CEG Options History — November 2008

In November 2008, CEG traded between $23.12 and $24.74. ATM implied volatility averaged 37.5%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 3.8% (HV 20d: 41.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.49.

Notable Days

  • 2008-11-06: Highest Volume — 18,389 contracts
  • 2008-11-05: Largest IV spike — 53.9% change
  • 2008-11-05: Highest IV Rank — 12.6%
  • 2008-11-07: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.92$23.12$24.74$23.46$24.47
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV37.5%26.1%48.0%46.9%32.5%
Expected Move11.3%7.5%14.6%13.5%9.3%
HV 20d41.3%32.4%57.7%57.0%35.0%
HV 60d123.5%122.3%128.3%127.9%123.1%
IV Rank8.1%3.2%12.6%12.1%5.9%
IV Percentile60.7%12.3%86.9%85.7%47.6%
Term Structure8.6%-3.4%19.4%-0.3%6.2%
VWIV39.2%29.6%49.6%39.4%30.2%
Skew 25d11.5%0.2%19.8%19.8%0.2%
Skew 10d16.7%-19.9%40.2%40.2%7.1%
Call IV 25d39.0%34.1%43.0%37.2%36.0%
Put IV 25d50.5%36.3%58.1%56.9%36.3%
Bid-Ask Spread %63.0225.1081.8825.1078.20
Gamma HHI0.400.240.580.390.28
Net GEX943.3K192.3K1.8M861.3K418.5K
Net DEX59.9M38.3M72.0M41.1M67.1M
Net VEX-204.2K-237.7K-173.8K-207.2K-189.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.156.541.760.66
Total Volume1,935.78921118,3891,172211
Total OI120,567.421108,876128,558108,876113,741

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$23.46$25.0046.9%13.5%57.0%12.1%39.4%19.8%-0.3%861.3K41.1M-207.2K1.7625.10N/AN/A42574769,85939,017
2008-11-04$24.14$25.0031.2%8.9%57.5%5.4%34.1%4.3%1.9%1.2M44.9M-177.6K0.5042.87N/AN/A95148069,99939,680
2008-11-05$23.55$25.0048.0%13.8%57.7%12.6%29.6%13.2%-3.4%967.8K38.3M-220.9K2.1952.46N/AN/A4961,08770,47240,076
2008-11-06$23.25$25.0047.5%13.6%50.3%12.4%42.5%8.4%0.3%703.7K48.4M-173.8K1.5066.71N/AN/A7,36611,02370,61840,904
2008-11-07$23.59$25.0044.1%14.6%50.3%10.9%44.3%18.4%7.2%791.3K59.8M-235.9K0.1556.42N/AN/A1,09716572,61751,971
2008-11-10$23.67$25.0038.1%13.4%39.3%8.4%49.6%15.6%9.5%859.9K69.8M-196.1K0.8966.99N/AN/A30327173,32151,811
2008-11-11$23.57$25.0038.5%13.6%39.2%8.5%38.1%16.6%6.2%988.9K64.9M-215.7K4.8149.47N/AN/A4662,24373,46151,956
2008-11-12$23.50$25.0039.5%14.1%32.4%9.0%49.4%14.7%6.9%980.5K64.3M-226.2K0.8243.48N/AN/A35929373,78053,136
2008-11-13$24.74$25.0034.5%9.9%37.2%6.8%39.1%15.5%19.4%1.7M65.1M-198.4K1.2370.22N/AN/A78596273,96853,238
2008-11-14$24.53$25.0033.3%9.6%37.1%6.3%33.4%11.2%15.6%1.8M63.4M-193.4K1.3971.58N/AN/A9901,37374,17353,408
2008-11-17$24.00$25.0039.9%11.4%35.7%9.1%40.4%6.0%9.4%1.5M58.2M-224.7K1.1475.26N/AN/A19622474,84253,417
2008-11-18$24.16$25.0036.7%10.5%35.9%7.8%40.2%11.1%14.5%1.5M59.7M-237.7K1.6562.10N/AN/A13021574,81153,542
2008-11-19$23.91$25.0035.0%10.0%35.6%7.0%44.5%14.4%15.4%1.4M61.7M-219.7K0.4055.60N/AN/A30412274,81253,592
2008-11-20$23.12$25.0047.8%13.7%36.2%12.5%40.9%9.0%12.1%192.3K72.0M-183.6K1.0679.72N/AN/A20722074,85853,618
2008-11-21$24.07$25.0033.6%9.6%38.0%6.4%47.7%13.5%12.6%975.6K59.2M-223.4K6.5465.60N/AN/A14594974,92153,637
2008-11-24$24.20$25.0027.9%8.0%37.7%4.0%31.3%9.5%9.8%353.3K66.9M-184.3K0.2681.88N/AN/A69218262,70049,830
2008-11-25$24.08$25.0026.1%7.5%37.4%3.2%31.8%8.9%9.8%373.8K66.1M-187.6K1.0379.69N/AN/A29930763,15449,886
2008-11-26$24.46$25.0031.6%9.1%35.1%5.6%37.5%8.7%11.0%419.9K68.3M-183.4K0.3274.07N/AN/A37611961,83050,125
2008-11-28$24.47$25.0032.5%9.3%35.0%5.9%30.2%0.2%6.2%418.5K67.1M-189.7K0.6678.20N/AN/A1278463,50050,241