CEG Options History — April 2009 In April 2009, CEG traded between $20.96 and $24.08. ATM implied volatility averaged 54.4%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 4.5% (HV 20d: 49.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.15.
Notable Days 2009-04-01 : Highest Volume — 11,332 contracts2009-04-09 : Largest IV spike — 38.3% change2009-04-01 : Highest IV Rank — 18.5%2009-04-01 : Largest Expected Move — 18.6%Monthly Statistics Metric Avg Min Max Open Close Price $22.62 $20.96 $24.08 $20.96 $24.08 Max Pain $21.79 $20.00 $22.50 $22.50 $22.50 ATM IV 54.4% 40.5% 64.9% 64.9% 40.5% Expected Move 16.3% 11.6% 18.6% 18.6% 11.6% HV 20d 49.8% 43.8% 57.6% 57.6% 44.8% HV 60d 55.0% 52.4% 57.1% 52.4% 57.1% IV Rank 14.0% 7.9% 18.5% 18.5% 7.9% IV Percentile 67.7% 37.7% 78.2% 78.2% 37.7% Term Structure -0.2% -4.1% 8.2% 8.2% 5.7% VWIV 58.1% 49.1% 68.4% 58.9% 49.1% Skew 25d 15.5% 7.3% 23.1% 15.0% 13.5% Skew 10d 30.2% 3.9% 46.6% 33.4% 30.5% Call IV 25d 48.1% 40.0% 58.5% 58.5% 40.0% Put IV 25d 63.6% 50.9% 74.0% 73.5% 53.5% Bid-Ask Spread % 24.06 13.56 42.60 14.54 39.21 Gamma HHI 0.49 0.20 0.89 0.55 0.34 Net GEX 1.1M -537.0K 3.7M -537.0K 532.7K Net DEX -19.2M -44.3M 8.9M 8.9M -20.8M Net VEX -134.8K -165.3K -113.0K -149.8K -124.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.15 0.02 5.14 0.02 0.03 Total Volume 2,225.667 532 11,332 11,332 1,582 Total OI 56,266.429 28,333 77,754 62,180 34,146
Daily Data (21 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 2009-04-01 $20.96 $22.50 64.9% 18.6% 57.6% 18.5% 58.9% 15.0% 8.2% -537.0K 8.9M -149.8K 0.02 14.54 N/A N/A 11,127 205 28,782 33,398 2009-04-02 $21.77 $22.50 50.2% 14.4% 53.2% 12.2% 50.4% 8.7% 7.4% 234.5K -7.1M -165.3K 0.23 14.12 N/A N/A 3,158 731 38,169 33,474 2009-04-03 $22.61 $22.50 47.9% 16.8% 50.5% 11.1% 61.7% 13.8% -1.4% 837.0K -24.4M -164.5K 2.05 20.73 N/A N/A 247 506 40,816 33,820 2009-04-06 $22.11 $22.50 52.3% 17.2% 52.4% 13.1% 68.4% 10.0% -1.8% 628.4K -15.3M -161.7K 2.85 23.35 N/A N/A 1,324 3,769 40,955 34,120 2009-04-07 $21.94 $22.50 43.2% 16.7% 52.9% 9.1% 64.7% 7.3% 0.1% 811.0K -13.7M -158.4K 0.50 24.47 N/A N/A 875 434 41,992 35,504 2009-04-08 $22.92 $22.50 41.9% 16.6% 53.8% 8.5% 64.2% 9.9% -1.2% 1.5M -31.8M -149.5K 0.91 33.64 N/A N/A 906 820 41,635 35,010 2009-04-09 $23.20 $20.00 58.0% 16.6% 52.8% 15.5% 55.5% 20.2% -2.7% 2.1M -37.2M -142.5K 0.20 21.91 N/A N/A 547 108 42,229 35,324 2009-04-13 $22.92 $20.00 59.9% 17.2% 51.0% 16.4% 61.4% 19.4% -4.1% 2.4M -34.6M -135.8K 3.36 22.35 N/A N/A 122 410 42,288 35,342 2009-04-14 $22.11 $20.00 61.0% 17.5% 53.6% 16.9% 62.9% 15.0% -3.2% 1.6M -15.1M -137.6K 0.48 23.76 N/A N/A 1,062 505 42,336 35,418 2009-04-15 $23.06 $20.00 59.0% 16.9% 52.4% 16.0% 62.9% 20.8% -2.8% 2.7M -37.9M -129.0K 0.78 36.64 N/A N/A 2,184 1,699 41,588 35,077 2009-04-16 $23.01 $20.00 59.6% 17.1% 47.2% 16.2% 59.6% 23.1% -2.8% 3.2M -44.3M -122.4K 0.11 42.60 N/A N/A 3,421 376 41,593 34,999 2009-04-17 $22.90 $20.00 57.0% 16.3% 46.1% 15.1% 56.7% 19.8% -0.7% 3.7M -42.0M -123.4K 5.14 13.56 N/A N/A 243 1,250 41,294 35,226 2009-04-20 $21.70 $22.50 60.3% 17.3% 50.7% 16.5% 61.4% 19.6% -2.8% 184.3K -6.0M -113.0K 1.01 17.73 N/A N/A 693 703 17,926 10,407 2009-04-21 $22.52 $22.50 58.0% 16.6% 48.9% 15.6% 57.9% 18.0% -2.5% 219.6K -8.8M -121.9K 0.15 14.96 N/A N/A 1,168 177 18,548 10,789 2009-04-22 $22.44 $22.50 56.0% 16.1% 48.5% 14.7% 55.8% 17.5% -1.9% 267.7K -9.7M -120.2K 0.70 16.92 N/A N/A 910 641 19,332 10,842 2009-04-23 $22.89 $22.50 56.9% 16.3% 48.7% 15.0% 53.6% 16.1% -1.4% 319.0K -11.8M -123.4K 2.93 19.21 N/A N/A 200 586 20,039 10,942 2009-04-24 $23.01 $22.50 52.6% 15.1% 47.1% 13.2% 52.7% 13.7% 1.7% 331.5K -12.0M -123.7K 0.10 23.90 N/A N/A 516 49 20,138 11,452 2009-04-27 $23.05 $22.50 55.1% 15.8% 45.6% 14.3% 55.2% 14.5% 0.8% 358.6K -12.4M -121.4K 0.10 23.45 N/A N/A 706 74 20,472 11,458 2009-04-28 $22.55 $22.50 52.6% 15.1% 44.2% 13.2% 52.5% 13.3% 1.4% 435.1K -12.1M -120.5K 0.17 19.85 N/A N/A 621 106 21,049 11,010 2009-04-29 $23.31 $22.50 54.6% 15.7% 43.8% 14.1% 54.0% 17.1% 0.4% 506.9K -15.7M -122.6K 2.36 38.43 N/A N/A 588 1,390 21,575 11,081 2009-04-30 $24.08 $22.50 40.5% 11.6% 44.8% 7.9% 49.1% 13.5% 5.7% 532.7K -20.8M -124.8K 0.03 39.21 N/A N/A 1,543 39 22,088 12,058
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