CEG Options History — July 2007

In July 2007, CEG traded between $83.80 and $96.22. ATM implied volatility averaged 28.9%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.6% (HV 20d: 28.3%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2007-07-30: Highest Volume — 8,177 contracts
  • 2007-07-26: Largest IV spike — 23.1% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-26: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.34$83.80$96.22$88.93$83.80
Max Pain$87.86$80.00$90.00$80.00$90.00
ATM IV28.9%22.5%39.2%26.6%35.1%
Expected Move8.4%7.3%11.2%7.6%10.1%
HV 20d28.3%23.3%33.8%33.8%31.9%
HV 60d27.3%25.8%29.6%25.8%29.6%
IV Rank78.0%52.1%100.0%67.1%85.0%
IV Percentile87.5%56.7%100.0%77.8%98.6%
Term Structure-0.2%-5.6%2.0%0.5%2.0%
VWIV29.0%21.2%39.4%26.2%36.5%
Skew 25d2.8%-0.7%7.3%3.9%-0.7%
Skew 10d6.5%-2.3%24.5%8.3%-1.0%
Call IV 25d28.1%19.6%36.6%25.7%36.6%
Put IV 25d30.9%27.0%40.0%29.6%35.9%
Bid-Ask Spread %30.7114.7959.8131.2521.31
Gamma HHI0.280.190.470.240.20
Net GEX2.5M907.1K5.3M1.1M1.9M
Net DEX-71.1M-175.0M2.6M-46.7M-20.9M
Net VEX-679.3K-942.5K-588.1K-620.5K-942.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.054.800.960.16
Total Volume2,640.9053568,1776242,273
Total OI55,907.1941,10171,68957,18651,731

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$88.93$80.0026.6%7.6%33.8%0.0%26.2%3.9%0.5%1.1M-46.7M-620.5K0.9631.25N/AN/A31930523,63633,550
2007-07-03$90.01$80.0026.5%7.6%33.2%0.0%21.2%2.9%0.4%1.6M-62.8M-619.1K4.8020.01N/AN/A3271,57023,75633,759
2007-07-05$88.85$80.0025.6%7.3%32.6%67.1%24.9%7.3%1.3%1.3M-49.8M-600.5K4.2543.70N/AN/A2671,13423,81333,710
2007-07-06$87.84$85.0022.5%7.3%26.5%52.1%24.1%3.2%0.8%1.0M-39.4M-588.1K0.0528.05N/AN/A2,01110023,98233,713
2007-07-09$89.12$85.0025.1%7.4%26.6%64.8%26.2%4.2%-0.6%2.3M-57.6M-595.1K0.6819.35N/AN/A31621425,68633,716
2007-07-10$88.45$85.0024.3%7.7%25.5%60.9%26.9%3.2%-0.5%2.2M-55.6M-595.1K0.1129.17N/AN/A2,89432425,79433,774
2007-07-11$89.44$90.0025.7%7.6%25.5%67.4%28.1%4.3%0.5%2.9M-73.0M-659.7K1.6614.79N/AN/A13422228,33033,912
2007-07-12$92.26$90.0028.1%8.0%25.6%79.0%28.4%3.9%-0.7%3.9M-103.3M-645.6K0.1323.01N/AN/A1,24315828,27034,034
2007-07-13$94.21$90.0025.9%7.4%26.0%68.7%27.5%2.2%0.3%4.0M-132.8M-633.5K0.2941.13N/AN/A65918928,86834,114
2007-07-16$92.54$90.0027.1%7.8%27.0%74.3%28.8%2.4%-0.7%4.0M-112.6M-628.8K1.7436.18N/AN/A39768928,84734,146
2007-07-17$92.11$90.0028.5%8.2%26.7%81.1%28.1%2.1%0.0%3.9M-107.9M-631.6K0.2339.92N/AN/A1,81342328,81534,578
2007-07-18$92.29$90.0029.3%8.4%26.6%85.2%28.5%2.6%-0.1%4.2M-107.6M-647.5K2.2337.50N/AN/A1,0872,42629,38934,877
2007-07-19$95.10$90.0027.6%7.9%25.0%77.0%27.7%1.9%-0.0%5.3M-140.7M-653.9K0.2727.05N/AN/A6,1331,65329,86036,886
2007-07-20$96.22$90.0028.3%8.1%24.9%80.3%28.9%1.1%-0.7%3.9M-175.0M-753.9K0.2429.80N/AN/A1,82244333,48538,204
2007-07-23$95.77$90.0029.6%8.5%23.3%86.5%29.4%0.0%0.4%1.9M-87.0M-754.4K0.4221.41N/AN/A1,75973721,52320,334
2007-07-24$92.16$90.0029.6%8.5%27.9%86.6%29.0%2.5%1.3%1.8M-55.0M-790.6K1.0533.07N/AN/A1,0631,11222,64020,820
2007-07-25$91.07$90.0031.9%9.1%27.9%97.5%31.0%3.9%-1.0%2.0M-47.4M-744.0K0.8036.05N/AN/A81965523,40517,740
2007-07-26$87.52$90.0039.2%11.2%31.1%100.0%39.4%3.5%-5.6%1.3M-19.0M-727.7K0.8259.81N/AN/A2,1601,77023,26717,834
2007-07-27$84.91$90.0035.3%10.1%32.9%85.8%35.0%0.9%-1.2%907.1K-838.5K-710.8K0.2835.67N/AN/A4,4151,24724,47118,589
2007-07-30$84.44$90.0034.6%9.9%32.8%83.2%33.4%3.8%0.2%1.2M2.6M-722.3K0.1316.68N/AN/A7,23694127,41918,774
2007-07-31$83.80$90.0035.1%10.1%31.9%85.0%36.5%-0.7%2.0%1.9M-20.9M-942.5K0.1621.31N/AN/A1,96231132,85718,874