CEG Options History — March 2008

In March 2008, CEG traded between $83.88 and $91.37. ATM implied volatility averaged 33.7%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 2.8% (HV 20d: 30.9%). 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 6 of 20 days. Put/call ratio averaged 2.34.

Notable Days

  • 2008-03-27: Highest Volume — 3,670 contracts
  • 2008-03-11: Largest IV drop — 13.8% change
  • 2008-03-17: Highest IV Rank — 80.4%
  • 2008-03-17: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.67$83.88$91.37$90.54$88.27
Max Pain$93.50$90.00$95.00$90.00$90.00
ATM IV33.7%29.3%37.4%29.3%35.8%
Expected Move9.8%8.4%10.7%8.4%10.3%
HV 20d30.9%25.6%35.3%29.8%33.3%
HV 60d30.3%28.5%32.3%28.7%32.3%
IV Rank66.5%49.6%80.4%49.6%74.5%
IV Percentile88.3%73.4%95.2%73.4%91.7%
Term Structure-0.0%-2.4%3.6%3.5%0.3%
VWIV34.6%28.9%39.0%30.2%36.0%
Skew 25d3.6%-1.1%6.0%3.3%3.1%
Skew 10d5.9%-2.9%12.8%4.4%2.8%
Call IV 25d33.1%28.6%36.1%28.6%36.1%
Put IV 25d36.7%31.4%41.0%31.9%39.2%
Bid-Ask Spread %29.4920.1749.6625.1023.50
Gamma HHI0.290.240.340.330.27
Net GEX2.7M1.2M4.0M3.4M3.3M
Net DEX-30.1M-57.6M-2.2M-46.1M-34.8M
Net VEX-723.4K-808.5K-655.5K-770.8K-716.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.0916.690.091.50
Total Volume835.752983,6701,070487
Total OI46,212.4544,46048,30244,80947,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$90.54$90.0029.3%8.4%29.8%49.6%30.2%3.3%3.5%3.4M-46.1M-770.8K0.0925.10N/AN/A9818934,09210,717
2008-03-04$91.37$90.0030.4%8.7%28.8%54.0%29.4%3.2%1.7%4.0M-57.6M-808.5K1.1028.35N/AN/A25528034,84810,674
2008-03-05$90.58$90.0029.6%8.5%25.6%50.9%28.9%2.0%2.3%3.6M-46.4M-770.2K0.9529.91N/AN/A18917934,75110,608
2008-03-06$87.27$90.0031.2%8.9%28.0%56.9%33.0%-1.1%3.6%2.9M-34.8M-728.4K0.1127.88N/AN/A1,43715134,74710,628
2008-03-07$86.78$95.0031.6%10.0%27.9%58.6%33.2%4.0%-0.1%2.7M-30.2M-746.3K1.2536.69N/AN/A23629636,04410,669
2008-03-10$86.62$95.0034.7%10.3%27.8%70.2%34.8%3.5%-0.8%2.5M-25.6M-702.5K0.3437.09N/AN/A2237535,10910,633
2008-03-11$89.05$95.0029.9%9.4%29.0%52.0%35.9%4.0%-0.1%3.0M-35.4M-732.1K1.1428.68N/AN/A18821535,18410,658
2008-03-12$86.71$95.0030.3%9.9%28.5%53.6%34.5%3.7%-0.9%2.6M-30.7M-704.9K16.6920.17N/AN/A2643435,25210,563
2008-03-13$88.84$95.0032.8%9.4%30.4%63.0%33.0%4.4%0.1%3.0M-35.2M-734.7K3.1021.04N/AN/A3911,21135,26810,946
2008-03-14$87.65$95.0034.4%9.9%30.5%69.4%37.5%5.1%-0.8%2.5M-26.7M-732.6K2.2149.66N/AN/A15233635,25511,836
2008-03-17$85.32$95.0037.4%10.7%31.0%80.4%37.6%5.0%-1.7%1.9M-13.4M-700.5K10.9834.69N/AN/A4852735,29311,813
2008-03-18$87.13$95.0035.2%10.1%32.5%72.3%34.7%4.5%-0.6%2.2M-19.8M-707.2K1.1331.15N/AN/A17219535,32912,218
2008-03-19$85.63$95.0035.9%10.3%32.7%75.0%35.9%3.1%-2.4%1.8M-16.5M-696.2K0.5432.36N/AN/A62933735,41312,201
2008-03-20$83.88$95.0036.5%10.5%32.7%77.3%36.7%6.0%-1.4%1.2M-2.2M-655.5K0.8827.44N/AN/A35531435,91312,389
2008-03-24$85.01$95.0036.4%10.4%32.4%76.9%39.0%4.1%-1.4%1.9M-13.0M-660.5K2.2129.44N/AN/A25756733,07911,381
2008-03-25$86.65$95.0035.4%10.2%33.3%73.2%35.8%3.5%-0.3%2.3M-20.1M-693.5K0.8627.02N/AN/A46039433,22711,685
2008-03-26$87.38$95.0035.7%10.2%33.4%74.0%34.8%4.5%-0.8%2.6M-24.3M-698.1K0.8529.39N/AN/A27323133,47711,657
2008-03-27$90.23$95.0036.4%10.4%34.7%76.8%35.7%3.2%-0.8%3.6M-50.3M-754.6K0.1825.87N/AN/A3,10556533,61611,716
2008-03-28$88.47$90.0035.2%10.1%35.3%72.2%35.6%2.2%-0.3%3.4M-38.1M-754.2K0.7224.45N/AN/A26419135,64112,075
2008-03-31$88.27$90.0035.8%10.3%33.3%74.5%36.0%3.1%0.3%3.3M-34.8M-716.9K1.5023.50N/AN/A19529235,70511,939