CEG Options History — July 2009

In July 2009, CEG traded between $26.07 and $29.50. ATM implied volatility averaged 33.1%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 8.4% (HV 20d: 24.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 2.42.

Notable Days

  • 2009-07-14: Highest Volume — 5,356 contracts
  • 2009-07-15: Largest IV spike — 32.2% change
  • 2009-07-15: Highest IV Rank — 10.8%
  • 2009-07-14: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.76$26.07$29.50$27.23$28.70
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV33.1%26.6%47.2%39.8%29.3%
Expected Move9.9%8.2%12.1%11.4%8.4%
HV 20d24.7%21.2%27.6%21.2%22.0%
HV 60d29.0%25.6%33.4%32.3%25.6%
IV Rank4.7%1.9%10.8%7.6%3.0%
IV Percentile10.2%1.2%56.0%22.6%5.2%
Term Structure0.5%-2.0%5.2%1.1%0.4%
VWIV37.1%29.0%45.0%37.6%33.2%
Skew 25d7.4%-25.1%14.0%1.3%11.6%
Skew 10d14.4%-42.4%27.5%1.7%24.2%
Call IV 25d31.5%23.6%63.6%36.1%27.1%
Put IV 25d38.9%35.8%45.6%37.5%38.7%
Bid-Ask Spread %27.9013.6147.0024.0130.80
Gamma HHI0.500.390.680.390.51
Net GEX403.1K227.0K668.1K511.8K366.0K
Net DEX-18.1M-27.4M-10.2M-20.9M-13.1M
Net VEX-141.6K-159.4K-118.3K-129.4K-151.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0024.591.954.95
Total Volume683.136255,356277792
Total OI35,132.529,04043,72736,43932,000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$27.23$25.0039.8%11.4%21.2%7.6%37.6%1.3%1.1%511.8K-20.9M-129.4K1.9524.01N/AN/A9418321,55114,888
2009-07-02$26.19$25.0035.8%10.3%24.3%5.9%35.6%-5.4%5.2%542.7K-17.2M-127.6K1.2921.12N/AN/A212721,56814,956
2009-07-06$26.18$25.0038.8%11.9%24.3%7.2%41.6%8.6%-1.0%668.1K-15.9M-122.0K0.4217.33N/AN/A33914221,56714,973
2009-07-07$26.07$25.0038.3%12.0%24.3%7.0%42.5%6.6%-0.5%618.3K-16.1M-125.0K1.0815.08N/AN/A24626621,85715,027
2009-07-08$26.22$25.0032.5%12.1%23.2%4.4%42.1%8.9%-0.6%607.4K-17.8M-124.9K0.9519.00N/AN/A32030321,95215,126
2009-07-09$26.81$25.0035.5%11.6%23.9%5.7%39.9%9.2%1.8%528.7K-21.0M-124.1K0.5418.62N/AN/A43323422,00315,127
2009-07-10$26.75$25.0026.6%12.0%23.9%1.9%41.6%-25.1%0.1%415.1K-22.4M-121.3K1.0724.86N/AN/A25927822,22615,252
2009-07-13$26.83$25.0035.1%12.0%23.7%5.6%35.3%9.6%1.9%372.9K-22.9M-119.8K0.2527.41N/AN/A20522,40915,322
2009-07-14$27.32$25.0035.7%12.1%23.5%5.8%45.0%8.9%-0.7%298.1K-24.7M-118.3K1.0120.00N/AN/A2,6592,69722,42715,323
2009-07-15$27.98$25.0047.2%9.3%24.8%10.8%34.6%9.3%0.0%384.5K-27.3M-154.3K0.5222.06N/AN/A542825,00917,908
2009-07-16$27.89$25.0033.3%9.5%24.8%4.8%40.6%8.4%-1.3%371.3K-27.4M-154.9K10.1628.61N/AN/A1301,32125,10017,932
2009-07-17$27.64$25.0030.6%8.8%25.0%3.6%37.7%8.1%0.6%281.6K-25.3M-155.9K0.0037.66N/AN/A201024,78218,945
2009-07-20$27.85$25.0030.7%8.8%25.1%3.7%38.7%8.9%-1.1%307.0K-10.6M-153.6K24.5946.98N/AN/A811,99217,31211,728
2009-07-21$28.20$25.0030.0%8.6%23.4%3.3%29.9%10.7%-0.4%243.1K-11.6M-153.8K0.7143.02N/AN/A866117,37713,503
2009-07-22$27.89$25.0032.4%9.3%23.4%4.4%34.9%7.3%-2.0%227.0K-10.2M-157.8K0.2347.00N/AN/A521217,44113,556
2009-07-23$29.01$25.0029.5%8.4%26.6%3.1%29.6%13.8%0.4%294.7K-14.6M-159.4K0.0630.53N/AN/A1771117,43213,568
2009-07-24$29.50$25.0028.9%8.3%26.8%2.9%29.0%14.0%1.6%400.5K-17.9M-151.6K0.3629.72N/AN/A1043717,55513,579
2009-07-27$29.44$25.0029.2%8.4%26.9%3.0%29.8%12.1%1.0%407.0K-17.8M-150.1K0.4413.61N/AN/A1506617,61213,575
2009-07-28$29.04$25.0028.7%8.2%27.6%2.8%44.2%11.9%1.7%343.8K-15.3M-153.5K0.9423.92N/AN/A353317,60213,536
2009-07-29$28.90$25.0028.9%8.3%27.4%2.9%41.3%12.0%1.5%338.7K-14.5M-152.8K1.3635.41N/AN/A223017,59913,556
2009-07-30$29.03$25.0031.1%8.9%26.4%3.8%31.1%12.1%0.7%339.6K-14.9M-152.9K0.4237.15N/AN/A72330517,60813,546
2009-07-31$28.70$25.0029.3%8.4%22.0%3.0%33.2%11.6%0.4%366.0K-13.1M-151.9K4.9530.80N/AN/A13365918,16313,837