CEG Options History — January 2009

In January 2009, CEG traded between $25.82 and $27.61. ATM implied volatility averaged 43.2%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 14.6% (HV 20d: 57.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2009-01-13: Highest Volume — 5,854 contracts
  • 2009-01-14: Largest IV spike — 68.1% change
  • 2009-01-12: Highest IV Rank — 16.0%
  • 2009-01-13: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.79$25.82$27.61$25.92$26.30
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV43.2%32.0%58.9%38.5%38.1%
Expected Move11.8%10.5%13.4%11.0%10.9%
HV 20d57.7%26.2%90.4%89.8%26.9%
HV 60d62.4%60.6%67.3%67.3%60.6%
IV Rank9.1%4.2%16.0%7.3%6.9%
IV Percentile66.5%34.1%85.7%59.5%52.0%
Term Structure2.2%-2.9%7.3%1.3%0.2%
VWIV41.0%36.6%47.1%39.3%38.1%
Skew 25d3.2%-2.7%9.5%-2.6%-2.7%
Skew 10d10.2%-12.1%20.4%3.6%-12.1%
Call IV 25d39.2%36.6%44.4%44.4%39.1%
Put IV 25d42.4%36.3%46.6%41.9%36.3%
Bid-Ask Spread %27.614.2257.914.2226.78
Gamma HHI0.370.270.510.420.36
Net GEX706.2K263.1K1.4M1.2M627.5K
Net DEX-21.6M-32.6M-8.0M-8.0M-18.5M
Net VEX-181.5K-205.8K-158.9K-184.2K-163.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.024.280.274.28
Total Volume2,192.91535,8545,648153
Total OI96,089.749,675138,682124,18753,343

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$25.92$25.0038.5%11.0%89.8%7.3%39.3%-2.6%1.3%1.2M-8.0M-184.2K0.274.22N/AN/A4,4471,20183,62140,566
2009-01-05$26.40$25.0050.5%11.8%90.1%12.4%40.4%5.7%5.5%1.2M-15.0M-197.3K0.1729.41N/AN/A1,82231886,47841,139
2009-01-06$25.82$25.0046.7%11.7%90.4%10.7%40.9%3.6%5.7%1.0M-11.2M-192.8K1.2329.52N/AN/A2,0182,47786,32341,307
2009-01-07$26.10$25.0045.5%12.5%90.1%10.1%43.3%9.5%3.3%1.1M-15.4M-200.6K2.2435.23N/AN/A41192186,91542,913
2009-01-08$26.68$25.0042.6%11.5%88.5%8.8%39.0%4.4%5.0%1.4M-24.6M-200.6K0.4728.42N/AN/A1,83885786,95743,100
2009-01-09$26.75$25.0046.0%11.7%88.0%10.3%40.6%5.7%6.6%893.7K-24.0M-193.5K2.8830.57N/AN/A1,1153,21487,32043,260
2009-01-12$27.10$25.0058.9%12.1%88.0%16.0%41.8%4.9%7.3%751.6K-27.7M-192.8K1.2857.91N/AN/A2,2422,86987,40946,315
2009-01-13$27.35$25.0032.0%13.4%88.1%4.2%47.1%7.8%3.2%263.1K-32.6M-191.7K0.4515.97N/AN/A4,0271,82788,09848,521
2009-01-14$26.90$25.0053.8%12.4%88.3%13.7%43.2%4.7%3.9%731.6K-23.4M-205.8K0.0523.09N/AN/A3,02215587,77050,216
2009-01-15$27.16$25.0044.7%12.8%86.2%9.8%42.2%4.2%1.6%753.8K-30.1M-175.1K0.5528.21N/AN/A39521888,41450,268
2009-01-16$27.61$25.0038.9%11.2%26.2%7.2%39.9%5.3%-2.9%313.8K-32.2M-193.9K0.2422.34N/AN/A42110188,07150,330
2009-01-20$26.85$25.0043.1%12.4%26.4%9.0%42.4%2.1%-2.4%321.1K-17.1M-175.1K0.2124.52N/AN/A95920422,66427,011
2009-01-21$26.94$25.0040.9%11.7%26.4%8.1%40.6%0.9%4.7%453.6K-20.5M-159.4K0.0927.55N/AN/A1,37712923,28127,006
2009-01-22$27.11$25.0041.1%11.8%26.2%8.2%40.2%2.1%0.5%452.3K-21.3M-166.2K0.5426.50N/AN/A47425523,91527,025
2009-01-23$26.69$25.0041.8%12.0%27.1%8.5%41.7%1.1%0.1%430.2K-18.9M-178.8K0.0223.45N/AN/A5961424,67027,160
2009-01-26$27.05$25.0041.5%11.9%27.3%8.3%0.0%2.2%-0.4%550.0K-21.7M-167.9K1.8527.25N/AN/A12422924,98527,170
2009-01-27$26.91$25.0041.8%12.0%27.2%8.5%41.8%3.2%-1.8%489.2K-21.8M-169.1K1.5242.29N/AN/A8212525,04227,352
2009-01-28$27.23$25.0040.3%11.6%27.0%7.8%40.0%2.8%-1.5%539.0K-23.8M-162.6K0.5231.04N/AN/A1,16360925,01327,316
2009-01-29$27.01$25.0036.8%10.5%26.5%6.3%36.6%-1.4%3.4%634.2K-25.1M-158.9K0.0417.82N/AN/A1,3965325,99527,535
2009-01-30$26.30$25.0038.1%10.9%26.9%6.9%38.1%-2.7%0.2%627.5K-18.5M-163.4K4.2826.78N/AN/A2912425,79927,544