CEG Options History — April 2008

In April 2008, CEG traded between $84.65 and $93.00. ATM implied volatility averaged 32.9%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.7% (HV 20d: 28.2%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2008-04-30: Highest Volume — 12,192 contracts
  • 2008-04-30: Largest IV drop — 20.8% change
  • 2008-04-29: Highest IV Rank — 90.7%
  • 2008-04-29: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.79$84.65$93.00$90.00$84.65
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV32.9%29.2%40.1%34.8%31.7%
Expected Move9.5%8.4%11.5%10.0%9.1%
HV 20d28.2%24.2%33.4%32.8%26.3%
HV 60d30.6%28.3%32.5%32.5%29.3%
IV Rank63.6%49.4%90.7%70.7%59.0%
IV Percentile81.7%60.7%96.8%88.5%77.0%
Term Structure-1.6%-6.1%1.5%0.5%-1.3%
VWIV33.0%29.5%40.2%34.2%32.2%
Skew 25d3.7%0.9%5.8%3.4%2.3%
Skew 10d6.6%2.0%12.0%6.5%3.8%
Call IV 25d31.7%28.0%38.4%33.9%31.0%
Put IV 25d35.3%32.1%42.5%37.2%33.2%
Bid-Ask Spread %26.5614.2644.1627.6114.26
Gamma HHI0.280.200.370.280.20
Net GEX3.6M1.3M7.3M4.0M1.3M
Net DEX-43.6M-74.3M-9.2M-47.9M-9.2M
Net VEX-696.5K-742.4K-630.8K-742.4K-663.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.043.160.821.09
Total Volume2,121.0486012,19246512,192
Total OI43,947.52429,25750,98447,64647,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$90.00$90.0034.8%10.0%32.8%70.7%34.2%3.4%0.5%4.0M-47.9M-742.4K0.8227.61N/AN/A25620935,74611,900
2008-04-02$89.06$90.0033.0%9.5%32.8%63.9%34.3%3.5%1.5%3.6M-37.1M-722.6K0.6919.32N/AN/A50535135,84411,832
2008-04-03$87.27$90.0034.9%10.0%33.4%71.2%32.0%3.9%0.3%2.6M-22.0M-681.9K0.2919.98N/AN/A2758135,81812,046
2008-04-07$89.32$90.0032.8%9.7%31.8%63.2%32.9%3.6%-1.7%3.3M-30.5M-718.8K0.5118.47N/AN/A28214335,75613,050
2008-04-08$90.41$90.0031.0%9.4%31.9%56.2%31.9%4.3%-1.0%4.0M-40.8M-703.5K0.0523.59N/AN/A1,3917635,88612,568
2008-04-09$90.17$90.0030.4%9.4%31.9%53.9%32.2%3.9%-1.0%4.5M-42.6M-704.0K3.1628.79N/AN/A5718036,85212,606
2008-04-10$90.87$90.0032.0%9.2%30.6%59.9%30.9%4.0%-0.5%5.0M-48.7M-708.7K1.7317.22N/AN/A223836,87612,739
2008-04-11$89.72$90.0031.5%9.0%29.3%58.1%31.4%2.9%0.2%4.1M-35.2M-693.8K0.1918.64N/AN/A2845336,76612,736
2008-04-14$89.07$90.0032.7%9.4%28.2%62.6%32.5%3.5%-1.2%3.7M-27.7M-652.6K0.0430.04N/AN/A1,1214536,90012,728
2008-04-15$90.30$90.0031.4%9.0%28.1%57.7%32.8%3.7%-0.5%4.7M-42.9M-695.6K2.4920.41N/AN/A9022437,70212,735
2008-04-16$92.99$90.0029.4%8.4%27.6%50.1%30.6%4.7%-0.1%7.1M-72.4M-718.9K0.0623.32N/AN/A6223537,69612,667
2008-04-17$93.00$90.0029.2%8.4%26.9%49.4%29.5%4.2%-0.3%7.3M-74.3M-723.6K0.0416.43N/AN/A3371338,23912,687
2008-04-18$92.98$90.0030.7%8.8%25.9%55.0%30.6%2.2%-1.5%3.7M-73.7M-709.0K0.3935.40N/AN/A59123338,30812,676
2008-04-21$92.20$90.0033.3%9.6%24.6%65.1%30.8%4.1%-2.1%2.5M-58.3M-697.3K0.2231.82N/AN/A1,17526021,2997,958
2008-04-22$91.06$90.0033.0%9.5%25.1%63.8%32.1%2.9%-2.6%2.3M-52.5M-681.2K1.1238.46N/AN/A657321,2997,958
2008-04-23$90.98$90.0032.3%9.3%24.5%61.2%32.0%4.3%-1.8%2.5M-50.1M-681.8K1.8444.16N/AN/A7513822,1558,199
2008-04-24$89.13$90.0032.8%9.4%25.7%63.2%33.5%0.9%-2.7%2.3M-42.9M-661.8K0.0831.38N/AN/A8267022,1798,295
2008-04-25$87.10$90.0038.5%11.0%24.2%84.5%39.5%5.8%-6.1%2.1M-31.5M-630.8K1.1828.94N/AN/A5,3416,28022,8128,299
2008-04-28$88.92$90.0036.5%10.5%24.5%77.1%37.2%5.1%-5.3%2.3M-46.0M-733.8K0.2536.27N/AN/A4,3431,10026,42013,952
2008-04-29$86.31$90.0040.1%11.5%26.7%90.7%40.2%4.0%-6.0%2.2M-29.1M-701.7K0.4533.22N/AN/A3,5191,57128,71214,829
2008-04-30$84.65$90.0031.7%9.1%26.3%59.0%32.2%2.3%-1.3%1.3M-9.2M-663.5K1.0914.26N/AN/A5,8216,37131,16716,006