CEG Options History — June 2008

In June 2008, CEG traded between $80.78 and $90.42. ATM implied volatility averaged 30.8%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.3% (HV 20d: 23.5%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.00.

Notable Days

  • 2008-06-05: Highest Volume — 31,651 contracts
  • 2008-06-06: Largest IV spike — 13.2% change
  • 2008-06-30: Highest IV Rank — 65.3%
  • 2008-06-30: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.24$80.78$90.42$86.83$82.10
Max Pain$88.10$80.00$90.00$80.00$90.00
ATM IV30.8%27.1%34.2%29.5%34.2%
Expected Move8.9%7.8%9.8%8.5%9.8%
HV 20d23.5%17.7%25.2%24.2%25.2%
HV 60d26.3%24.5%28.2%27.6%25.0%
IV Rank50.8%35.4%65.3%45.4%65.3%
IV Percentile65.1%29.0%84.1%54.4%84.1%
Term Structure1.0%-0.1%2.0%1.2%0.6%
VWIV31.8%29.6%43.0%31.3%33.9%
Skew 25d3.6%1.9%5.2%4.0%3.3%
Skew 10d7.1%3.2%10.4%9.4%6.6%
Call IV 25d29.7%26.9%32.8%27.9%32.8%
Put IV 25d33.3%29.5%36.2%31.9%36.1%
Bid-Ask Spread %18.6512.3526.7716.6317.61
Gamma HHI0.330.270.410.340.30
Net GEX5.4M2.6M11.2M5.3M3.0M
Net DEX-84.1M-159.2M-21.6M-106.9M-36.5M
Net VEX-1.1M-1.3M-953.0K-1.2M-997.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.000.0354.294.130.69
Total Volume2,916.4768131,651498412
Total OI71,809.66763,81978,59968,69766,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$86.83$80.0029.5%8.5%24.2%45.4%31.3%4.0%1.2%5.3M-106.9M-1.2M4.1316.63N/AN/A9740151,91116,786
2008-06-03$87.21$80.0029.9%8.6%24.0%47.0%29.6%3.0%0.4%5.4M-114.9M-1.2M1.9513.83N/AN/A8416451,93116,902
2008-06-04$89.52$80.0028.1%8.1%18.1%39.5%29.6%1.9%1.3%6.3M-144.0M-1.3M1.5113.58N/AN/A26640251,94416,947
2008-06-05$90.42$80.0027.1%7.8%17.7%35.4%43.0%2.6%1.5%6.8M-159.2M-1.3M0.0322.39N/AN/A30,81084151,98116,964
2008-06-06$87.12$90.0030.7%8.9%23.4%50.4%30.8%3.2%0.8%5.3M-108.2M-1.2M14.0117.99N/AN/A721,00951,28516,682
2008-06-09$88.25$90.0027.2%8.3%23.5%35.9%29.9%3.1%1.7%5.6M-121.9M-1.2M0.2016.89N/AN/A10,2382,05451,28517,243
2008-06-10$86.70$90.0030.4%8.9%24.3%49.2%30.6%3.5%0.7%10.3M-121.8M-1.3M1.2917.38N/AN/A10713861,21617,370
2008-06-11$87.01$90.0029.8%8.8%24.1%46.7%30.5%3.4%1.3%11.2M-128.7M-1.2M1.5417.64N/AN/A8012361,22715,893
2008-06-12$85.42$90.0030.9%8.9%24.9%51.3%32.2%4.6%0.7%7.8M-89.2M-1.2M54.2919.89N/AN/A311,68361,22715,928
2008-06-13$86.14$90.0030.9%8.9%24.7%51.4%30.6%4.3%0.8%8.5M-95.7M-1.2M8.0013.47N/AN/A4132861,22217,377
2008-06-16$85.55$90.0031.5%9.0%24.9%53.6%31.2%3.5%0.9%5.8M-82.4M-1.1M1.5716.67N/AN/A8212961,19617,391
2008-06-17$85.42$90.0031.1%8.9%24.9%52.1%30.5%3.5%1.0%6.8M-84.0M-1.1M1.2519.34N/AN/A364561,25416,745
2008-06-18$83.68$90.0031.9%9.1%23.5%55.3%31.6%3.8%0.5%3.2M-54.8M-1.1M0.3012.35N/AN/A46513861,24116,743
2008-06-19$84.06$90.0031.1%8.9%23.5%52.0%31.7%3.3%1.4%2.8M-58.8M-1.0M4.1318.56N/AN/A4016561,24416,764
2008-06-20$82.66$90.0032.7%9.4%23.5%58.7%34.6%4.2%2.0%3.5M-40.8M-1.0M5.4125.60N/AN/A7984,31861,22716,818
2008-06-23$83.10$90.0031.9%9.1%23.5%55.4%32.0%5.2%-0.1%3.6M-55.2M-1.1M0.7316.58N/AN/A1,04976748,24915,570
2008-06-24$83.48$90.0031.9%9.1%22.9%55.4%32.2%4.5%0.9%3.7M-56.8M-1.1M1.4926.77N/AN/A7101,06148,74616,506
2008-06-25$83.42$90.0031.0%8.9%22.8%51.7%30.8%4.5%1.1%3.5M-54.1M-1.1M0.3020.88N/AN/A972949,10517,241
2008-06-26$81.15$90.0032.8%9.4%24.6%59.3%30.0%3.6%1.3%2.8M-31.0M-1.0M1.2526.71N/AN/A50763548,82017,233
2008-06-27$80.78$90.0032.1%9.2%24.5%56.4%31.5%2.2%1.5%2.6M-21.6M-953.0K0.8320.84N/AN/A43336148,82017,233
2008-06-30$82.10$90.0034.2%9.8%25.2%65.3%33.9%3.3%0.6%3.0M-36.5M-997.1K0.6917.61N/AN/A24416849,21717,319