CEG Options History — September 2009

In September 2009, CEG traded between $31.08 and $33.00. ATM implied volatility averaged 32.6%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.0% (HV 20d: 24.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.09.

Notable Days

  • 2009-09-03: Highest Volume — 5,697 contracts
  • 2009-09-30: Largest IV spike — 42.4% change
  • 2009-09-30: Highest IV Rank — 15.0%
  • 2009-09-10: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.18$31.08$33.00$31.67$32.37
Max Pain$26.43$25.00$30.00$30.00$30.00
ATM IV32.6%25.2%37.5%32.1%35.9%
Expected Move9.3%7.2%10.5%9.2%10.3%
HV 20d24.6%21.6%28.2%27.5%23.2%
HV 60d25.2%24.4%26.0%25.2%24.5%
IV Rank6.8%2.8%15.0%4.2%15.0%
IV Percentile17.7%0.4%30.6%16.3%30.6%
Term Structure-0.2%-2.1%2.1%1.6%-1.3%
VWIV34.8%28.5%46.7%32.1%34.8%
Skew 25d4.7%-2.7%10.1%8.6%4.4%
Skew 10d10.5%-5.1%21.6%11.8%7.0%
Call IV 25d29.9%23.0%37.9%23.3%30.4%
Put IV 25d34.6%32.0%38.8%32.0%34.8%
Bid-Ask Spread %12.966.3819.2515.4317.22
Gamma HHI0.320.250.440.430.33
Net GEX265.1K-321.6K503.8K497.1K493.4K
Net DEX-21.4M-25.3M-17.0M-24.8M-18.2M
Net VEX-178.8K-188.3K-168.5K-170.5K-186.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.0218.920.020.56
Total Volume962.619625,69762190
Total OI37,687.04833,90641,45333,91836,958

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$31.67$30.0032.1%9.2%27.5%4.2%32.1%8.6%1.6%497.1K-24.8M-170.5K0.0215.43N/AN/A61118,68815,230
2009-09-02$31.54$30.0033.1%9.5%27.5%4.7%33.1%10.1%0.2%501.2K-24.3M-168.5K0.1214.83N/AN/A2202718,67515,231
2009-09-03$31.08$30.0036.2%10.4%28.2%6.0%36.2%-2.7%-0.7%482.6K-22.5M-171.9K18.9214.02N/AN/A2865,41118,82715,258
2009-09-04$31.45$25.0034.3%10.0%28.2%5.2%39.9%6.6%-0.5%-321.6K-18.8M-185.0K0.4419.25N/AN/A3,0141,32718,96120,586
2009-09-08$31.72$25.0037.5%10.4%28.0%6.6%46.2%6.5%-2.1%-271.6K-17.0M-177.9K5.3415.88N/AN/A14979517,30821,282
2009-09-09$31.86$25.0037.0%10.3%27.8%6.4%0.0%5.3%-1.0%-198.7K-18.8M-173.8K1.3214.51N/AN/A14018517,42120,896
2009-09-10$32.28$25.0036.5%10.5%26.9%6.2%0.0%6.2%-2.0%-46.5K-21.1M-171.3K0.4415.85N/AN/A1637217,51220,910
2009-09-11$31.79$25.0034.7%9.9%22.4%5.4%34.7%1.4%-0.7%-189.1K-18.6M-175.0K2.9011.39N/AN/A4541,31617,54220,909
2009-09-14$32.90$25.0028.9%8.3%24.7%2.8%46.7%6.2%1.2%205.8K-24.1M-175.6K3.0911.03N/AN/A15648217,90422,191
2009-09-15$32.72$25.0029.7%8.5%23.2%3.2%35.3%5.0%0.6%347.4K-23.9M-180.0K6.7911.41N/AN/A1912918,04022,571
2009-09-16$33.00$25.0029.0%8.3%22.8%2.9%29.7%5.1%0.3%292.8K-25.3M-177.9K0.389.64N/AN/A1405318,04822,689
2009-09-17$32.04$25.0033.4%9.6%25.3%4.8%36.2%3.7%-0.7%180.8K-22.0M-175.5K1.1112.45N/AN/A58064218,13222,689
2009-09-18$32.57$25.0028.0%8.0%25.4%5.4%33.5%4.6%0.8%410.9K-23.9M-183.7K0.7511.89N/AN/A17913518,31623,137
2009-09-21$32.37$25.0033.7%9.7%21.8%10.7%31.9%3.6%0.2%417.8K-22.2M-180.2K5.2910.66N/AN/A5629618,01017,921
2009-09-22$32.61$25.0029.5%8.5%21.9%7.4%30.1%3.3%0.3%425.3K-23.3M-183.0K2.008.97N/AN/A26051918,05518,130
2009-09-23$32.76$25.0027.6%7.9%21.6%5.4%31.0%4.6%2.1%453.4K-24.5M-179.1K1.5814.19N/AN/A26842318,26418,499
2009-09-24$32.31$25.0034.0%9.7%21.8%12.0%31.9%3.8%-0.1%457.2K-20.9M-184.6K1.6910.45N/AN/A549117,96818,814
2009-09-25$31.84$25.0033.3%9.6%22.5%11.3%33.3%4.1%-0.8%451.8K-18.9M-184.6K0.096.38N/AN/A8627517,99318,887
2009-09-28$32.28$30.0035.9%10.3%23.0%13.9%28.5%4.5%-1.8%503.8K-17.8M-181.5K10.2414.14N/AN/A7677817,17318,927
2009-09-29$32.53$30.0025.2%7.2%23.1%3.0%37.2%3.9%-0.1%472.6K-18.8M-188.3K1.7912.59N/AN/A478417,19819,678
2009-09-30$32.37$30.0035.9%10.3%23.2%15.0%34.8%4.4%-1.3%493.4K-18.2M-186.7K0.5617.22N/AN/A1226817,23319,725