CEG Options History — March 2009 In March 2009, CEG traded between $15.50 and $21.20. ATM implied volatility averaged 89.7%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded above realized volatility by 25.8% (HV 20d: 64.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.50.
Notable Days 2009-03-03 : Highest Volume — 6,852 contracts2009-03-05 : Largest IV spike — 18.4% change2009-03-11 : Highest IV Rank — 38.1%2009-03-05 : Largest Expected Move — 31.2%Monthly Statistics Metric Avg Min Max Open Close Price $18.31 $15.50 $21.20 $18.02 $20.66 Max Pain $22.05 $20.00 $22.50 $20.00 $22.50 ATM IV 89.7% 76.8% 109.7% 88.5% 77.5% Expected Move 25.5% 22.0% 31.2% 25.4% 22.2% HV 20d 64.0% 50.5% 72.8% 50.5% 57.6% HV 60d 57.6% 47.5% 66.2% 65.2% 52.4% IV Rank 29.4% 23.8% 38.1% 28.9% 24.0% IV Percentile 92.5% 86.1% 98.0% 96.0% 86.1% Term Structure -8.4% -21.6% 3.9% 0.1% -0.8% VWIV 86.2% 72.7% 103.0% 79.4% 72.9% Skew 25d 13.7% 2.2% 17.9% 10.2% 14.8% Skew 10d 24.6% -2.8% 45.9% 7.3% 19.1% Call IV 25d 82.2% 67.6% 100.1% 78.4% 69.5% Put IV 25d 96.0% 80.2% 111.4% 88.6% 84.3% Bid-Ask Spread % 19.30 13.74 31.59 18.72 13.74 Gamma HHI 0.34 0.24 0.45 0.35 0.45 Net GEX -293.4K -470.3K -181.5K -224.9K -470.3K Net DEX 21.8M 7.1M 31.7M 26.5M 10.4M Net VEX -141.6K -167.1K -112.4K -141.5K -154.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.50 0.14 11.59 5.45 0.20 Total Volume 1,598.318 266 6,852 3,971 1,671 Total OI 64,862.409 59,476 71,585 63,580 61,108
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 2009-03-02 $18.02 $20.00 88.5% 25.4% 50.5% 28.9% 79.4% 10.2% 0.1% -224.9K 26.5M -141.5K 5.45 18.72 N/A N/A 616 3,355 31,617 31,963 2009-03-03 $16.59 $20.00 88.5% 25.4% 54.3% 28.8% 84.0% 5.8% 3.9% -181.5K 27.9M -125.2K 1.33 31.59 N/A N/A 2,942 3,910 32,063 32,524 2009-03-04 $16.89 $20.00 91.8% 26.3% 56.3% 30.3% 73.5% 16.2% 1.6% -202.0K 27.7M -126.6K 11.59 22.01 N/A N/A 176 2,039 32,133 32,457 2009-03-05 $16.03 $20.00 108.7% 31.2% 55.3% 37.7% 95.0% 2.2% -17.1% -188.3K 29.2M -118.8K 2.39 23.60 N/A N/A 277 662 32,255 33,274 2009-03-06 $15.50 $22.50 101.1% 27.6% 53.7% 34.4% 93.4% 11.8% -12.7% -192.9K 31.7M -112.4K 0.82 18.56 N/A N/A 506 416 32,406 33,703 2009-03-09 $15.60 $22.50 108.7% 29.2% 53.7% 37.7% 103.0% 17.6% -13.6% -196.2K 30.8M -112.6K 0.74 19.98 N/A N/A 432 320 32,756 33,546 2009-03-10 $16.06 $22.50 109.4% 30.1% 57.3% 38.0% 86.7% 17.1% -20.2% -210.8K 30.2M -118.0K 0.26 19.17 N/A N/A 465 120 32,883 33,751 2009-03-11 $16.25 $22.50 109.7% 30.2% 58.6% 38.1% 94.7% 17.1% -21.6% -235.1K 29.6M -120.6K 0.37 19.79 N/A N/A 315 116 32,272 33,593 2009-03-12 $17.01 $22.50 94.7% 27.1% 63.3% 31.5% 94.6% 17.0% -16.3% -264.8K 28.8M -128.6K 0.14 20.60 N/A N/A 623 86 32,484 33,634 2009-03-13 $18.05 $22.50 92.5% 26.5% 69.0% 30.6% 91.2% 15.1% -12.0% -266.8K 25.8M -140.4K 0.37 19.68 N/A N/A 742 273 32,947 33,614 2009-03-16 $18.03 $22.50 93.6% 26.8% 69.1% 31.1% 89.1% 16.9% -15.0% -274.2K 24.7M -141.6K 0.32 19.62 N/A N/A 1,614 517 33,442 33,710 2009-03-17 $17.48 $22.50 84.3% 24.2% 69.0% 27.0% 84.7% 15.9% -9.8% -289.2K 28.4M -131.0K 0.78 14.89 N/A N/A 1,737 1,354 34,229 33,885 2009-03-18 $18.86 $22.50 85.6% 24.5% 71.4% 27.6% 92.8% 17.9% -16.2% -286.2K 23.0M -149.8K 0.28 20.86 N/A N/A 1,168 325 35,006 34,588 2009-03-19 $19.63 $22.50 82.6% 23.7% 72.7% 26.3% 99.8% 15.7% -12.1% -210.0K 18.5M -158.8K 1.37 16.12 N/A N/A 823 1,129 35,445 34,834 2009-03-20 $19.42 $22.50 79.4% 22.8% 70.5% 24.9% 80.4% 14.4% -9.0% -238.6K 19.4M -160.5K 0.58 19.24 N/A N/A 492 283 35,873 35,712 2009-03-23 $20.50 $22.50 83.1% 23.8% 71.9% 26.5% 80.1% 12.8% -3.8% -392.3K 11.5M -165.5K 0.50 17.80 N/A N/A 1,419 711 26,163 33,313 2009-03-24 $20.21 $22.50 80.9% 23.2% 71.2% 25.5% 87.5% 11.2% -2.5% -407.3K 12.3M -161.7K 1.99 15.37 N/A N/A 298 592 26,898 33,313 2009-03-25 $20.39 $22.50 79.7% 22.9% 71.1% 25.0% 75.4% 12.3% -3.5% -419.1K 11.6M -164.3K 0.21 17.61 N/A N/A 1,108 234 27,059 33,250 2009-03-26 $21.20 $22.50 77.7% 22.3% 72.3% 24.2% 72.7% 12.6% -0.9% -422.5K 7.1M -167.1K 1.38 17.94 N/A N/A 262 361 27,694 33,420 2009-03-27 $20.62 $22.50 76.8% 22.0% 72.8% 23.8% 79.0% 13.2% -0.6% -432.9K 9.6M -162.2K 0.31 18.31 N/A N/A 312 96 27,740 33,383 2009-03-30 $19.90 $22.50 79.2% 22.7% 65.5% 24.8% 85.7% 14.5% -2.7% -448.5K 14.1M -153.2K 1.61 19.42 N/A N/A 102 164 27,661 33,372 2009-03-31 $20.66 $22.50 77.5% 22.2% 57.6% 24.0% 72.9% 14.8% -0.8% -470.3K 10.4M -154.0K 0.20 13.74 N/A N/A 1,392 279 27,673 33,435
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