.6%0.6%4.8M-148.6M-794.4K0.3628.56N/AN/A65023632,72433,194
2007-05-10$92.87$90.0018.7%5.4%18.0%0.0%18.7%2.7%1.4%4.9M-143.9M-786.2K0.0640.12N/AN/A5513332,92433,104
2007-05-11$94.23$90.0021.0%6.0%18.3%0.0%20.6%2.6%0.1%5.1M-162.4M-770.0K0.0136.14N/AN/A11,14113532,80033,106
2007-05-14$94.02$90.0020.8%6.0%17.9%0.0%22.9%2.5%0.6%5.5M-146.5M-575.3K0.1125.70N/AN/A1,85820829,50828,788
2007-05-15$94.26$90.0020.7%5.9%17.6%0.0%22.2%1.4%0.6%3.2M-116.0M-641.5K0.3134.76N/AN/A45013926,05833,319
2007-05-16$94.18$90.0021.5%6.2%17.6%0.0%23.0%1.8%0.2%3.2M-111.7M-649.3K2.7126.84N/AN/A29178925,96533,420
2007-05-17$93.94$90.0021.1%6.0%17.7%0.0%22.3%2.3%0.6%2.9M-100.4M-641.6K0.4836.57N/AN/A27113025,04833,723
2007-05-18$94.97$90.0024.6%7.0%17.7%0.0%24.0%3.0%-0.2%8.0M-112.9M-643.6K0.3934.62N/AN/A2,13383725,11333,314
2007-05-21$94.77$90.0025.1%7.2%16.7%0.0%25.3%3.4%0.4%1.1M-90.9M-665.5K1.3431.10N/AN/A68791822,61731,345
2007-05-22$94.55$90.0023.1%6.6%16.7%0.0%25.1%3.0%-0.3%1.2M-90.7M-668.6K1.7044.42N/AN/A45577322,89131,848
2007-05-23$92.15$90.0021.8%6.3%19.0%0.0%22.0%-1.1%2.3%349.3K-65.3M-676.0K0.9920.37N/AN/A88087023,14332,109
2007-05-24$88.83$90.0022.7%6.5%21.6%0.0%23.0%-0.9%1.3%-666.1K-25.0M-671.0K1.8242.57N/AN/A1,7823,24923,11332,291
2007-05-25$87.64$90.0022.0%6.3%21.8%0.0%23.3%1.4%2.5%-997.7K-8.9M-686.5K1.7825.41N/AN/A37165923,53033,621
2007-05-29$90.32$90.0022.8%6.5%24.1%0.0%23.6%-1.4%2.2%-540.1K-41.5M-671.0K0.8529.77N/AN/A52644523,62332,835
2007-05-30$91.82$90.0024.0%6.9%23.3%0.0%23.7%-0.7%1.3%86.9K-60.2M-666.6K1.2232.70N/AN/A49059723,70732,975
2007-05-31$91.77$90.0022.7%6.5%22.6%0.0%24.0%-2.2%3.3%162.1K-65.8M-647.0K0.1530.55N/AN/A6099223,48332,877