CEG Options History — October 2009

In October 2009, CEG traded between $30.69 and $33.53. ATM implied volatility averaged 26.6%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.0% (HV 20d: 26.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 12.20.

Notable Days

  • 2009-10-30: Highest Volume — 8,940 contracts
  • 2009-10-23: Largest IV spike — 37.7% change
  • 2009-10-30: Highest IV Rank — 22.8%
  • 2009-10-30: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.41$30.69$33.53$31.41$30.92
Max Pain$30.45$30.00$35.00$30.00$30.00
ATM IV26.6%18.5%39.3%33.8%39.3%
Expected Move8.3%5.7%11.3%9.7%11.3%
HV 20d26.6%23.1%29.9%25.7%25.8%
HV 60d25.9%24.6%26.7%25.4%26.5%
IV Rank8.1%0.0%22.8%12.7%22.8%
IV Percentile10.6%0.0%46.8%25.4%46.8%
Term Structure0.9%-3.3%7.6%-0.2%-3.3%
VWIV31.1%23.7%40.2%33.8%39.2%
Skew 25d5.8%-3.1%10.2%10.2%-3.1%
Skew 10d10.1%-8.3%21.8%11.5%-8.3%
Call IV 25d26.3%20.7%38.9%23.4%38.9%
Put IV 25d32.1%27.0%36.6%33.6%35.8%
Bid-Ask Spread %21.548.8938.2410.6427.18
Gamma HHI0.450.280.690.360.38
Net GEX370.3K108.1K548.2K509.2K108.1K
Net DEX-15.8M-25.2M-3.7M-14.6M-3.7M
Net VEX-172.6K-217.0K-136.4K-186.6K-217.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.200.00125.560.000.70
Total Volume1,080.545148,940368,940
Total OI36,374.40933,37741,35436,94937,454

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$31.41$30.0033.8%9.7%25.7%12.7%33.8%10.2%-0.2%509.2K-14.6M-186.6K0.0010.64N/AN/A36017,18219,767
2009-10-02$30.69$30.0032.7%9.4%26.5%11.4%32.7%6.8%0.4%548.2K-10.6M-185.7K0.558.89N/AN/A1468017,19319,767
2009-10-05$31.69$35.0034.8%9.8%28.6%13.7%0.0%6.7%-1.7%521.2K-15.0M-184.1K0.0220.28N/AN/A323617,24419,815
2009-10-06$32.49$35.0029.6%9.6%29.8%8.0%33.2%3.6%-0.8%442.6K-18.4M-179.6K0.0914.94N/AN/A44417,20919,815
2009-10-07$32.72$30.0018.5%8.4%29.9%0.0%33.5%4.2%-0.5%321.3K-20.6M-172.5K13.9513.35N/AN/A1926517,23519,818
2009-10-08$32.62$30.0020.7%8.5%29.6%2.3%31.7%3.0%-0.9%297.2K-20.9M-172.1K1.7723.93N/AN/A315517,24820,024
2009-10-09$32.96$30.0019.5%8.1%29.2%1.0%28.6%5.3%-0.3%335.0K-21.4M-173.5K0.0824.74N/AN/A13117,23119,758
2009-10-12$33.12$30.0021.0%8.2%26.6%2.6%0.0%6.7%-0.1%322.6K-22.0M-171.7K1.2616.27N/AN/A8110217,17019,759
2009-10-13$33.36$30.0021.0%8.1%26.6%2.7%40.2%6.8%0.8%395.1K-24.2M-141.2K17.2513.26N/AN/A46917,20619,785
2009-10-14$33.46$30.0022.8%8.0%26.4%4.6%32.0%7.4%-0.1%415.0K-24.5M-137.5K5.6712.35N/AN/A2413617,19019,813
2009-10-15$33.53$30.0027.5%7.9%23.9%9.8%33.2%7.7%0.4%400.1K-24.8M-136.4K0.5014.41N/AN/A5,1712,56617,18719,899
2009-10-16$33.16$30.0027.8%8.0%23.7%10.1%29.2%5.7%-0.2%433.0K-25.2M-162.7K0.0117.25N/AN/A131119,59421,760
2009-10-19$33.41$30.0023.3%6.7%23.7%5.2%26.4%7.5%3.9%462.2K-16.4M-159.7K0.8923.36N/AN/A938316,14317,234
2009-10-20$33.28$30.0023.6%6.8%23.7%5.6%0.0%5.8%2.6%479.8K-16.4M-156.3K24.0030.29N/AN/A512016,18617,292
2009-10-21$33.15$30.0019.7%5.7%23.7%1.3%0.0%4.3%3.9%481.8K-16.2M-155.5K0.0931.95N/AN/A1121016,18817,362
2009-10-22$33.30$30.0021.1%6.1%23.1%2.8%29.5%5.4%3.0%474.3K-16.0M-156.5K47.1828.65N/AN/A1151916,27017,362
2009-10-23$31.83$30.0029.1%8.3%28.0%11.6%30.2%3.7%3.2%339.5K-10.6M-158.8K5.7024.23N/AN/A9654716,26817,848
2009-10-26$31.90$30.0028.2%8.1%27.5%10.6%23.7%7.3%7.6%349.3K-10.8M-157.4K125.5636.75N/AN/A253,13916,34018,207
2009-10-27$31.88$30.0030.0%8.6%27.3%12.6%25.8%4.4%2.6%251.3K-8.2M-208.9K12.5038.24N/AN/A2835016,36320,537
2009-10-28$31.00$30.0030.0%8.6%28.9%12.6%25.5%8.9%0.4%127.2K-4.0M-212.4K0.3923.76N/AN/A411616,36620,897
2009-10-29$31.13$30.0031.9%9.1%27.0%14.6%31.9%9.8%-1.8%133.5K-3.9M-211.2K10.3419.19N/AN/A2930016,37020,881
2009-10-30$30.92$30.0039.3%11.3%25.8%22.8%39.2%-3.1%-3.3%108.1K-3.7M-217.0K0.7027.18N/AN/A5,2463,69416,39721,057