CEG Options History — June 2009

In June 2009, CEG traded between $25.88 and $27.51. ATM implied volatility averaged 41.7%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 15.4% (HV 20d: 26.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.55.

Notable Days

2009-06-05: Highest Volume — 29,623 contracts
2009-06-02: Largest IV spike — 50.6% change
2009-06-08: Highest IV Rank — 12.8%
2009-06-17: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.78	$25.88	$27.51	$27.51	$26.58
Max Pain	$23.07	$20.00	$25.00	$22.50	$25.00
ATM IV	41.7%	28.0%	51.6%	28.0%	37.0%
Expected Move	12.0%	8.0%	13.7%	8.0%	10.6%
HV 20d	26.3%	21.1%	30.0%	30.0%	21.4%
HV 60d	38.4%	32.4%	43.4%	43.4%	32.4%
IV Rank	8.4%	2.5%	12.8%	2.5%	6.4%
IV Percentile	35.0%	2.8%	63.5%	2.8%	12.7%
Term Structure	1.9%	-2.4%	17.1%	4.0%	5.7%
VWIV	43.4%	25.2%	59.3%	30.4%	38.2%
Skew 25d	9.1%	-1.3%	14.7%	8.8%	-1.3%
Skew 10d	19.4%	4.3%	30.1%	7.2%	6.6%
Call IV 25d	35.1%	22.5%	41.0%	34.0%	38.8%
Put IV 25d	44.2%	35.6%	51.5%	42.8%	37.5%
Bid-Ask Spread %	23.06	14.35	37.86	27.52	24.37
Gamma HHI	0.47	0.39	0.66	0.53	0.40
Net GEX	648.3K	392.5K	1.0M	827.0K	592.6K
Net DEX	-26.8M	-40.8M	-11.4M	-40.8M	-17.9M
Net VEX	-117.0K	-129.7K	-109.5K	-116.9K	-129.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.55	0.02	13.46	0.73	1.04
Total Volume	2,835.091	39	29,623	539	650
Total OI	38,311.091	28,540	48,497	37,387	36,073

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
2009-06-01	$27.51	$22.50	28.0%	8.0%	30.0%	2.5%	30.4%	8.8%	4.0%	827.0K	-40.8M	-116.9K	0.73	27.52	N/A	N/A	312	227	25,086	12,301
2009-06-02	$27.37	$22.50	42.2%	12.1%	30.0%	8.6%	57.5%	7.0%	2.2%	868.6K	-40.0M	-116.5K	0.05	25.89	N/A	N/A	151	7	25,138	12,242
2009-06-03	$26.68	$22.50	41.4%	11.9%	29.5%	8.3%	41.4%	13.6%	2.0%	1.0M	-34.2M	-118.2K	0.87	24.18	N/A	N/A	109	95	25,110	12,244
2009-06-04	$27.22	$22.50	42.0%	12.0%	29.7%	8.6%	42.2%	14.7%	1.4%	924.8K	-38.7M	-115.2K	0.07	16.40	N/A	N/A	69	5	25,163	12,338
2009-06-05	$27.31	$20.00	40.7%	13.1%	28.0%	8.0%	49.5%	9.6%	-1.4%	945.8K	-38.9M	-116.2K	0.02	21.00	N/A	N/A	28,957	666	25,193	12,337
2009-06-08	$27.23	$22.50	51.6%	13.5%	27.6%	12.8%	37.0%	9.4%	-2.4%	972.6K	-27.8M	-120.5K	4.29	15.30	N/A	N/A	75	322	24,298	12,880
2009-06-09	$26.62	$22.50	47.8%	13.3%	28.8%	11.1%	51.9%	9.8%	-2.0%	890.4K	-24.1M	-115.4K	7.85	18.62	N/A	N/A	222	1,742	24,300	13,094
2009-06-10	$27.02	$22.50	40.2%	13.5%	29.1%	7.8%	41.3%	10.9%	-2.3%	814.6K	-26.0M	-115.2K	6.44	20.23	N/A	N/A	611	3,932	24,387	13,262
2009-06-11	$26.96	$22.50	45.3%	13.0%	27.6%	10.0%	46.5%	10.6%	0.5%	532.4K	-25.6M	-119.8K	2.26	20.51	N/A	N/A	2,301	5,198	24,918	16,770
2009-06-12	$27.23	$22.50	44.3%	12.7%	27.7%	9.6%	44.3%	8.0%	-0.5%	456.1K	-31.2M	-123.7K	0.12	31.89	N/A	N/A	3,447	408	27,014	19,804
2009-06-15	$26.70	$22.50	47.1%	13.5%	26.0%	10.8%	45.5%	8.9%	-1.9%	577.8K	-29.9M	-122.2K	1.66	32.93	N/A	N/A	41	68	30,363	18,134
2009-06-16	$26.67	$22.50	46.7%	13.4%	25.8%	10.6%	0.0%	9.6%	-2.1%	582.1K	-30.3M	-119.3K	1.14	30.13	N/A	N/A	110	125	27,342	18,102
2009-06-17	$26.63	$22.50	47.7%	13.7%	24.7%	11.1%	59.3%	10.7%	-1.8%	510.0K	-32.4M	-114.8K	6.43	22.81	N/A	N/A	223	1,435	27,371	18,217
2009-06-18	$26.85	$22.50	46.6%	13.4%	24.7%	10.6%	53.8%	8.1%	-2.2%	482.1K	-33.7M	-114.3K	0.34	37.86	N/A	N/A	1,189	407	27,405	19,067
2009-06-19	$26.82	$22.50	41.8%	12.0%	24.5%	8.5%	41.9%	4.2%	2.6%	499.1K	-33.9M	-113.1K	4.07	26.46	N/A	N/A	118	480	27,405	19,468
2009-06-22	$26.19	$22.50	41.9%	12.0%	26.2%	8.5%	41.9%	3.3%	2.3%	462.0K	-13.7M	-111.4K	13.46	17.40	N/A	N/A	67	902	17,282	11,258
2009-06-23	$25.88	$25.00	40.8%	11.7%	25.2%	8.0%	41.6%	3.8%	4.1%	413.3K	-11.4M	-111.4K	1.69	17.82	N/A	N/A	239	404	17,309	12,025
2009-06-24	$26.00	$25.00	38.5%	11.0%	25.2%	7.0%	40.8%	13.1%	5.7%	392.5K	-11.5M	-110.2K	1.04	14.35	N/A	N/A	795	830	17,420	12,260
2009-06-25	$26.25	$25.00	37.9%	10.9%	25.2%	6.8%	0.0%	13.7%	4.8%	434.8K	-13.9M	-111.5K	0.63	18.58	N/A	N/A	24	15	18,170	13,064
2009-06-26	$26.52	$25.00	37.9%	10.9%	21.1%	6.8%	37.7%	11.6%	5.5%	462.5K	-14.9M	-109.5K	0.41	22.70	N/A	N/A	3,554	1,443	18,171	13,061
2009-06-29	$26.81	$25.00	30.6%	8.8%	21.3%	3.6%	25.2%	13.1%	17.1%	609.2K	-19.6M	-129.2K	1.47	20.33	N/A	N/A	161	236	21,500	14,498
2009-06-30	$26.58	$25.00	37.0%	10.6%	21.4%	6.4%	38.2%	-1.3%	5.7%	592.6K	-17.9M	-129.7K	1.04	24.37	N/A	N/A	318	332	21,390	14,683