CEG Options History — February 2008

In February 2008, CEG traded between $88.35 and $98.10. ATM implied volatility averaged 29.1%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.5% (HV 20d: 32.7%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2008-02-19: Highest Volume — 2,084 contracts
  • 2008-02-14: Largest IV spike — 17.0% change
  • 2008-02-11: Highest IV Rank — 61.3%
  • 2008-02-06: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.88$88.35$98.10$95.26$88.35
Max Pain$95.25$95.00$100.00$100.00$95.00
ATM IV29.1%26.1%31.4%27.2%29.7%
Expected Move8.6%7.8%9.3%7.8%8.5%
HV 20d32.7%25.8%38.1%35.9%28.9%
HV 60d26.9%25.5%28.2%25.5%28.2%
IV Rank51.8%41.9%61.3%46.8%51.3%
IV Percentile73.3%48.8%86.9%60.3%77.8%
Term Structure1.3%-0.0%3.1%3.1%2.2%
VWIV29.7%27.3%32.3%27.3%30.0%
Skew 25d3.1%1.2%5.1%3.8%1.2%
Skew 10d4.8%-2.1%10.1%-2.1%0.7%
Call IV 25d28.6%26.3%31.1%26.3%29.2%
Put IV 25d31.7%29.0%34.3%30.2%30.4%
Bid-Ask Spread %33.7619.6947.8335.6038.98
Gamma HHI0.280.190.360.190.35
Net GEX4.2M2.7M6.1M2.7M2.8M
Net DEX-86.0M-116.2M-33.8M-80.0M-33.8M
Net VEX-900.0K-996.4K-727.3K-972.6K-727.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.043.200.040.95
Total Volume738.851552,0841,5091,753
Total OI48,447.9541,59553,52351,48043,941

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$95.26$100.0027.2%7.8%35.9%46.8%27.3%3.8%3.1%2.7M-80.0M-972.6K0.0435.60N/AN/A1,4486134,93216,548
2008-02-04$97.34$95.0030.4%9.0%36.9%58.0%31.0%3.6%-0.0%3.8M-116.2M-996.4K0.1019.69N/AN/A1,68017535,69416,526
2008-02-05$93.63$95.0031.2%9.2%37.4%60.6%30.3%3.1%1.0%2.8M-72.7M-957.7K0.5624.68N/AN/A34219336,10916,523
2008-02-06$94.72$95.0031.0%9.3%37.6%59.7%32.2%3.3%0.1%3.3M-83.0M-958.9K0.3429.95N/AN/A1354636,17916,527
2008-02-07$95.14$95.0030.2%9.0%36.8%56.8%32.0%3.6%1.4%3.3M-82.2M-950.8K1.3527.31N/AN/A12216536,20316,545
2008-02-08$94.27$95.0028.7%9.1%36.7%51.7%30.7%3.4%0.2%3.3M-72.8M-937.5K0.3931.32N/AN/A1194636,27916,614
2008-02-11$95.99$95.0031.4%9.0%37.3%61.3%30.8%3.5%0.1%4.2M-92.6M-934.5K0.6831.75N/AN/A926336,30616,618
2008-02-12$98.10$95.0028.0%8.4%38.1%48.8%28.2%4.3%1.2%3.8M-116.2M-958.1K0.7531.45N/AN/A13510136,32416,644
2008-02-13$97.15$95.0026.1%8.9%37.9%41.9%31.0%2.8%0.9%5.2M-106.0M-927.1K2.4233.78N/AN/A31576136,37616,667
2008-02-14$96.38$95.0030.6%8.8%37.6%57.4%32.3%3.5%1.0%6.1M-97.7M-926.7K0.9634.66N/AN/A979336,32917,194
2008-02-15$97.38$95.0029.7%8.5%33.4%54.4%29.2%4.0%1.5%4.8M-103.4M-923.9K0.2534.18N/AN/A64315936,31617,107
2008-02-19$96.59$95.0029.9%8.6%30.4%54.9%28.7%2.8%0.6%5.0M-108.6M-903.2K0.1847.83N/AN/A1,76931532,3079,288
2008-02-20$95.98$95.0029.8%8.5%27.9%53.6%30.4%2.6%0.7%5.3M-101.9M-895.4K0.9942.64N/AN/A12812733,5019,418
2008-02-21$93.97$95.0028.9%8.3%27.3%50.4%28.3%2.0%1.5%4.7M-85.7M-868.4K1.2838.04N/AN/A19224533,5459,495
2008-02-22$95.59$95.0028.4%8.1%25.8%48.4%29.4%5.1%1.6%5.1M-91.2M-872.2K0.7245.37N/AN/A1349733,5739,575
2008-02-25$93.99$95.0028.1%8.0%26.5%47.2%28.5%2.6%1.2%4.8M-81.1M-850.0K0.3832.54N/AN/A1,38153133,6739,650
2008-02-26$94.40$95.0027.3%7.8%26.1%42.0%28.4%2.2%3.0%4.7M-78.8M-842.5K3.2026.26N/AN/A12640333,4509,802
2008-02-27$91.99$95.0028.1%8.0%27.2%45.1%27.3%1.8%1.7%4.0M-62.2M-807.4K2.0744.36N/AN/A7315133,43810,081
2008-02-28$91.29$95.0028.1%8.1%27.3%45.2%27.9%1.9%2.2%3.7M-53.8M-789.0K0.6224.88N/AN/A22313833,47210,190
2008-02-29$88.35$95.0029.7%8.5%28.9%51.3%30.0%1.2%2.2%2.8M-33.8M-727.3K0.9538.98N/AN/A89785633,68010,261