CEG Options History — December 2008

In December 2008, CEG traded between $23.00 and $28.74. ATM implied volatility averaged 56.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 14.7% (HV 20d: 70.8%). Max pain ranged from $25.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2008-12-17: Highest Volume — 43,781 contracts
2008-12-03: Largest IV spike — 82.4% change
2008-12-17: Highest IV Rank — 31.7%
2008-12-17: Largest Expected Move — 27.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.96	$23.00	$28.74	$23.93	$25.09
Max Pain	$28.41	$25.00	$40.00	$25.00	$25.00
ATM IV	56.1%	29.3%	94.1%	29.3%	39.9%
Expected Move	15.7%	8.4%	27.0%	8.4%	11.4%
HV 20d	70.8%	35.9%	98.8%	35.9%	95.9%
HV 60d	88.3%	63.0%	125.4%	123.0%	67.2%
IV Rank	15.6%	4.6%	31.7%	4.6%	8.2%
IV Percentile	80.3%	22.2%	97.2%	22.2%	64.3%
Term Structure	-5.2%	-19.7%	19.4%	5.5%	-5.5%
VWIV	56.5%	33.3%	85.5%	33.3%	48.0%
Skew 25d	5.1%	-14.1%	26.4%	10.5%	15.5%
Skew 10d	13.7%	-11.3%	47.3%	29.7%	36.2%
Call IV 25d	55.2%	32.1%	81.7%	32.1%	32.9%
Put IV 25d	60.3%	29.9%	108.1%	42.6%	48.4%
Bid-Ask Spread %	22.24	4.76	141.04	61.04	4.76
Gamma HHI	0.39	0.27	0.54	0.27	0.54
Net GEX	1.1M	431.1K	1.8M	431.1K	883.2K
Net DEX	13.5M	-37.7M	65.8M	65.8M	4.9M
Net VEX	-224.7K	-261.2K	-177.3K	-177.3K	-198.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.05	1.47	0.56	0.89
Total Volume	8,486.318	362	43,781	542	630
Total OI	129,711.818	113,876	148,639	113,876	123,935

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
2008-12-01	$23.93	$25.00	29.3%	8.4%	35.9%	4.6%	33.3%	10.5%	5.5%	431.1K	65.8M	-177.3K	0.56	61.04	N/A	N/A	348	194	63,581	50,295
2008-12-02	$25.15	$25.00	39.1%	11.2%	38.1%	8.8%	39.5%	-14.1%	19.4%	435.8K	65.3M	-178.8K	0.10	141.04	N/A	N/A	2,514	255	63,799	50,439
2008-12-03	$27.70	$25.00	71.4%	20.5%	49.9%	22.6%	70.1%	-4.3%	-3.7%	690.8K	47.6M	-221.4K	0.11	34.21	N/A	N/A	28,969	3,135	65,969	50,587
2008-12-04	$27.69	$25.00	65.9%	18.9%	48.6%	20.3%	66.8%	7.8%	2.9%	1.4M	21.2M	-257.3K	0.31	24.78	N/A	N/A	2,679	843	81,046	52,714
2008-12-05	$27.58	$40.00	62.2%	17.1%	48.2%	18.7%	76.3%	2.5%	-15.8%	1.5M	23.9M	-254.7K	0.05	24.33	N/A	N/A	28,926	1,361	81,219	53,113
2008-12-08	$28.15	$35.00	66.2%	17.7%	48.3%	20.4%	62.1%	1.6%	-15.7%	1.5M	11.5M	-261.2K	1.39	20.51	N/A	N/A	8,601	11,960	83,646	53,934
2008-12-09	$26.67	$30.00	71.8%	17.6%	53.2%	22.8%	62.1%	1.7%	-10.5%	1.5M	-6.8M	-248.6K	0.61	16.79	N/A	N/A	3,294	1,996	84,847	44,364
2008-12-10	$27.40	$30.00	69.6%	16.0%	53.6%	21.9%	55.9%	0.4%	-6.3%	1.7M	-14.6M	-244.9K	0.24	18.78	N/A	N/A	1,989	485	87,065	44,888
2008-12-11	$27.10	$30.00	54.3%	15.6%	53.9%	15.3%	54.2%	1.0%	-7.0%	1.7M	-13.9M	-231.0K	1.02	16.11	N/A	N/A	2,164	2,204	88,267	45,319
2008-12-12	$27.17	$30.00	52.5%	15.0%	51.3%	14.5%	53.7%	1.6%	-4.0%	1.6M	-13.0M	-233.0K	1.47	19.89	N/A	N/A	337	497	89,416	46,596
2008-12-15	$27.30	$30.00	55.2%	15.8%	51.0%	15.7%	53.5%	5.5%	-7.5%	1.6M	-7.5M	-235.9K	0.66	18.25	N/A	N/A	390	259	89,679	46,925
2008-12-16	$28.74	$30.00	58.3%	16.7%	52.5%	16.2%	59.3%	0.7%	-15.3%	1.8M	-37.7M	-246.0K	0.16	10.06	N/A	N/A	10,192	1,634	89,835	45,069
2008-12-17	$23.00	$30.00	94.1%	27.0%	97.6%	31.7%	85.5%	26.4%	-19.7%	865.5K	29.2M	-226.7K	0.56	15.68	N/A	N/A	27,993	15,788	93,747	45,163
2008-12-18	$23.97	$30.00	75.5%	21.6%	98.8%	23.6%	81.2%	22.0%	-12.6%	1.0M	30.7M	-244.8K	1.09	5.38	N/A	N/A	5,119	5,580	96,458	52,122
2008-12-19	$24.23	$30.00	60.3%	17.3%	98.0%	17.0%	66.9%	13.0%	-6.7%	1.3M	34.8M	-237.2K	0.88	9.03	N/A	N/A	3,147	2,783	94,401	54,238
2008-12-22	$24.57	$30.00	53.9%	15.4%	97.1%	14.3%	54.5%	6.8%	-4.8%	563.7K	25.9M	-214.7K	0.21	8.68	N/A	N/A	4,023	864	80,289	44,779
2008-12-23	$24.72	$25.00	45.6%	13.1%	97.1%	10.7%	48.9%	3.4%	0.0%	645.5K	10.0M	-212.1K	0.72	9.75	N/A	N/A	1,176	852	82,272	40,248
2008-12-24	$24.92	$25.00	45.5%	13.0%	97.1%	10.6%	46.5%	6.1%	-0.9%	624.3K	9.3M	-213.1K	0.28	7.58	N/A	N/A	282	80	82,985	40,434
2008-12-26	$25.31	$25.00	41.8%	12.0%	97.1%	9.0%	42.7%	3.2%	-0.9%	670.5K	5.2M	-206.2K	0.29	6.11	N/A	N/A	775	221	82,593	40,367
2008-12-29	$25.12	$25.00	42.7%	12.2%	97.2%	9.4%	43.8%	1.1%	-3.6%	756.8K	6.2M	-200.8K	0.45	5.83	N/A	N/A	542	246	83,096	40,371
2008-12-30	$25.68	$25.00	38.5%	11.0%	97.0%	7.6%	38.5%	0.1%	-0.7%	1.1M	-2.1M	-198.3K	0.95	10.77	N/A	N/A	705	667	83,147	40,403
2008-12-31	$25.09	$25.00	39.9%	11.4%	95.9%	8.2%	48.0%	15.5%	-5.5%	883.2K	4.9M	-198.9K	0.89	4.76	N/A	N/A	333	297	83,498	40,437