CEG Options History — August 2008 In August 2008, CEG traded between $61.25 and $78.90. ATM implied volatility averaged 49.3%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 19.2% (HV 20d: 68.5%). Max pain ranged from $65.00 to $80.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.40.
Notable Days 2008-08-12 : Highest Volume — 35,700 contracts2008-08-12 : Largest IV spike — 54.9% change2008-08-12 : Highest IV Rank — 100.0%2008-08-12 : Largest Expected Move — 18.2%Monthly Statistics Metric Avg Min Max Open Close Price $68.33 $61.25 $78.90 $78.90 $66.71 Max Pain $72.14 $65.00 $80.00 $80.00 $65.00 ATM IV 49.3% 38.7% 69.6% 38.7% 42.7% Expected Move 13.5% 10.3% 18.2% 11.1% 12.3% HV 20d 68.5% 40.6% 81.6% 40.6% 78.3% HV 60d 44.6% 29.2% 52.1% 29.2% 51.9% IV Rank 70.4% 45.3% 100.0% 65.2% 47.3% IV Percentile 96.6% 91.3% 100.0% 91.7% 92.9% Term Structure -1.9% -7.6% 0.1% -4.6% -0.7% VWIV 48.2% 34.3% 65.6% 39.9% 43.2% Skew 25d 4.0% 0.4% 7.3% 1.7% 4.2% Skew 10d 6.4% -0.5% 12.2% 4.4% 7.4% Call IV 25d 45.7% 34.2% 62.3% 39.2% 42.3% Put IV 25d 49.6% 38.2% 66.8% 40.9% 46.5% Bid-Ask Spread % 26.90 13.73 38.08 24.50 27.89 Gamma HHI 0.16 0.13 0.21 0.21 0.16 Net GEX 363.0K -1.1M 3.3M 3.3M 693.7K Net DEX 57.7M -13.9M 97.4M -13.9M 50.2M Net VEX -742.8K -972.8K -522.9K -766.4K -682.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.40 0.11 24.87 1.04 1.78 Total Volume 6,134.381 54 35,700 773 801 Total OI 90,047.667 66,443 103,772 66,443 103,772
Daily Data (21 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 2008-08-01 $78.90 $80.00 38.7% 11.1% 40.6% 65.2% 39.9% 1.7% -4.6% 3.3M -13.9M -766.4K 1.04 24.50 N/A N/A 378 395 50,115 16,328 2008-08-04 $74.30 $80.00 45.6% 10.9% 45.3% 87.6% 39.7% 4.0% -0.4% 1.5M 24.4M -624.8K 24.87 21.25 N/A N/A 846 21,037 50,193 16,524 2008-08-05 $76.38 $80.00 44.1% 10.9% 46.5% 82.8% 36.9% 3.3% -1.1% 320.1K 46.6M -972.8K 0.62 16.89 N/A N/A 697 430 50,578 36,946 2008-08-06 $74.05 $80.00 42.1% 10.3% 47.6% 76.2% 35.9% 3.1% -0.2% -671.8K 69.8M -882.2K 0.59 31.05 N/A N/A 754 446 50,895 36,750 2008-08-07 $74.60 $80.00 41.2% 10.4% 47.7% 73.4% 38.6% 3.7% -0.3% -501.7K 65.2M -921.9K 0.49 31.20 N/A N/A 543 266 51,142 37,055 2008-08-08 $74.56 $80.00 39.6% 10.3% 47.7% 68.3% 0.0% 4.1% -0.4% -683.1K 67.2M -921.2K 0.54 30.82 N/A N/A 35 19 51,436 37,209 2008-08-11 $73.04 $80.00 44.9% 10.3% 48.0% 85.6% 34.3% 2.3% -0.6% -1.1M 79.2M -851.9K 4.49 30.63 N/A N/A 2,386 10,710 51,447 37,170 2008-08-12 $61.25 $80.00 69.6% 18.2% 76.3% 100.0% 63.4% 0.4% -7.6% -324.2K 97.4M -522.9K 2.03 28.67 N/A N/A 11,792 23,908 52,938 28,457 2008-08-13 $64.75 $70.00 63.7% 17.8% 80.2% 88.4% 61.4% 7.3% -4.3% 126.2K 79.8M -775.0K 0.35 13.73 N/A N/A 2,904 1,023 60,731 34,930 2008-08-14 $61.68 $70.00 63.4% 18.2% 81.1% 87.8% 65.6% 5.7% -2.9% -15.2K 89.3M -725.1K 4.70 16.38 N/A N/A 1,682 7,903 61,468 34,894 2008-08-15 $63.14 $70.00 61.6% 17.7% 78.0% 84.3% 62.9% 6.7% -1.3% 122.6K 78.5M -717.8K 0.71 16.51 N/A N/A 854 605 59,751 36,521 2008-08-18 $61.57 $70.00 61.0% 17.5% 78.1% 83.1% 60.4% 3.4% -1.4% -10.7K 72.3M -677.7K 0.11 23.23 N/A N/A 6,819 748 54,501 34,875 2008-08-19 $62.62 $70.00 57.4% 16.4% 78.9% 76.0% 57.9% 4.5% -2.8% -127.7K 74.3M -662.5K 1.59 26.86 N/A N/A 488 775 52,426 35,281 2008-08-20 $64.52 $70.00 48.3% 13.8% 79.9% 58.1% 48.0% 4.9% -1.3% -233.7K 75.4M -640.0K 0.20 24.23 N/A N/A 7,144 1,397 52,778 35,806 2008-08-21 $66.71 $65.00 46.7% 13.4% 81.3% 55.0% 45.5% 4.3% 0.1% 594.8K 49.0M -704.9K 0.22 36.98 N/A N/A 2,964 644 55,800 36,029 2008-08-22 $66.83 $65.00 46.3% 13.3% 81.4% 54.3% 45.6% 3.8% -1.0% 792.0K 45.3M -721.0K 0.14 31.89 N/A N/A 3,058 416 56,782 36,313 2008-08-25 $65.64 $65.00 44.8% 12.8% 81.1% 51.4% 44.6% 0.9% -1.4% 1.0M 48.9M -688.5K 0.14 32.56 N/A N/A 2,026 282 59,607 36,543 2008-08-26 $66.81 $65.00 47.5% 13.6% 81.6% 56.6% 49.4% 4.4% -3.7% 1.1M 43.1M -693.7K 4.22 38.08 N/A N/A 845 3,570 59,445 36,536 2008-08-27 $68.42 $65.00 44.6% 12.8% 80.2% 51.0% 46.5% 5.6% -2.4% 846.5K 34.5M -739.3K 0.55 28.09 N/A N/A 1,642 902 59,832 39,818 2008-08-28 $68.49 $65.00 41.7% 12.0% 79.6% 45.3% 43.9% 5.1% -1.4% 953.2K 34.5M -708.1K 1.10 33.56 N/A N/A 2,233 2,455 60,748 40,631 2008-08-29 $66.71 $65.00 42.7% 12.3% 78.3% 47.3% 43.2% 4.2% -0.7% 693.7K 50.2M -682.3K 1.78 27.89 N/A N/A 288 513 62,110 41,662
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