CEG Options History — May 2009 In May 2009, CEG traded between $24.51 and $27.28. ATM implied volatility averaged 43.5%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 5.9% (HV 20d: 37.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.85.
Notable Days 2009-05-04 : Highest Volume — 11,448 contracts2009-05-11 : Largest IV spike — 47.0% change2009-05-13 : Highest IV Rank — 15.7%2009-05-04 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.64 $24.51 $27.28 $24.88 $27.28 Max Pain $23.13 $22.50 $25.00 $22.50 $22.50 ATM IV 43.5% 29.4% 58.4% 47.4% 42.5% Expected Move 12.8% 10.9% 14.8% 13.6% 12.2% HV 20d 37.6% 30.8% 44.3% 44.3% 31.6% HV 60d 54.2% 44.8% 57.8% 57.4% 45.2% IV Rank 9.2% 3.1% 15.7% 10.9% 8.8% IV Percentile 43.2% 6.7% 71.8% 59.1% 40.1% Term Structure 1.2% -4.9% 5.1% 1.4% 1.9% VWIV 46.9% 34.9% 60.0% 58.7% 42.5% Skew 25d 17.1% 8.3% 28.8% 15.3% 18.4% Skew 10d 34.9% 18.9% 48.5% 35.7% 31.6% Call IV 25d 33.8% 23.0% 43.7% 39.6% 23.0% Put IV 25d 50.9% 36.0% 72.4% 54.9% 41.4% Bid-Ask Spread % 26.55 13.26 39.17 18.07 27.03 Gamma HHI 0.54 0.35 0.66 0.35 0.56 Net GEX 726.9K 355.4K 928.6K 571.9K 865.2K Net DEX -38.5M -64.5M -20.4M -27.0M -38.0M Net VEX -134.0K -159.2K -123.7K -127.3K -124.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.85 0.00 13.99 0.68 0.24 Total Volume 3,529.75 14 11,448 10,803 402 Total OI 46,015 33,287 61,215 35,667 37,289
Daily Data (20 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 2009-05-01 $24.88 $22.50 47.4% 13.6% 44.3% 10.9% 58.7% 15.3% 1.4% 571.9K -27.0M -127.3K 0.68 18.07 N/A N/A 6,431 4,372 23,594 12,073 2009-05-04 $25.23 $22.50 56.2% 14.8% 42.9% 14.8% 54.6% 28.8% -1.3% 811.7K -35.5M -148.3K 4.55 13.26 N/A N/A 2,063 9,385 29,170 13,374 2009-05-05 $24.51 $22.50 47.7% 14.4% 43.5% 11.1% 52.2% 22.7% -1.1% 355.4K -25.9M -159.2K 1.79 16.78 N/A N/A 798 1,427 30,302 22,143 2009-05-06 $24.92 $22.50 37.7% 13.2% 43.4% 6.7% 46.4% 12.4% 3.2% 515.2K -34.7M -149.2K 0.06 16.55 N/A N/A 9,070 513 30,482 22,298 2009-05-07 $25.72 $22.50 38.8% 12.5% 42.2% 7.2% 43.4% 10.6% 4.4% 868.3K -59.5M -140.3K 0.07 18.58 N/A N/A 7,068 527 36,987 22,313 2009-05-08 $26.14 $22.50 29.4% 13.0% 42.3% 3.1% 45.0% 8.3% 2.4% 567.4K -61.6M -123.7K 0.81 27.67 N/A N/A 1,097 889 34,888 22,438 2009-05-11 $26.00 $25.00 43.2% 13.2% 42.0% 9.1% 51.3% 13.1% 1.4% 640.2K -63.5M -129.9K 2.57 30.72 N/A N/A 163 419 36,701 22,755 2009-05-12 $26.25 $25.00 42.9% 13.1% 38.9% 9.0% 45.7% 11.4% 2.2% 648.8K -64.5M -128.7K 0.11 32.44 N/A N/A 7,153 794 36,733 22,927 2009-05-13 $25.64 $25.00 58.4% 14.1% 38.4% 15.7% 60.0% 14.8% -1.6% 622.2K -52.2M -131.2K 13.99 26.52 N/A N/A 157 2,196 33,706 23,634 2009-05-14 $25.60 $25.00 50.1% 14.4% 38.4% 12.1% 51.9% 18.7% -1.8% 580.7K -52.6M -129.3K 0.42 33.81 N/A N/A 2,821 1,176 33,763 25,213 2009-05-15 $24.80 $25.00 45.9% 13.2% 40.5% 10.3% 58.3% 22.1% 1.8% 813.2K -45.9M -131.6K 0.25 36.06 N/A N/A 4,545 1,120 35,086 26,129 2009-05-18 $25.12 $22.50 41.8% 12.0% 34.3% 8.5% 41.8% 19.3% 1.5% 672.6K -20.4M -134.6K 0.15 18.31 N/A N/A 2,152 320 22,180 11,107 2009-05-19 $25.70 $22.50 41.1% 11.8% 33.0% 8.2% 43.4% 19.9% 1.8% 717.3K -23.8M -132.7K 0.36 39.17 N/A N/A 320 114 22,977 11,348 2009-05-20 $25.58 $22.50 40.6% 11.6% 33.0% 7.9% 46.6% 19.8% 4.5% 790.9K -24.8M -133.8K 0.11 19.12 N/A N/A 1,117 128 23,756 11,334 2009-05-21 $25.42 $22.50 38.7% 11.1% 32.9% 7.1% 38.1% 15.9% 5.1% 890.5K -25.5M -135.0K 6.75 37.25 N/A N/A 139 938 24,767 11,363 2009-05-22 $25.62 $22.50 37.9% 10.9% 33.0% 6.8% 38.1% 15.3% 3.2% 922.2K -26.7M -134.6K 0.00 38.57 N/A N/A 14 0 24,677 12,080 2009-05-26 $26.21 $22.50 42.5% 12.2% 33.5% 8.8% 34.9% 18.9% 0.4% 876.7K -29.5M -131.6K 0.12 28.76 N/A N/A 128 15 24,680 12,080 2009-05-27 $26.00 $22.50 43.8% 12.5% 32.3% 9.3% 40.3% 15.9% -4.9% 928.6K -28.6M -130.3K 3.12 26.41 N/A N/A 33 103 24,781 12,175 2009-05-28 $26.25 $22.50 43.3% 12.4% 30.8% 9.1% 45.2% 20.7% -1.4% 879.6K -30.7M -125.2K 0.88 25.88 N/A N/A 259 229 24,804 12,193 2009-05-29 $27.28 $22.50 42.5% 12.2% 31.6% 8.8% 42.5% 18.4% 1.9% 865.2K -38.0M -124.0K 0.24 27.03 N/A N/A 323 79 24,985 12,304
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