CEG Options History — October 2007

In October 2007, CEG traded between $86.22 and $95.96. ATM implied volatility averaged 26.3%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 3.8% (HV 20d: 22.5%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 2.73.

Notable Days

2007-10-09: Highest Volume — 12,590 contracts
2007-10-29: Largest IV spike — 21.3% change
2007-10-15: Highest IV Rank — 56.8%
2007-10-15: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.11	$86.22	$95.96	$87.64	$94.70
Max Pain	$90.22	$90.00	$95.00	$90.00	$95.00
ATM IV	26.3%	22.9%	29.3%	23.8%	23.1%
Expected Move	7.7%	6.6%	8.4%	6.8%	6.6%
HV 20d	22.5%	19.1%	27.5%	27.5%	20.5%
HV 60d	35.1%	31.1%	37.2%	37.2%	31.1%
IV Rank	47.0%	36.0%	56.8%	38.9%	36.8%
IV Percentile	58.9%	39.0%	79.7%	45.5%	39.2%
Term Structure	-0.1%	-2.5%	3.8%	2.6%	3.8%
VWIV	26.1%	21.1%	29.0%	24.5%	21.1%
Skew 25d	5.3%	2.2%	8.7%	3.5%	5.1%
Skew 10d	10.1%	3.5%	19.5%	7.2%	4.1%
Call IV 25d	24.5%	20.5%	28.0%	23.4%	20.5%
Put IV 25d	29.9%	25.7%	33.0%	26.8%	25.7%
Bid-Ask Spread %	25.56	15.19	42.94	15.19	42.94
Gamma HHI	0.29	0.23	0.38	0.24	0.36
Net GEX	7.4M	4.1M	12.6M	4.8M	12.6M
Net DEX	-106.5M	-233.3M	-43.3M	-58.8M	-217.0M
Net VEX	-985.0K	-1.3M	-918.4K	-968.1K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.73	0.03	28.98	5.82	0.20
Total Volume	2,948.174	203	12,590	5,200	3,358
Total OI	59,897.087	52,446	67,538	58,538	66,502

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
2007-10-01	$87.64	$90.00	23.8%	6.8%	27.5%	38.9%	24.5%	3.5%	2.6%	4.8M	-58.8M	-968.1K	5.82	15.19	N/A	N/A	763	4,437	38,974	19,564
2007-10-02	$86.92	$90.00	26.7%	7.7%	25.4%	48.4%	24.6%	4.2%	1.3%	4.5M	-55.6M	-959.6K	0.15	18.63	N/A	N/A	461	69	39,226	19,839
2007-10-03	$86.22	$90.00	25.9%	7.4%	24.4%	45.8%	25.4%	4.2%	3.1%	4.1M	-43.3M	-929.6K	0.22	16.45	N/A	N/A	184	40	39,393	19,749
2007-10-04	$86.64	$90.00	26.6%	7.6%	23.8%	48.1%	24.2%	4.8%	2.0%	4.4M	-51.2M	-918.4K	0.27	17.62	N/A	N/A	496	135	39,142	19,760
2007-10-05	$88.38	$90.00	22.9%	7.7%	23.2%	36.0%	26.0%	6.0%	-1.4%	5.5M	-71.6M	-963.7K	0.29	20.60	N/A	N/A	191	55	39,367	19,880
2007-10-08	$87.85	$90.00	25.1%	7.6%	23.1%	43.1%	26.2%	4.5%	-1.2%	5.3M	-68.3M	-933.6K	0.99	24.22	N/A	N/A	102	101	39,402	19,914
2007-10-09	$89.97	$90.00	24.2%	7.6%	24.0%	40.1%	25.8%	6.5%	-0.5%	6.6M	-90.5M	-963.0K	28.98	21.82	N/A	N/A	420	12,170	39,433	19,990
2007-10-10	$89.58	$90.00	25.1%	7.8%	24.2%	43.0%	27.9%	5.6%	-1.8%	6.2M	-83.7M	-936.8K	2.38	20.78	N/A	N/A	674	1,603	39,560	20,064
2007-10-11	$89.87	$90.00	28.0%	8.0%	24.2%	52.5%	28.1%	4.8%	-2.1%	6.6M	-95.7M	-961.2K	0.14	26.07	N/A	N/A	783	109	39,813	20,120
2007-10-12	$90.65	$90.00	27.4%	7.8%	24.2%	50.5%	25.2%	5.3%	-1.5%	7.0M	-100.9M	-962.8K	0.03	21.09	N/A	N/A	3,948	108	39,818	20,201
2007-10-15	$89.52	$90.00	29.3%	8.4%	24.8%	56.8%	26.6%	6.4%	-2.5%	7.3M	-91.4M	-969.3K	0.06	17.96	N/A	N/A	3,701	230	43,251	20,247
2007-10-16	$88.96	$90.00	28.7%	8.2%	22.9%	55.0%	28.8%	5.0%	-2.0%	8.1M	-91.1M	-975.3K	19.55	20.16	N/A	N/A	211	4,125	46,511	20,274
2007-10-17	$89.90	$90.00	28.6%	8.2%	20.3%	54.6%	26.8%	6.4%	-1.9%	9.4M	-101.3M	-991.9K	1.18	28.88	N/A	N/A	737	868	46,549	20,331
2007-10-18	$89.79	$90.00	28.4%	8.1%	19.1%	54.0%	29.0%	5.5%	-1.2%	10.2M	-103.5M	-985.0K	0.46	31.35	N/A	N/A	231	106	46,872	20,666
2007-10-19	$88.07	$90.00	28.1%	8.1%	20.4%	53.1%	26.3%	5.9%	-0.5%	6.0M	-71.7M	-940.5K	0.09	32.15	N/A	N/A	899	85	46,903	20,623
2007-10-22	$88.55	$90.00	27.3%	7.8%	20.1%	50.3%	25.8%	7.9%	-0.0%	6.1M	-86.2M	-922.2K	0.31	20.26	N/A	N/A	760	235	38,998	13,448
2007-10-23	$89.72	$90.00	26.5%	7.6%	20.5%	47.7%	26.3%	7.4%	-0.1%	7.1M	-97.8M	-949.3K	0.52	34.38	N/A	N/A	301	156	39,318	13,597
2007-10-24	$90.18	$90.00	26.3%	7.5%	19.9%	47.2%	28.2%	8.7%	-0.2%	7.4M	-102.6M	-944.4K	0.36	35.09	N/A	N/A	905	327	39,488	13,712
2007-10-25	$92.95	$90.00	23.1%	6.6%	22.2%	36.5%	24.3%	7.3%	0.9%	9.7M	-150.6M	-997.2K	0.45	20.91	N/A	N/A	729	328	40,186	13,888
2007-10-26	$94.70	$90.00	23.5%	6.7%	21.2%	38.1%	23.5%	3.1%	0.4%	10.5M	-182.5M	-1.0M	0.05	41.12	N/A	N/A	2,803	130	40,459	14,060
2007-10-29	$95.96	$90.00	28.5%	8.2%	20.6%	54.4%	27.7%	2.8%	-0.6%	9.6M	-201.6M	-992.0K	0.09	35.06	N/A	N/A	10,144	868	40,468	14,111
2007-10-30	$95.70	$90.00	27.0%	7.7%	20.2%	49.5%	27.3%	2.2%	2.1%	11.2M	-233.3M	-1.3M	0.22	25.13	N/A	N/A	7,164	1,558	49,108	14,854
2007-10-31	$94.70	$95.00	23.1%	6.6%	20.5%	36.8%	21.1%	5.1%	3.8%	12.6M	-217.0M	-1.2M	0.20	42.94	N/A	N/A	2,798	560	50,528	15,974