CEG Options History — June 2007

In June 2007, CEG traded between $82.91 and $91.22. ATM implied volatility averaged 28.1%. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 4.0% (HV 20d: 32.1%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2007-06-11: Highest Volume — 4,773 contracts
  • 2007-06-14: Largest IV drop — 15.3% change
  • 2007-06-08: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.47$82.91$91.22$90.45$87.17
Max Pain$80.48$80.00$90.00$90.00$80.00
ATM IV28.1%22.9%32.4%22.9%28.0%
Expected Move8.1%6.6%8.8%6.6%8.0%
HV 20d32.1%23.1%36.9%23.1%33.1%
HV 60d23.6%20.2%25.4%20.3%25.4%
Term Structure-1.6%-3.8%2.7%2.7%0.2%
VWIV28.5%24.0%31.0%24.0%27.3%
Skew 25d2.3%-1.7%5.3%-1.7%3.4%
Skew 10d4.4%-5.3%10.4%-3.5%7.3%
Call IV 25d27.6%25.0%30.1%25.3%26.8%
Put IV 25d29.9%23.7%33.4%23.7%30.2%
Bid-Ask Spread %21.9912.3238.1638.1612.32
Gamma HHI0.280.210.890.300.23
Net GEX-2.2M-35.9M914.7K-611.9K571.8K
Net DEX-20.7M-54.6M42.6M-46.4M-27.5M
Net VEX-638.8K-671.1K-607.1K-653.4K-630.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.202.840.520.68
Total Volume1,378.3811414,773502141
Total OI56,813.1952,17661,15856,49257,104

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$90.45$90.0022.9%6.6%23.1%0.0%24.0%-1.7%2.7%-611.9K-46.4M-653.4K0.5238.16N/AN/A33017223,62332,869
2007-06-04$91.22$80.0023.5%7.7%23.3%0.0%27.4%3.6%-1.6%-483.1K-54.6M-642.8K2.8431.47N/AN/A19354823,64232,923
2007-06-05$89.16$80.0025.2%7.7%24.4%0.0%27.0%2.4%-1.5%-1.3M-29.0M-643.6K0.6622.19N/AN/A68545023,63833,144
2007-06-06$87.32$80.0027.3%8.4%25.3%0.0%29.9%2.8%-2.8%-1.5M-2.1M-655.6K1.0822.70N/AN/A1,0511,13223,81933,173
2007-06-07$82.91$80.0029.9%8.8%30.4%0.0%31.0%3.5%-3.8%-1.6M42.6M-632.1K0.9520.45N/AN/A1,4681,40023,89533,484
2007-06-08$83.92$80.0027.7%8.8%31.1%0.0%30.6%4.4%-3.8%-1.3M36.8M-630.4K1.3416.98N/AN/A46862724,29233,644
2007-06-11$86.12$80.0029.4%8.7%32.3%0.0%30.2%2.9%-3.1%-1.4M10.2M-623.3K1.5921.68N/AN/A1,8432,93024,32033,694
2007-06-12$85.53$80.0032.4%8.3%32.3%0.0%29.6%2.7%-2.1%-1.3M20.0M-651.5K0.3821.31N/AN/A85332224,77235,855
2007-06-13$88.14$80.0031.6%7.7%34.5%0.0%28.1%4.5%-0.8%-2.4M-9.8M-671.1K0.7027.05N/AN/A28619925,01436,003
2007-06-14$89.57$80.0026.8%7.7%35.2%0.0%27.3%4.2%-0.3%-4.5M-34.7M-653.2K0.2018.67N/AN/A1,19423625,13636,022
2007-06-15$90.03$80.0027.0%7.7%35.3%0.0%27.3%2.7%-0.8%-35.9M-49.2M-640.7K0.4122.97N/AN/A82734325,07535,969
2007-06-18$89.04$80.0027.5%7.9%35.1%0.0%28.3%0.3%-1.2%760.3K-48.6M-619.7K0.6122.61N/AN/A79348220,90131,275
2007-06-19$89.65$80.0027.3%7.8%35.2%0.0%27.5%2.6%-1.7%914.7K-50.8M-617.1K0.8222.94N/AN/A48539821,30331,451
2007-06-20$86.65$80.0028.5%8.2%36.9%0.0%25.9%0.7%-2.2%414.9K-27.9M-607.1K2.0424.29N/AN/A19940521,33431,585
2007-06-21$87.78$80.0029.1%8.3%36.5%0.0%29.0%1.5%-2.7%550.1K-35.1M-617.6K2.5117.44N/AN/A7001,75621,35031,504
2007-06-22$85.94$80.0029.6%8.5%35.0%0.0%29.9%0.1%-1.7%220.6K-18.6M-643.2K0.4820.27N/AN/A1,30062321,94732,879
2007-06-25$86.67$80.0029.3%8.4%34.9%0.0%30.2%-0.4%-1.5%534.2K-27.8M-655.9K0.2319.97N/AN/A2936622,99233,164
2007-06-26$85.65$80.0030.2%8.7%33.1%0.0%30.1%0.8%-2.2%346.4K-19.4M-641.8K0.7421.78N/AN/A51137923,03933,170
2007-06-27$87.29$80.0029.4%8.4%33.3%0.0%27.8%5.3%-2.4%657.0K-32.3M-642.5K0.4117.81N/AN/A1,15848023,36533,321
2007-06-28$86.76$80.0027.9%8.0%33.3%0.0%29.9%2.0%-0.8%689.5K-31.1M-642.3K1.7218.68N/AN/A44977123,86033,527
2007-06-29$87.17$80.0028.0%8.0%33.1%0.0%27.3%3.4%0.2%571.8K-27.5M-630.6K0.6812.32N/AN/A845723,60433,500