CEG Options History — February 2009

In February 2009, CEG traded between $19.76 and $26.90. ATM implied volatility averaged 52.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 20.2% (HV 20d: 31.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.63.

Notable Days

  • 2009-02-20: Highest Volume — 11,402 contracts
  • 2009-02-18: Largest IV spike — 44.5% change
  • 2009-02-24: Highest IV Rank — 21.8%
  • 2009-02-24: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.78$19.76$26.90$26.49$19.76
Max Pain$24.21$20.00$25.00$25.00$20.00
ATM IV52.1%32.0%72.4%46.0%72.0%
Expected Move14.5%9.2%20.7%13.2%20.6%
HV 20d31.9%22.9%43.8%24.6%42.7%
HV 60d61.5%59.7%63.7%60.3%63.6%
IV Rank13.0%4.2%21.8%10.3%21.6%
IV Percentile75.5%28.6%92.9%75.8%92.1%
Term Structure-0.0%-8.0%6.4%-5.3%-0.9%
VWIV50.8%32.8%71.6%46.0%69.3%
Skew 25d7.1%-4.2%15.6%2.2%11.7%
Skew 10d12.4%2.8%20.1%7.2%12.9%
Call IV 25d48.9%34.5%69.0%44.6%69.0%
Put IV 25d56.0%40.2%81.2%46.8%80.7%
Bid-Ask Spread %25.4112.7839.6732.8923.03
Gamma HHI0.320.280.390.330.35
Net GEX-72.9K-534.9K542.1K542.1K-256.3K
Net DEX3.5M-23.9M32.7M-18.7M19.0M
Net VEX-169.7K-187.4K-157.3K-168.5K-168.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.088.518.510.59
Total Volume2,716.84233511,4026,2972,222
Total OI61,720.73753,39368,01153,39362,739

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$26.49$25.0046.0%13.2%24.6%10.3%46.0%2.2%-5.3%542.1K-18.7M-168.5K8.5132.89N/AN/A6625,63525,78327,610
2009-02-03$26.00$25.0044.0%12.6%24.6%9.5%44.3%1.0%-2.5%66.2K-11.9M-182.2K0.6735.03N/AN/A35924225,96532,577
2009-02-04$26.45$25.0045.2%13.0%24.0%10.0%45.5%-0.6%-4.2%126.1K-16.0M-178.3K2.9025.79N/AN/A8624926,24632,738
2009-02-05$26.75$25.0048.5%13.9%24.1%11.4%53.3%5.9%-8.0%168.0K-19.8M-166.2K0.6526.63N/AN/A58538026,23532,825
2009-02-06$26.90$25.0043.8%11.4%22.9%9.4%34.6%5.3%-3.6%239.3K-23.9M-157.3K0.2632.23N/AN/A1,25432326,69432,790
2009-02-09$26.40$25.0050.2%11.5%23.8%12.2%39.1%7.7%-0.4%245.4K-19.4M-170.3K0.8139.67N/AN/A81265427,88833,022
2009-02-10$25.49$25.0047.1%11.4%26.2%10.8%45.8%6.2%2.5%162.2K-8.8M-175.9K2.1034.45N/AN/A6551,37429,59833,336
2009-02-11$25.29$25.0046.2%11.7%25.8%10.4%43.2%-4.2%-6.9%43.9K-3.8M-180.0K1.1023.91N/AN/A68876028,75534,370
2009-02-12$25.24$25.0040.2%11.5%25.4%7.8%45.7%7.1%3.7%36.1K-2.2M-187.4K1.1823.09N/AN/A66278229,51834,894
2009-02-13$25.14$25.0038.0%10.9%24.9%6.8%37.9%7.3%4.2%41.6K-3.0M-171.5K1.5431.69N/AN/A37958529,78435,447
2009-02-17$24.27$25.0032.0%9.2%26.1%4.2%32.8%8.0%6.4%-23.6K8.7M-171.7K3.2232.25N/AN/A3311,06729,98435,827
2009-02-18$22.30$25.0046.2%13.2%37.5%10.4%43.5%14.9%2.7%-503.0K28.4M-158.3K2.0318.09N/AN/A2,4745,02130,22036,368
2009-02-19$22.82$25.0052.0%14.9%39.0%12.9%52.2%7.8%-0.4%-534.9K28.0M-162.6K1.5113.33N/AN/A41863131,09536,894
2009-02-20$21.60$25.0057.1%16.4%41.9%15.2%55.8%15.6%6.4%-456.3K32.7M-159.8K1.1821.14N/AN/A5,2426,16031,04036,971
2009-02-23$20.66$25.0070.9%20.3%43.5%21.2%68.2%8.3%3.7%-358.1K20.2M-162.2K1.2322.46N/AN/A66882025,32430,505
2009-02-24$20.02$25.0072.4%20.7%42.9%21.8%71.6%4.6%-1.2%-370.0K22.0M-157.4K0.3615.58N/AN/A4,9011,78125,70030,869
2009-02-25$20.26$20.0070.4%20.2%43.8%21.0%68.3%15.5%0.8%-262.5K17.4M-174.6K1.0618.71N/AN/A31733630,01431,697
2009-02-26$20.06$20.0067.7%19.4%42.8%19.8%67.1%10.5%2.1%-291.8K18.3M-171.4K0.0812.78N/AN/A1,95714829,71731,655
2009-02-27$19.76$20.0072.0%20.6%42.7%21.6%69.3%11.7%-0.9%-256.3K19.0M-168.9K0.5923.03N/AN/A1,40082231,04931,690