CEG Options History — January 2008

In January 2008, CEG traded between $89.51 and $107.13. ATM implied volatility averaged 31.5%, placing in the 64.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 5.4% (HV 20d: 26.1%). Max pain ranged from $90.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.12.

Notable Days

  • 2008-01-17: Highest Volume — 7,023 contracts
  • 2008-01-10: Largest IV spike — 20.1% change
  • 2008-01-24: Highest IV Rank — 96.7%
  • 2008-01-24: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.18$89.51$107.13$101.47$93.73
Max Pain$99.76$90.00$105.00$90.00$100.00
ATM IV31.5%22.0%41.5%23.9%29.6%
Expected Move9.2%6.3%11.9%6.8%8.5%
HV 20d26.1%17.7%35.6%18.2%35.6%
HV 60d23.3%20.1%26.6%20.4%26.2%
IV Rank64.0%33.1%96.7%39.2%57.7%
IV Percentile78.2%29.4%99.2%42.2%79.8%
Term Structure0.0%-2.7%4.4%4.4%1.9%
VWIV31.9%19.7%41.9%22.9%28.6%
Skew 25d4.8%1.4%10.4%2.3%3.9%
Skew 10d7.9%1.9%14.1%3.3%9.7%
Call IV 25d30.0%21.9%39.9%22.2%28.7%
Put IV 25d34.8%23.3%47.5%24.5%32.6%
Bid-Ask Spread %25.5412.4449.8612.4439.49
Gamma HHI0.310.180.530.440.19
Net GEX6.4M2.0M11.3M10.5M2.4M
Net DEX-220.1M-416.8M-36.8M-318.3M-69.7M
Net VEX-1.0M-1.1M-915.2K-1.0M-980.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.079.190.620.40
Total Volume2,177.3811747,023461801
Total OI63,972.1946,08779,73166,86451,695

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$101.47$90.0023.9%6.8%18.2%39.2%22.9%2.3%4.4%10.5M-318.3M-1.0M0.6212.44N/AN/A28517648,18618,678
2008-01-03$102.56$90.0022.0%6.3%18.6%33.1%19.7%1.4%4.0%10.4M-333.8M-998.7K0.5216.05N/AN/A1286648,37818,763
2008-01-04$101.60$100.0024.1%8.0%17.7%39.8%26.8%4.1%0.1%10.6M-315.5M-1.0M9.1917.60N/AN/A7972648,36318,785
2008-01-07$104.43$105.0023.7%7.7%20.2%38.7%27.7%4.3%0.5%9.1M-360.1M-966.5K2.9621.01N/AN/A21062148,36619,387
2008-01-08$105.16$100.0024.8%8.3%20.0%42.1%29.1%4.5%0.7%8.3M-373.1M-956.7K0.2322.74N/AN/A5,6651,27548,46519,678
2008-01-09$107.13$100.0025.2%8.4%20.9%43.6%29.2%5.1%0.3%8.9M-416.8M-1.1M0.5923.74N/AN/A43325453,67920,726
2008-01-10$105.84$100.0030.3%8.7%20.8%60.2%30.2%4.4%-0.8%8.9M-402.9M-1.1M3.5620.81N/AN/A4651,65753,63220,833
2008-01-11$103.78$105.0029.8%8.5%21.7%58.5%30.1%4.4%-0.4%8.9M-361.8M-1.1M0.6716.50N/AN/A1047053,95222,255
2008-01-14$104.69$105.0030.1%8.6%21.8%59.5%30.8%4.8%-0.4%8.4M-373.8M-1.1M2.2121.49N/AN/A20445153,95022,272
2008-01-15$103.07$100.0030.3%8.7%20.3%60.3%30.5%4.4%-0.4%9.3M-345.6M-1.1M0.9916.75N/AN/A38037754,08622,570
2008-01-16$101.25$100.0032.0%9.2%20.1%65.7%30.7%4.9%-1.0%11.3M-317.1M-1.1M2.6718.12N/AN/A28576154,22922,594
2008-01-17$96.34$100.0031.3%9.0%26.9%63.5%28.6%5.2%-0.1%9.0M-195.0M-1.0M1.6417.51N/AN/A2,6634,36053,98822,874
2008-01-18$92.78$100.0034.2%9.8%29.8%72.9%36.6%6.4%-1.9%4.4M-108.7M-962.6K4.6020.75N/AN/A1,2165,59554,59525,136
2008-01-22$89.88$100.0037.3%10.7%30.9%83.1%35.7%9.3%-0.9%2.0M-36.8M-915.2K0.0725.14N/AN/A5,94944232,63913,448
2008-01-23$92.61$100.0040.5%11.6%33.1%93.3%41.6%10.4%-2.7%2.1M-53.8M-980.6K0.4227.48N/AN/A1,85477532,90614,308
2008-01-24$90.12$100.0041.5%11.9%33.9%96.7%41.9%3.3%-1.7%2.2M-44.4M-964.3K0.7733.39N/AN/A90869934,60414,391
2008-01-25$89.51$100.0039.1%11.2%33.6%89.0%39.3%1.6%0.6%2.1M-37.2M-943.5K4.7739.76N/AN/A9243935,01514,618
2008-01-28$90.84$100.0040.3%11.6%34.4%92.9%41.6%6.5%-2.4%2.0M-41.6M-946.0K6.2435.83N/AN/A2971,85234,21414,953
2008-01-29$92.50$100.0038.6%11.1%34.9%87.3%37.1%3.9%-0.2%2.0M-59.5M-974.8K0.1939.84N/AN/A1,22622934,31316,442
2008-01-30$92.40$100.0032.7%9.4%35.0%67.9%31.1%4.9%0.8%2.0M-57.5M-954.7K1.2149.86N/AN/A74890834,88716,563
2008-01-31$93.73$100.0029.6%8.5%35.6%57.7%28.6%3.9%1.9%2.4M-69.7M-980.6K0.4039.49N/AN/A57222935,07916,616