CEG Options History — December 2007

In December 2007, CEG traded between $98.95 and $103.64. ATM implied volatility averaged 23.2%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.7% (HV 20d: 18.4%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2007-12-11: Highest Volume — 5,217 contracts
  • 2007-12-13: Largest IV spike — 23.3% change
  • 2007-12-19: Highest IV Rank — 42.6%
  • 2007-12-11: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.58$98.95$103.64$99.91$102.53
Max Pain$91.00$90.00$95.00$95.00$90.00
ATM IV23.2%18.7%24.9%24.5%21.8%
Expected Move6.8%6.0%7.3%7.0%6.2%
HV 20d18.4%16.7%21.5%21.5%17.8%
HV 60d21.5%20.5%22.3%22.0%20.6%
IV Rank36.8%22.2%42.6%41.3%32.3%
IV Percentile37.1%18.1%47.7%44.6%28.0%
Term Structure3.2%0.8%4.4%0.8%3.7%
VWIV23.8%19.8%26.9%26.9%22.2%
Skew 25d2.8%1.3%6.5%3.4%1.3%
Skew 10d3.6%-1.7%13.7%-0.1%2.1%
Call IV 25d22.2%18.8%23.9%23.4%21.6%
Put IV 25d25.0%22.9%26.8%26.8%22.9%
Bid-Ask Spread %17.127.5836.0736.0712.27
Gamma HHI0.390.340.450.370.45
Net GEX10.5M9.4M11.9M9.4M10.5M
Net DEX-320.7M-361.6M-271.4M-282.5M-335.0M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.034.863.090.40
Total Volume1,041.7765,2171,275445
Total OI71,625.0566,53673,62872,31667,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$99.91$95.0024.5%7.0%21.5%41.3%26.9%3.4%0.8%9.4M-282.5M-1.3M3.0936.07N/AN/A31296351,92420,392
2007-12-04$99.92$95.0023.6%6.8%18.4%38.4%24.8%2.3%1.6%9.7M-288.4M-1.3M4.8617.72N/AN/A2871,39551,98720,287
2007-12-05$101.85$95.0023.1%6.6%19.2%36.6%23.2%2.6%2.6%9.9M-319.8M-1.3M0.0321.47N/AN/A3,0409152,08121,377
2007-12-06$102.32$95.0024.5%7.0%16.9%41.2%22.9%6.5%1.7%10.5M-334.6M-1.2M0.1822.58N/AN/A2344352,26121,355
2007-12-07$103.43$90.0021.8%6.8%17.2%32.5%24.5%2.6%2.9%10.4M-357.1M-1.2M0.1926.25N/AN/A58511352,05921,356
2007-12-10$103.16$90.0021.7%6.8%17.3%32.1%24.3%2.4%3.1%10.5M-354.7M-1.2M0.1614.71N/AN/A1933152,16421,394
2007-12-11$101.82$90.0023.3%7.3%16.7%37.4%24.4%2.6%1.0%10.7M-328.5M-1.2M0.3530.84N/AN/A3,8561,36152,22721,401
2007-12-12$103.15$90.0018.7%6.8%16.9%22.2%24.8%3.6%3.2%11.1M-348.2M-1.2M0.1819.21N/AN/A58310552,16621,070
2007-12-13$103.64$90.0023.0%6.6%16.8%36.3%24.6%3.6%4.4%11.3M-361.6M-1.1M0.2017.42N/AN/A92618352,09121,088
2007-12-14$100.93$90.0024.7%7.1%19.8%41.7%24.6%2.9%3.6%10.8M-311.6M-1.2M0.4410.56N/AN/A66429051,83621,121
2007-12-17$98.95$90.0024.6%7.1%21.3%41.5%24.2%2.4%4.1%10.3M-271.4M-1.2M1.358.53N/AN/A23431552,19621,169
2007-12-18$99.45$90.0024.9%7.1%21.3%42.5%24.2%2.4%3.9%10.5M-284.8M-1.2M0.227.58N/AN/A1,68337252,12521,125
2007-12-19$99.59$90.0024.9%7.1%18.6%42.6%25.1%1.4%3.6%11.5M-289.5M-1.2M1.0910.90N/AN/A748152,11921,183
2007-12-20$100.65$90.0024.7%7.1%18.2%41.9%24.5%2.4%3.5%11.9M-313.4M-1.1M0.9921.93N/AN/A696852,11321,232
2007-12-21$101.30$90.0023.8%6.8%18.2%38.8%23.4%2.3%4.3%10.8M-330.6M-1.1M0.3724.56N/AN/A32011952,02621,202
2007-12-24$101.83$90.0022.6%6.5%18.2%35.0%22.7%1.6%4.2%10.0M-320.8M-1.1M1.279.63N/AN/A18924048,09018,446
2007-12-26$102.41$90.0022.8%6.5%17.9%35.5%22.7%2.3%4.3%10.0M-327.3M-1.1M3.228.50N/AN/A185848,19518,623
2007-12-27$101.81$90.0023.3%6.7%18.1%37.3%22.3%4.0%3.1%10.5M-317.5M-1.1M0.0310.56N/AN/A9922748,19018,628
2007-12-28$103.03$90.0021.0%6.0%18.4%29.8%19.8%3.5%4.1%10.2M-337.0M-1.0M0.1011.10N/AN/A2492648,47118,586
2007-12-31$102.53$90.0021.8%6.2%17.8%32.3%22.2%1.3%3.7%10.5M-335.0M-1.0M0.4012.27N/AN/A31712848,57418,571