CEG Options History — July 2008 In July 2008, CEG traded between $76.93 and $83.16. ATM implied volatility averaged 38.8%, placing in the 82.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 12.6% (HV 20d: 26.2%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.97.
Notable Days 2008-07-18 : Highest Volume — 3,025 contracts2008-07-31 : Largest IV drop — 27.4% change2008-07-24 : Highest IV Rank — 100.0%2008-07-30 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $80.20 $76.93 $83.16 $82.57 $83.16 Max Pain $82.73 $80.00 $90.00 $90.00 $80.00 ATM IV 38.8% 32.2% 49.4% 32.2% 35.8% Expected Move 11.0% 9.2% 14.2% 9.2% 10.3% HV 20d 26.2% 17.7% 36.2% 25.3% 36.2% HV 60d 25.7% 23.3% 28.4% 24.7% 27.1% IV Rank 82.1% 55.9% 100.0% 56.7% 55.9% IV Percentile 92.7% 76.6% 100.0% 76.6% 84.1% Term Structure -3.5% -11.6% 0.9% 0.9% -3.2% VWIV 38.4% 32.9% 48.9% 32.9% 36.1% Skew 25d 4.3% 2.1% 9.3% 3.3% 3.4% Skew 10d 8.1% 1.3% 21.9% 6.8% 6.6% Call IV 25d 36.8% 32.4% 45.2% 32.4% 35.3% Put IV 25d 41.1% 35.7% 54.5% 35.7% 38.7% Bid-Ask Spread % 21.90 12.21 32.73 20.21 28.84 Gamma HHI 0.25 0.21 0.30 0.30 0.23 Net GEX 3.1M 1.7M 5.5M 3.2M 5.5M Net DEX -21.6M -64.1M 14.0M -43.5M -64.1M Net VEX -853.7K -1.0M -689.1K -1.0M -923.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.97 0.10 7.43 0.26 0.35 Total Volume 1,119.818 126 3,025 961 2,886 Total OI 66,297.5 64,128 71,161 66,658 66,016
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-07-01 $82.57 $90.00 32.2% 9.2% 25.3% 56.7% 32.9% 3.3% 0.9% 3.2M -43.5M -1.0M 0.26 20.21 N/A N/A 760 201 49,355 17,303 2008-07-02 $82.97 $90.00 33.0% 9.5% 23.1% 60.2% 34.1% 2.8% -0.3% 3.4M -48.9M -1.0M 0.81 21.00 N/A N/A 81 66 50,028 17,348 2008-07-03 $82.02 $90.00 35.6% 10.2% 22.7% 70.9% 33.7% 2.1% -1.2% 3.0M -39.0M -988.7K 0.25 25.52 N/A N/A 101 25 48,900 17,248 2008-07-07 $80.48 $85.00 39.1% 10.3% 20.0% 85.8% 36.1% 3.3% -0.5% 2.5M -20.9M -908.8K 1.26 28.88 N/A N/A 313 393 48,914 17,251 2008-07-08 $80.98 $85.00 38.6% 10.1% 19.4% 83.8% 35.6% 3.9% -1.0% 2.6M -19.9M -886.7K 0.49 14.62 N/A N/A 911 448 48,988 17,047 2008-07-09 $80.23 $85.00 37.7% 10.1% 18.8% 79.9% 37.4% 3.9% -1.1% 2.4M -11.6M -888.2K 2.23 29.12 N/A N/A 240 534 49,266 17,426 2008-07-10 $80.28 $85.00 34.6% 9.9% 18.7% 67.0% 0.0% 3.7% 0.1% 2.2M -8.5M -879.2K 0.50 31.64 N/A N/A 141 70 49,171 17,626 2008-07-11 $79.53 $85.00 34.9% 10.0% 18.0% 68.3% 35.6% 4.1% -0.1% 2.0M -3.0M -829.8K 2.29 28.27 N/A N/A 224 513 49,239 17,661 2008-07-14 $78.57 $85.00 36.6% 10.5% 17.7% 75.3% 36.8% 2.2% -1.9% 1.8M 6.5M -806.4K 0.23 26.02 N/A N/A 1,110 255 49,345 17,784 2008-07-15 $80.87 $80.00 38.2% 11.0% 21.3% 81.9% 38.1% 6.8% -3.2% 2.4M -18.0M -876.8K 0.92 23.25 N/A N/A 1,180 1,086 50,088 17,585 2008-07-16 $80.03 $80.00 37.4% 10.7% 21.4% 78.5% 38.3% 4.7% -2.8% 2.2M -8.5M -832.1K 0.78 15.15 N/A N/A 647 504 51,056 18,014 2008-07-17 $77.68 $80.00 38.4% 11.0% 22.6% 82.8% 38.1% 4.5% -3.8% 1.7M 14.0M -747.9K 0.19 20.69 N/A N/A 2,524 472 51,144 18,048 2008-07-18 $82.32 $80.00 39.1% 11.2% 31.5% 85.5% 38.2% 4.9% -4.7% 4.6M -45.6M -917.1K 0.72 16.27 N/A N/A 1,763 1,262 52,931 18,230 2008-07-21 $81.57 $80.00 41.3% 11.8% 31.1% 95.0% 40.2% 5.6% -5.4% 4.5M -49.1M -911.6K 0.13 12.21 N/A N/A 867 114 49,032 15,096 2008-07-22 $80.80 $80.00 41.1% 11.8% 31.1% 94.1% 40.5% 4.2% -5.9% 4.2M -40.4M -868.3K 0.10 15.15 N/A N/A 793 79 49,675 15,116 2008-07-23 $78.21 $80.00 41.0% 11.7% 32.9% 93.5% 40.8% 4.7% -5.7% 3.1M -11.1M -763.5K 0.48 27.76 N/A N/A 287 137 49,357 15,104 2008-07-24 $77.40 $80.00 42.8% 12.3% 33.0% 100.0% 40.6% 5.1% -5.6% 2.8M -3.6M -707.9K 0.54 14.46 N/A N/A 140 76 49,167 15,123 2008-07-25 $76.93 $80.00 42.7% 12.3% 31.8% 99.9% 40.8% 3.3% -6.1% 2.6M 2.1M -689.1K 7.43 15.17 N/A N/A 23 171 49,227 15,106 2008-07-28 $78.07 $80.00 42.1% 12.1% 32.4% 97.4% 43.7% 4.9% -6.6% 3.0M -7.6M -734.9K 0.24 13.35 N/A N/A 206 50 49,236 15,137 2008-07-29 $78.11 $80.00 41.4% 11.9% 31.7% 94.4% 41.1% 4.2% -6.5% 3.0M -5.3M -696.4K 0.22 21.43 N/A N/A 402 89 49,276 15,116 2008-07-30 $81.57 $80.00 49.4% 14.2% 35.6% 100.0% 48.9% 9.3% -11.6% 4.5M -48.6M -874.2K 0.91 32.73 N/A N/A 1,304 1,188 49,590 15,175 2008-07-31 $83.16 $80.00 35.8% 10.3% 36.2% 55.9% 36.1% 3.4% -3.2% 5.5M -64.1M -923.9K 0.35 28.84 N/A N/A 2,145 741 50,038 15,978
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