CEG Options History — November 2007

In November 2007, CEG traded between $92.66 and $100.56. ATM implied volatility averaged 26.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.9% (HV 20d: 24.2%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2007-11-12: Highest Volume — 8,894 contracts
  • 2007-11-08: Largest IV spike — 9.9% change
  • 2007-11-12: Highest IV Rank — 57.6%
  • 2007-11-26: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.38$92.66$100.56$92.66$100.21
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV26.1%22.4%29.5%23.8%24.2%
Expected Move7.5%6.8%8.1%6.8%6.9%
HV 20d24.2%21.9%26.1%22.5%21.9%
HV 60d26.2%22.5%31.3%31.3%22.5%
IV Rank46.3%34.5%57.6%39.0%40.2%
IV Percentile56.1%33.3%82.9%42.9%41.7%
Term Structure1.3%-0.2%4.1%4.1%1.6%
VWIV26.2%24.0%28.7%24.6%24.4%
Skew 25d3.4%-0.7%6.8%3.1%1.6%
Skew 10d6.7%1.5%14.6%1.5%1.6%
Call IV 25d24.5%21.1%29.0%21.3%23.0%
Put IV 25d28.0%24.4%30.1%24.4%24.6%
Bid-Ask Spread %24.9314.0953.0953.0915.61
Gamma HHI0.370.340.530.360.36
Net GEX10.8M8.1M23.9M10.6M9.3M
Net DEX-264.4M-311.0M-161.1M-161.1M-291.1M
Net VEX-1.3M-1.4M-1.2M-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.116.350.390.44
Total Volume2,524.0482848,894618284
Total OI71,714.61964,50783,16864,50772,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$92.66$95.0023.8%6.8%22.5%39.0%24.6%3.1%4.1%10.6M-161.1M-1.2M0.3953.09N/AN/A44517348,27216,235
2007-11-02$94.26$95.0024.4%7.0%22.3%40.8%27.3%6.8%4.0%11.2M-194.3M-1.2M0.8145.29N/AN/A3,1342,53748,40016,345
2007-11-05$97.36$95.0024.3%7.8%24.2%40.6%27.0%4.7%2.0%11.7M-275.0M-1.3M0.2814.28N/AN/A4,2581,19950,97117,076
2007-11-06$98.40$95.0022.4%7.0%23.3%34.5%25.2%4.9%1.9%12.6M-309.4M-1.3M1.7214.09N/AN/A6251,07854,43317,686
2007-11-07$96.18$95.0024.3%7.4%25.1%40.6%24.1%4.3%0.8%13.4M-263.6M-1.4M0.1314.89N/AN/A2,32329654,30618,152
2007-11-08$96.48$95.0026.7%7.9%25.1%48.4%28.1%5.7%1.0%13.4M-273.7M-1.4M0.3817.06N/AN/A1,25048056,21218,281
2007-11-09$96.51$95.0026.9%7.5%25.0%49.1%27.4%3.8%1.5%13.7M-287.1M-1.4M0.4817.22N/AN/A2,2251,05757,28418,320
2007-11-12$94.88$95.0029.5%7.7%25.5%57.6%25.8%4.0%1.0%14.3M-241.3M-1.4M0.1119.30N/AN/A8,02287257,31418,988
2007-11-13$95.76$95.0027.3%7.8%25.3%50.3%25.6%4.1%0.9%23.9M-294.7M-1.4M0.7917.22N/AN/A82865063,63919,529
2007-11-14$96.68$95.0026.6%7.4%25.3%48.1%25.2%4.0%1.0%8.1M-249.2M-1.3M0.1318.90N/AN/A5016651,95019,644
2007-11-15$97.13$95.0026.1%7.5%25.2%46.5%24.9%3.6%1.0%8.1M-263.6M-1.3M0.4516.47N/AN/A1,35261552,17519,623
2007-11-16$97.28$95.0025.8%7.4%23.7%45.5%24.0%3.5%0.6%8.1M-268.8M-1.3M0.8120.55N/AN/A30924952,65719,983
2007-11-19$97.71$95.0026.9%7.7%23.7%49.1%27.8%3.4%1.0%8.5M-258.7M-1.3M1.0734.17N/AN/A2,6472,83050,00716,727
2007-11-20$100.56$95.0026.9%7.7%25.0%48.9%26.4%3.0%0.3%8.8M-311.0M-1.4M0.8420.00N/AN/A1,8001,52151,69018,462
2007-11-21$99.05$95.0027.1%7.8%26.1%49.7%28.7%-0.7%1.3%8.1M-279.6M-1.3M0.1222.67N/AN/A1,95024350,67619,074
2007-11-23$99.53$95.0027.6%7.9%24.3%51.3%26.6%3.7%-0.2%8.6M-280.4M-1.3M0.4827.55N/AN/A1,25760351,49519,245
2007-11-26$99.15$95.0028.2%8.1%23.7%53.3%27.7%2.1%0.3%8.6M-280.1M-1.3M6.3527.97N/AN/A4172,64852,11919,489
2007-11-27$98.42$95.0027.5%7.9%23.6%51.0%27.5%3.2%0.0%8.4M-254.9M-1.4M0.9138.82N/AN/A50445752,11620,160
2007-11-28$98.16$95.0025.9%7.4%23.6%45.9%26.6%1.8%1.3%8.6M-250.9M-1.4M6.0730.87N/AN/A13783152,34420,288
2007-11-29$98.60$95.0024.9%7.1%23.2%42.6%25.1%1.8%1.5%8.7M-262.9M-1.3M0.4237.53N/AN/A2349851,92020,414
2007-11-30$100.21$95.0024.2%6.9%21.9%40.2%24.4%1.6%1.6%9.3M-291.1M-1.3M0.4415.61N/AN/A1978751,91720,389