CEG Options History — October 2008 In October 2008, CEG traded between $22.92 and $28.62. ATM implied volatility averaged 57.5%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 72.2% (HV 20d: 129.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 8.12.
Notable Days 2008-10-07 : Highest Volume — 88,703 contracts2008-10-23 : Largest IV spike — 55.8% change2008-10-10 : Highest IV Rank — 40.5%2008-10-01 : Largest Expected Move — 26.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.76 $22.92 $28.62 $23.75 $24.21 Max Pain $25.65 $25.00 $30.00 $30.00 $25.00 ATM IV 57.5% 22.4% 112.9% 93.2% 30.4% Expected Move 14.2% 6.4% 26.7% 26.7% 8.7% HV 20d 129.7% 60.0% 199.5% 185.4% 60.0% HV 60d 127.6% 121.7% 129.1% 121.7% 127.9% IV Rank 16.7% 1.6% 40.5% 32.0% 5.0% IV Percentile 71.3% 2.4% 98.4% 97.6% 37.7% Term Structure -2.4% -18.3% 10.2% -18.3% 3.9% VWIV 50.7% 23.0% 81.6% 80.0% 30.8% Skew 25d 13.9% 4.1% 40.9% 40.9% 8.9% Skew 10d 27.1% 7.9% 71.7% 71.7% 19.7% Call IV 25d 48.7% 28.2% 73.9% 73.9% 30.5% Put IV 25d 62.6% 37.6% 114.8% 114.8% 39.4% Bid-Ask Spread % 50.82 30.46 80.12 35.06 62.57 Gamma HHI 0.36 0.24 0.50 0.24 0.43 Net GEX 742.0K 244.5K 1.3M 244.5K 1.1M Net DEX 45.5M 33.9M 62.1M 62.1M 37.7M Net VEX -185.1K -227.4K -126.8K -160.8K -207.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 8.12 0.14 88.96 6.20 0.96 Total Volume 8,766.783 314 88,703 9,898 314 Total OI 129,358.391 94,231 160,505 143,550 108,706
Daily Data (23 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 2008-10-01 $23.75 $30.00 93.2% 26.7% 185.4% 32.0% 80.0% 40.9% -18.3% 244.5K 62.1M -160.8K 6.20 35.06 N/A N/A 1,375 8,523 94,061 49,489 2008-10-02 $27.23 $30.00 76.9% 22.0% 196.7% 25.0% 73.4% 9.5% -14.3% 755.3K 40.5M -225.7K 0.14 47.12 N/A N/A 4,310 604 94,851 49,548 2008-10-03 $28.62 $30.00 67.8% 19.4% 199.5% 21.1% 81.6% 18.1% -8.6% 971.4K 36.0M -216.3K 0.17 30.65 N/A N/A 4,926 860 97,244 49,308 2008-10-06 $26.83 $25.00 83.2% 18.9% 198.8% 27.7% 69.3% 15.4% -6.2% 760.6K 39.8M -219.6K 0.73 46.87 N/A N/A 2,833 2,065 98,402 48,702 2008-10-07 $26.00 $25.00 85.1% 18.5% 198.7% 28.5% 66.3% 10.1% -7.8% 594.5K 51.7M -165.7K 88.96 50.31 N/A N/A 986 87,717 98,021 49,842 2008-10-08 $25.49 $25.00 77.8% 17.9% 198.6% 25.4% 66.2% 14.1% -7.3% 660.9K 47.7M -189.1K 12.39 51.48 N/A N/A 618 7,654 98,625 49,294 2008-10-09 $23.52 $25.00 92.3% 21.3% 198.9% 31.6% 71.4% 10.8% -15.6% 411.6K 50.7M -170.7K 0.17 50.57 N/A N/A 1,128 188 98,745 49,198 2008-10-10 $23.86 $25.00 112.9% 20.3% 199.1% 40.5% 74.5% 23.4% -9.0% 391.5K 53.4M -166.6K 0.97 80.12 N/A N/A 673 655 99,543 49,033 2008-10-13 $25.95 $25.00 73.9% 16.3% 195.7% 23.7% 69.1% 13.4% -2.2% 656.8K 43.6M -197.7K 0.37 57.41 N/A N/A 1,094 409 99,632 49,076 2008-10-14 $25.62 $25.00 71.5% 16.8% 119.8% 22.7% 60.6% 6.1% -2.6% 898.6K 42.7M -173.6K 68.65 56.38 N/A N/A 442 30,345 100,474 48,375 2008-10-15 $24.05 $25.00 82.0% 12.3% 94.2% 27.2% 44.3% 21.1% 5.6% 455.1K 61.1M -126.8K 0.51 68.94 N/A N/A 9,332 4,777 100,404 48,319 2008-10-16 $24.33 $25.00 42.1% 12.1% 94.0% 10.1% 44.0% 25.4% 3.1% 803.7K 57.4M -146.7K 1.00 38.93 N/A N/A 3,627 3,633 105,488 50,008 2008-10-17 $24.06 $25.00 35.9% 10.3% 91.1% 7.4% 40.9% 9.9% 10.2% 720.2K 50.3M -210.8K 0.78 57.09 N/A N/A 1,198 940 107,544 52,961 2008-10-20 $24.90 $25.00 27.9% 8.0% 89.7% 4.0% 29.2% 4.4% -3.7% 751.4K 40.8M -148.6K 0.20 64.94 N/A N/A 2,315 467 60,769 33,462 2008-10-21 $24.83 $25.00 22.4% 6.4% 88.6% 1.6% 23.0% 12.0% 8.0% 1.1M 39.7M -163.8K 2.05 30.46 N/A N/A 2,007 4,114 62,873 33,830 2008-10-22 $24.44 $25.00 25.8% 7.4% 88.7% 3.1% 26.8% 4.1% 3.1% 906.2K 40.7M -197.6K 0.15 34.80 N/A N/A 2,497 376 64,579 37,761 2008-10-23 $23.75 $25.00 40.3% 11.5% 89.1% 9.3% 31.6% 10.3% -2.7% 688.6K 45.1M -169.5K 0.30 35.27 N/A N/A 1,369 409 66,164 37,952 2008-10-24 $23.20 $25.00 42.6% 12.2% 88.9% 10.3% 39.9% 15.8% 2.3% 660.8K 45.7M -187.1K 0.34 56.66 N/A N/A 729 249 66,847 38,212 2008-10-27 $22.92 $25.00 39.9% 11.4% 82.5% 9.1% 43.8% 11.4% 2.6% 521.8K 45.3M -186.9K 0.29 53.94 N/A N/A 1,693 491 67,271 38,417 2008-10-28 $23.29 $25.00 41.6% 11.9% 80.2% 9.9% 36.6% 6.0% -1.2% 635.0K 34.3M -227.4K 0.95 31.87 N/A N/A 563 533 68,076 38,676 2008-10-29 $24.24 $25.00 28.8% 8.3% 81.2% 4.4% 30.4% 15.8% 3.8% 1.1M 45.7M -179.3K 0.15 61.92 N/A N/A 862 133 68,730 38,788 2008-10-30 $24.34 $25.00 28.5% 8.2% 63.5% 4.2% 32.8% 12.8% 1.9% 1.3M 33.9M -218.6K 0.33 65.49 N/A N/A 1,209 394 69,085 38,858 2008-10-31 $24.21 $25.00 30.4% 8.7% 60.0% 5.0% 30.8% 8.9% 3.9% 1.1M 37.7M -207.4K 0.96 62.57 N/A N/A 160 154 69,791 38,915
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