CEG Options History — September 2007

In September 2007, CEG traded between $82.96 and $90.05. ATM implied volatility averaged 29.3%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 5.5% (HV 20d: 34.7%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2007-09-19: Highest Volume — 6,545 contracts
  • 2007-09-19: Largest IV drop — 15.5% change
  • 2007-09-17: Highest IV Rank — 74.7%
  • 2007-09-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.26$82.96$90.05$85.70$85.79
Max Pain$90.00$85.00$95.00$85.00$90.00
ATM IV29.3%25.6%34.8%28.8%26.2%
Expected Move8.6%7.3%10.0%8.3%7.5%
HV 20d34.7%26.1%44.3%44.3%26.7%
HV 60d37.0%36.3%37.4%37.4%37.0%
IV Rank56.8%44.8%74.7%55.3%46.6%
IV Percentile75.7%54.9%92.7%78.6%57.0%
Term Structure0.1%-2.5%5.7%3.5%2.6%
VWIV29.8%24.1%37.8%28.1%24.9%
Skew 25d6.0%3.8%8.9%6.5%4.7%
Skew 10d11.4%6.1%17.7%16.6%10.8%
Call IV 25d27.3%22.5%32.2%26.0%24.1%
Put IV 25d33.3%28.6%37.9%32.4%28.8%
Bid-Ask Spread %28.879.7442.7126.919.74
Gamma HHI0.230.210.270.220.22
Net GEX3.7M2.2M5.8M2.8M3.8M
Net DEX-50.8M-89.7M-18.8M-40.6M-40.6M
Net VEX-943.9K-1.0M-874.6K-948.3K-953.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.043.700.260.50
Total Volume1,517.7371226,5458551,232
Total OI56,399.94754,58661,17454,58658,231

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$85.70$85.0028.8%8.3%44.3%55.3%28.1%6.5%3.5%2.8M-40.6M-948.3K0.2626.91N/AN/A68117435,42419,162
2007-09-05$84.00$85.0027.7%7.9%44.1%51.5%29.3%5.4%5.7%2.3M-25.7M-915.0K1.3025.31N/AN/A536935,44019,214
2007-09-06$85.42$85.0030.6%8.8%44.0%61.2%30.4%8.9%2.5%2.8M-38.5M-934.2K0.3332.85N/AN/A35011535,42619,240
2007-09-07$83.63$95.0029.7%9.6%41.1%58.2%31.5%5.1%-1.4%2.3M-24.7M-908.5K0.1735.42N/AN/A91415335,45319,250
2007-09-10$82.96$95.0028.1%9.6%37.8%52.9%33.2%6.0%-0.7%2.2M-18.8M-874.6K0.7022.67N/AN/A1,18883735,78119,244
2007-09-11$84.05$90.0028.8%9.5%37.5%55.1%34.6%8.3%-0.7%2.6M-24.9M-900.5K0.3331.60N/AN/A1535036,40419,272
2007-09-12$84.45$90.0030.6%9.6%37.5%61.0%33.1%5.9%-0.9%2.8M-35.5M-910.7K0.0532.67N/AN/A1,7468836,42519,063
2007-09-13$84.92$90.0034.2%9.8%36.7%72.7%37.8%6.1%-1.5%3.1M-41.5M-926.0K0.9833.10N/AN/A646336,52119,057
2007-09-14$84.91$90.0032.3%9.3%35.9%66.6%30.8%5.8%-1.8%3.3M-39.4M-896.9K0.0420.98N/AN/A9973836,50219,095
2007-09-17$84.77$95.0034.8%10.0%31.5%74.7%33.1%5.6%-2.5%3.2M-37.6M-906.6K0.0532.38N/AN/A1,1676237,13419,083
2007-09-18$87.30$90.0033.4%9.6%32.6%70.1%32.0%6.5%-1.9%4.1M-60.7M-929.2K0.8642.71N/AN/A13511637,48319,115
2007-09-19$90.05$90.0028.2%8.1%34.0%53.2%28.6%6.6%-1.5%5.8M-89.7M-935.6K0.1538.74N/AN/A5,67087537,15619,088
2007-09-20$88.36$90.0028.4%8.2%32.7%54.1%25.6%5.5%-1.4%5.4M-85.6M-999.6K0.9918.66N/AN/A1,4751,46341,38619,340
2007-09-21$88.59$90.0027.8%8.0%32.3%51.9%30.1%6.7%-1.2%5.7M-81.0M-1.0M1.3523.93N/AN/A547341,23119,943
2007-09-24$89.56$90.0026.5%7.6%32.3%47.7%24.1%5.4%0.4%4.7M-79.3M-1.0M0.2041.59N/AN/A84417036,49818,780
2007-09-25$89.10$90.0027.7%7.9%26.1%51.6%26.3%5.8%-0.2%4.7M-79.4M-998.0K0.0624.86N/AN/A1,92612536,93718,885
2007-09-26$87.85$90.0025.6%7.3%26.8%44.8%25.0%3.8%1.8%4.5M-62.5M-985.8K0.3925.65N/AN/A3,6991,43137,67918,998
2007-09-27$87.44$90.0027.3%7.8%26.5%50.2%27.2%6.1%1.2%4.5M-58.4M-994.1K3.7028.82N/AN/A12546238,86719,792
2007-09-28$85.79$90.0026.2%7.5%26.7%46.6%24.9%4.7%2.6%3.8M-40.6M-953.1K0.509.74N/AN/A82241038,41819,813