CEG Options History — August 2009

In August 2009, CEG traded between $28.52 and $31.69. ATM implied volatility averaged 31.2%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.8% (HV 20d: 26.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2009-08-21: Highest Volume — 2,173 contracts
  • 2009-08-17: Largest IV spike — 8.9% change
  • 2009-08-21: Highest IV Rank — 5.0%
  • 2009-08-21: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.11$28.52$31.69$29.48$31.65
Max Pain$29.05$25.00$30.00$25.00$30.00
ATM IV31.2%27.9%33.8%28.9%32.1%
Expected Move9.0%8.0%9.7%8.3%9.2%
HV 20d26.4%22.6%29.5%23.3%27.5%
HV 60d25.4%23.8%27.0%25.4%25.2%
IV Rank3.9%2.4%5.0%2.9%4.2%
IV Percentile11.8%2.4%18.7%4.8%15.5%
Term Structure0.5%-1.2%2.9%2.5%1.1%
VWIV32.6%27.9%39.3%29.8%32.1%
Skew 25d9.5%0.8%15.5%12.6%9.1%
Skew 10d15.2%3.0%28.7%25.3%11.6%
Call IV 25d27.5%21.2%35.6%25.3%23.0%
Put IV 25d37.0%31.1%40.5%37.9%32.1%
Bid-Ask Spread %23.459.2441.9934.8013.60
Gamma HHI0.510.440.670.540.44
Net GEX508.9K355.4K1.1M430.1K507.5K
Net DEX-20.0M-27.4M-12.7M-17.7M-24.6M
Net VEX-158.5K-174.0K-143.3K-148.8K-170.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.0010.411.250.81
Total Volume753.619332,173775271
Total OI33,891.33332,24636,53632,47433,789

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$29.48$25.0028.9%8.3%23.3%2.9%29.8%12.6%2.5%430.1K-17.7M-148.8K1.2534.80N/AN/A34443118,15814,316
2009-08-04$29.60$25.0029.2%8.4%23.0%3.0%29.2%12.2%2.1%448.2K-18.4M-147.2K0.0029.79N/AN/A33018,05014,196
2009-08-05$29.46$25.0027.9%8.0%23.3%2.4%27.9%12.2%2.9%460.7K-17.9M-148.4K0.5719.92N/AN/A211218,07814,196
2009-08-06$29.49$25.0030.1%8.6%22.6%3.4%30.1%10.4%0.6%456.3K-18.0M-146.9K0.4425.86N/AN/A22910118,08814,206
2009-08-07$29.30$30.0028.7%8.8%22.8%2.8%0.0%9.5%0.9%456.8K-17.7M-146.6K0.0141.99N/AN/A144118,05614,262
2009-08-10$29.70$30.0030.7%9.1%23.0%3.7%32.8%3.4%-0.2%497.8K-19.4M-143.3K3.8720.08N/AN/A3341,29218,14314,261
2009-08-11$29.53$30.0030.2%8.9%22.8%3.4%31.1%13.0%0.4%482.8K-18.2M-154.5K0.2215.14N/AN/A2976418,43815,480
2009-08-12$30.26$30.0029.0%8.8%22.8%2.9%0.0%13.9%0.5%571.0K-22.3M-153.8K10.4118.01N/AN/A1501,56218,72015,544
2009-08-13$29.03$30.0031.4%9.0%27.9%3.9%33.1%11.1%0.9%433.3K-15.8M-158.1K0.5824.37N/AN/A97056018,74615,686
2009-08-14$29.10$30.0030.0%8.6%27.6%3.3%32.3%12.5%1.6%444.3K-16.3M-156.5K2.9818.63N/AN/A18154018,77115,973
2009-08-17$28.52$30.0032.7%9.4%28.7%4.5%34.3%8.9%-0.2%355.4K-12.7M-158.7K0.4826.39N/AN/A34016418,67316,472
2009-08-18$29.02$30.0031.1%8.9%29.0%3.8%0.0%12.5%1.1%426.8K-15.3M-161.1K2.2516.75N/AN/A9521418,76516,593
2009-08-19$29.69$30.0033.7%9.7%29.5%5.0%35.5%2.2%-0.5%610.9K-18.7M-161.8K0.0532.98N/AN/A1,8619518,70116,792
2009-08-20$30.10$30.0033.4%9.6%26.6%4.8%33.5%4.9%-0.7%1.1M-21.5M-162.1K0.0728.07N/AN/A1,42210019,71416,822
2009-08-21$31.32$30.0033.8%9.7%29.4%5.0%33.9%6.4%-1.2%507.3K-27.4M-155.3K1.0438.88N/AN/A1,0671,10619,43116,907
2009-08-24$31.28$30.0033.8%9.7%29.4%5.0%39.3%5.0%-1.2%486.5K-22.6M-174.0K2.1728.45N/AN/A13629518,52214,962
2009-08-25$31.02$30.0033.4%9.6%29.1%4.8%35.3%15.5%-0.9%494.2K-22.1M-170.0K0.209.24N/AN/A1422918,55614,782
2009-08-26$31.49$30.0032.4%9.3%29.2%4.4%32.5%14.1%0.5%507.3K-23.7M-168.2K0.5115.28N/AN/A47724218,59714,785
2009-08-27$31.59$30.0032.1%9.2%29.2%4.2%32.8%0.8%0.1%511.5K-24.6M-171.1K0.6418.73N/AN/A22314218,69615,007
2009-08-28$31.69$30.0031.1%8.9%28.6%3.8%31.1%9.3%1.3%513.4K-24.8M-171.0K0.0515.57N/AN/A132718,64715,137
2009-08-31$31.65$30.0032.1%9.2%27.5%4.2%32.1%9.1%1.1%507.5K-24.6M-170.1K0.8113.60N/AN/A15012118,64515,144