CEG Options History — May 2008

In May 2008, CEG traded between $80.17 and $87.33. ATM implied volatility averaged 31.1%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.9% (HV 20d: 27.3%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2008-05-07: Highest Volume — 19,179 contracts
  • 2008-05-12: Largest IV spike — 17.9% change
  • 2008-05-12: Highest IV Rank — 75.6%
  • 2008-05-12: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.78$80.17$87.33$85.00$86.23
Max Pain$81.75$80.00$85.00$85.00$80.00
ATM IV31.1%28.9%36.7%31.5%29.5%
Expected Move8.8%8.3%9.4%9.0%8.5%
HV 20d27.3%24.1%29.5%26.3%24.1%
HV 60d28.8%27.6%29.4%28.9%27.6%
IV Rank53.3%42.9%75.6%58.2%45.6%
IV Percentile67.8%50.4%92.9%75.8%55.2%
Term Structure0.1%-1.6%1.2%-1.6%0.6%
VWIV30.9%29.0%33.3%31.3%29.4%
Skew 25d3.3%0.6%4.4%1.4%4.4%
Skew 10d5.6%0.2%11.9%4.1%7.4%
Call IV 25d29.6%27.6%31.8%31.1%28.2%
Put IV 25d32.9%31.2%34.7%32.5%32.5%
Bid-Ask Spread %16.978.5628.2518.2414.05
Gamma HHI0.290.180.350.200.34
Net GEX3.1M52.0K5.3M1.5M5.1M
Net DEX-51.6M-113.9M22.2M-12.2M-99.6M
Net VEX-998.7K-1.3M-500.3K-712.6K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.024.540.150.47
Total Volume2,602.416619,1792,005166
Total OI62,691.244,01175,14649,94468,616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$85.00$85.0031.5%9.0%26.3%58.2%31.3%1.4%-1.6%1.5M-12.2M-712.6K0.1518.24N/AN/A1,74825732,65617,288
2008-05-02$84.45$85.0030.3%8.7%25.5%53.6%31.3%0.6%-0.5%1.5M-9.9M-644.0K4.1821.45N/AN/A18677831,03514,021
2008-05-05$80.69$85.0032.0%9.0%28.1%58.2%30.6%3.9%-0.2%52.0K19.9M-569.7K1.308.56N/AN/A2,2882,98530,95414,222
2008-05-06$80.28$85.0032.0%8.9%27.4%57.9%30.6%3.0%-0.2%170.9K22.2M-592.6K0.4313.84N/AN/A1,33858232,70515,273
2008-05-07$80.48$85.0032.0%9.1%27.5%57.9%31.5%2.9%0.4%194.9K16.8M-632.9K0.0210.20N/AN/A18,83634333,03315,431
2008-05-08$80.17$85.0031.1%9.3%27.1%54.4%32.2%2.6%0.4%2.1M-19.4M-965.0K0.339.21N/AN/A1,35845351,07115,250
2008-05-09$81.58$85.0031.1%9.3%28.2%54.6%32.4%3.2%-0.1%2.5M-35.5M-1.0M0.4011.43N/AN/A5,0632,05052,03515,523
2008-05-12$82.42$80.0036.7%9.4%28.7%75.6%32.0%3.5%0.1%942.7K-17.2M-500.3K0.799.08N/AN/A43334131,87712,134
2008-05-13$81.58$80.0035.2%9.4%28.0%69.3%33.3%3.4%-0.3%2.6M-35.9M-1.1M0.499.11N/AN/A72035456,42518,269
2008-05-14$82.53$80.0034.1%8.7%25.7%64.6%30.8%3.0%0.2%3.0M-49.2M-1.1M0.859.94N/AN/A49341756,86717,529
2008-05-15$82.80$80.0029.1%8.4%25.8%43.9%30.9%3.5%0.2%3.0M-48.2M-1.1M1.4511.32N/AN/A35150957,16417,679
2008-05-16$83.31$80.0029.1%8.3%26.1%43.6%29.6%2.6%0.3%3.7M-54.9M-1.1M4.5414.41N/AN/A20894557,25017,896
2008-05-19$85.90$80.0029.2%8.4%29.1%44.3%30.4%3.4%0.4%4.9M-96.8M-1.2M0.9026.31N/AN/A1,7351,55949,69014,766
2008-05-20$85.65$80.0028.9%8.3%28.9%42.9%29.6%3.9%0.7%4.9M-94.1M-1.2M3.2826.42N/AN/A28192250,98315,777
2008-05-21$86.84$80.0029.3%8.4%29.5%44.6%29.0%3.5%0.3%5.1M-107.6M-1.3M0.4728.25N/AN/A1918951,06016,349
2008-05-22$87.33$80.0029.6%8.5%28.8%46.0%29.4%4.2%0.2%5.3M-113.9M-1.3M0.4024.69N/AN/A77231251,11316,407
2008-05-23$85.82$80.0029.4%8.4%28.3%44.9%29.9%4.2%1.2%4.9M-97.6M-1.2M1.3623.47N/AN/A14720051,57816,348
2008-05-27$86.33$80.0031.4%9.0%27.3%53.4%31.7%4.3%-0.4%5.0M-100.1M-1.2M1.2124.90N/AN/A8371,00951,55016,442
2008-05-28$86.13$80.0031.0%8.9%25.1%51.8%31.2%4.4%-0.4%5.0M-98.3M-1.2M1.4824.53N/AN/A31947352,28617,272
2008-05-30$86.23$80.0029.5%8.5%24.1%45.6%29.4%4.4%0.6%5.1M-99.6M-1.2M0.4714.05N/AN/A1135351,86016,756