CEG Options History — August 2007

In August 2007, CEG traded between $79.25 and $88.44. ATM implied volatility averaged 34.0%, placing in the 74.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 10.5% (HV 20d: 44.5%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 1.14.

Notable Days

2007-08-07: Highest Volume — 3,980 contracts
2007-08-09: Largest IV spike — 33.4% change
2007-08-09: Highest IV Rank — 100.0%
2007-08-16: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.87	$79.25	$88.44	$87.18	$82.94
Max Pain	$85.00	$85.00	$85.00	$85.00	$85.00
ATM IV	34.0%	27.1%	42.5%	37.2%	28.0%
Expected Move	9.6%	7.8%	11.6%	10.7%	8.0%
HV 20d	44.5%	34.7%	49.6%	35.0%	44.0%
HV 60d	35.9%	30.7%	38.6%	30.7%	36.9%
IV Rank	74.8%	49.7%	100.0%	92.8%	52.5%
IV Percentile	90.4%	68.5%	100.0%	99.3%	73.1%
Term Structure	2.2%	-3.0%	7.1%	-0.8%	4.3%
VWIV	32.7%	26.4%	39.8%	35.5%	28.6%
Skew 25d	4.6%	1.7%	7.3%	5.7%	4.1%
Skew 10d	8.5%	2.3%	17.0%	14.6%	7.9%
Call IV 25d	31.4%	22.8%	37.3%	33.7%	28.1%
Put IV 25d	36.0%	28.7%	43.3%	39.4%	32.1%
Bid-Ask Spread %	33.01	21.02	52.41	35.51	37.60
Gamma HHI	0.19	0.17	0.22	0.22	0.20
Net GEX	1.8M	522.2K	3.2M	2.9M	2.1M
Net DEX	-22.0M	-66.2M	16.4M	-47.9M	-18.1M
Net VEX	-960.4K	-1.1M	-899.6K	-992.1K	-919.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.07	7.08	0.40	0.62
Total Volume	1,616.217	94	3,980	500	138
Total OI	54,785.739	50,752	58,584	53,106	54,905

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-08-01	$87.18	$85.00	37.2%	10.7%	35.0%	92.8%	35.5%	5.7%	-0.8%	2.9M	-47.9M	-992.1K	0.40	35.51	N/A	N/A	357	143	33,891	19,215
2007-08-02	$87.05	$85.00	32.5%	9.3%	34.7%	75.5%	32.3%	1.7%	2.2%	2.3M	-46.6M	-981.2K	7.08	36.80	N/A	N/A	419	2,965	32,437	19,249
2007-08-03	$82.50	$85.00	34.9%	10.0%	39.3%	84.2%	32.2%	3.8%	1.5%	1.1M	-2.9M	-930.5K	0.84	52.41	N/A	N/A	777	650	32,569	20,719
2007-08-06	$85.00	$85.00	29.9%	9.7%	40.6%	66.0%	34.2%	4.6%	-0.9%	1.3M	-14.4M	-940.2K	0.77	24.45	N/A	N/A	1,011	780	32,924	21,257
2007-08-07	$86.89	$85.00	32.0%	9.4%	41.4%	73.5%	32.8%	4.1%	-0.2%	2.0M	-37.1M	-973.4K	0.08	27.71	N/A	N/A	3,679	301	32,901	21,655
2007-08-08	$88.44	$85.00	29.9%	9.3%	41.7%	66.1%	30.8%	7.3%	1.5%	2.7M	-66.2M	-1.1M	1.12	47.54	N/A	N/A	1,527	1,710	34,987	20,743
2007-08-09	$84.23	$85.00	39.9%	10.4%	43.3%	100.0%	33.8%	5.0%	2.2%	1.9M	-30.4M	-1.0M	0.17	27.50	N/A	N/A	3,138	544	36,145	20,376
2007-08-10	$80.55	$85.00	40.9%	11.2%	44.4%	100.0%	35.5%	5.9%	-0.0%	1.1M	3.1M	-936.1K	0.24	40.51	N/A	N/A	1,000	238	36,506	20,388
2007-08-13	$82.10	$85.00	42.5%	11.0%	45.3%	100.0%	36.2%	4.5%	0.9%	1.3M	-8.4M	-959.0K	0.14	33.29	N/A	N/A	572	79	36,908	20,407
2007-08-14	$82.24	$85.00	41.2%	9.7%	45.3%	95.6%	33.9%	3.0%	2.2%	1.2M	-4.8M	-943.7K	3.37	37.31	N/A	N/A	340	1,147	36,991	20,368
2007-08-15	$80.67	$85.00	42.4%	10.9%	45.5%	99.4%	37.7%	3.8%	-1.8%	673.2K	9.1M	-925.5K	0.70	22.63	N/A	N/A	1,872	1,311	36,970	20,774
2007-08-16	$79.25	$85.00	40.6%	11.6%	43.5%	93.6%	39.7%	6.0%	-3.0%	522.2K	16.4M	-899.6K	0.30	25.25	N/A	N/A	678	206	38,020	20,564
2007-08-17	$83.30	$85.00	37.3%	10.7%	47.8%	82.8%	39.8%	5.1%	7.1%	825.0K	-16.9M	-985.4K	1.17	31.83	N/A	N/A	531	620	36,936	20,321
2007-08-20	$82.22	$85.00	36.3%	10.4%	47.8%	79.6%	33.1%	4.6%	3.5%	1.6M	-14.9M	-949.1K	0.23	21.02	N/A	N/A	876	205	32,545	18,207
2007-08-21	$82.10	$85.00	33.6%	9.6%	46.5%	70.9%	32.6%	4.7%	4.8%	1.8M	-13.4M	-924.0K	0.58	22.49	N/A	N/A	1,488	858	33,058	18,311
2007-08-22	$85.22	$85.00	29.8%	8.5%	48.8%	58.3%	28.7%	4.9%	4.2%	2.4M	-34.8M	-962.7K	0.07	33.01	N/A	N/A	1,342	95	33,513	19,027
2007-08-23	$86.55	$85.00	27.7%	7.9%	47.3%	51.6%	28.5%	5.2%	4.8%	2.9M	-45.9M	-999.5K	2.18	36.84	N/A	N/A	45	98	34,191	19,074
2007-08-24	$87.46	$85.00	27.1%	7.8%	46.1%	49.7%	26.4%	5.9%	4.2%	3.2M	-52.2M	-994.6K	0.39	22.38	N/A	N/A	581	224	34,110	19,096
2007-08-27	$83.16	$85.00	29.8%	8.6%	49.6%	58.7%	29.9%	2.9%	2.4%	2.0M	-17.6M	-912.8K	0.20	39.46	N/A	N/A	2,845	575	34,496	19,218
2007-08-28	$82.93	$85.00	30.0%	8.6%	49.5%	59.1%	30.8%	3.9%	3.7%	2.2M	-17.9M	-943.6K	0.10	35.08	N/A	N/A	780	79	36,085	19,441
2007-08-29	$84.20	$85.00	29.2%	8.4%	47.6%	56.4%	28.8%	4.7%	4.0%	2.5M	-29.9M	-981.4K	0.25	34.34	N/A	N/A	204	51	35,928	19,485
2007-08-30	$82.75	$85.00	28.4%	8.1%	48.0%	54.0%	29.9%	4.8%	4.5%	2.0M	-13.6M	-921.1K	5.27	34.27	N/A	N/A	15	79	35,659	19,502
2007-08-31	$82.94	$85.00	28.0%	8.0%	44.0%	52.5%	28.6%	4.1%	4.3%	2.1M	-18.1M	-919.4K	0.62	37.60	N/A	N/A	85	53	35,537	19,368