CEG Options History — November 2009

In November 2009, CEG traded between $31.22 and $32.77. ATM implied volatility averaged 31.4%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.5% (HV 20d: 24.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 11.69.

Notable Days

  • 2009-11-16: Highest Volume — 9,251 contracts
  • 2009-11-06: Largest IV spike — 29.1% change
  • 2009-11-02: Highest IV Rank — 24.3%
  • 2009-11-02: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.05$31.22$32.77$31.81$31.82
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV31.4%21.7%40.6%40.6%27.5%
Expected Move9.0%6.2%11.7%11.7%7.9%
HV 20d24.9%21.5%27.0%25.2%22.9%
HV 60d25.1%23.7%27.1%27.0%24.7%
IV Rank14.1%3.5%24.3%24.3%9.8%
IV Percentile20.9%2.8%50.4%50.4%6.0%
Term Structure-0.7%-3.8%1.2%-3.8%1.2%
VWIV31.2%27.3%40.7%40.7%27.3%
Skew 25d2.5%-1.4%7.3%3.4%-1.4%
Skew 10d1.4%-3.5%8.3%1.9%-0.9%
Call IV 25d29.2%20.5%37.2%37.2%28.7%
Put IV 25d31.7%26.7%40.5%40.5%27.3%
Bid-Ask Spread %17.197.8331.7130.9012.12
Gamma HHI0.450.340.590.450.36
Net GEX248.4K65.6K443.3K273.6K87.0K
Net DEX-9.2M-13.0M-3.8M-9.2M-5.0M
Net VEX-186.2K-212.6K-158.5K-190.0K-202.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.690.00100.0014.400.25
Total Volume983.2259,2512,31025
Total OI42,363.4540,54948,51542,74941,499

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$31.81$30.0040.6%11.7%25.2%24.3%40.7%3.4%-3.8%273.6K-9.2M-190.0K14.4030.90N/AN/A1502,16019,20223,547
2009-11-03$31.57$30.0037.8%10.8%23.6%21.2%37.9%2.0%-1.3%260.7K-8.9M-185.1K15.7929.69N/AN/A3453719,22522,849
2009-11-04$31.88$30.0037.9%10.9%23.7%21.3%0.0%2.7%-2.2%251.0K-8.5M-212.6K0.6231.71N/AN/A16310119,21623,501
2009-11-05$32.77$30.0029.1%8.4%25.8%11.6%32.3%4.0%-1.8%413.4K-12.4M-208.2K0.5826.90N/AN/A36121119,32523,598
2009-11-06$32.22$30.0037.6%9.5%26.2%20.9%29.2%3.2%-1.0%402.1K-11.6M-183.6K0.1113.37N/AN/A2,07322019,25023,793
2009-11-09$32.56$30.0027.5%8.8%26.5%9.9%36.3%4.9%-0.4%294.4K-11.9M-181.9K3.8311.34N/AN/A3613817,74223,845
2009-11-10$32.44$30.0034.7%10.1%26.3%17.8%28.9%4.0%-3.4%283.5K-11.9M-177.3K1.8110.11N/AN/A213817,75823,936
2009-11-11$32.28$30.0032.0%9.3%26.3%14.7%28.5%3.4%-1.3%261.4K-10.5M-176.1K0.0010.92N/AN/A39017,76923,982
2009-11-12$32.11$30.0032.4%9.3%26.3%15.3%32.4%2.1%-1.2%211.2K-10.2M-175.3K0.3112.33N/AN/A2929117,76223,982
2009-11-13$32.38$30.0031.6%9.1%26.3%14.4%31.2%3.7%-0.6%315.1K-12.0M-170.6K4.9514.22N/AN/A8039618,00024,030
2009-11-16$32.47$30.0031.6%9.1%26.2%14.4%30.7%2.1%-0.9%419.4K-13.0M-168.1K2.0512.71N/AN/A3,0306,22118,07924,316
2009-11-17$32.12$30.0032.0%9.2%26.4%14.8%32.0%2.6%-0.5%253.1K-10.0M-171.2K6.5113.01N/AN/A3522818,08230,433
2009-11-18$31.53$30.0031.0%8.9%27.0%13.7%31.1%1.4%-0.0%76.8K-7.9M-168.0K4.5620.85N/AN/A16374418,10124,547
2009-11-19$31.22$30.0030.5%8.7%27.0%13.1%30.5%-0.7%-0.5%108.4K-6.6M-169.5K0.6919.00N/AN/A19813618,21924,777
2009-11-20$31.29$30.0028.6%8.2%22.0%11.0%28.7%7.3%0.9%65.6K-3.8M-211.0K2.247.83N/AN/A388518,25124,339
2009-11-23$31.82$30.0029.0%8.3%22.9%11.5%29.0%1.1%0.4%165.0K-5.5M-210.7K67.0720.02N/AN/A1493917,56722,982
2009-11-24$32.03$30.0027.5%7.9%23.0%9.9%27.6%1.6%0.3%239.3K-7.3M-204.3K2.959.97N/AN/A6418917,56923,642
2009-11-25$32.69$30.0021.7%6.2%21.5%3.5%27.9%1.2%1.2%443.3K-12.0M-158.5K5.0224.82N/AN/A5226117,60923,547
2009-11-27$32.08$30.0027.3%7.8%22.8%9.6%0.0%0.6%0.8%143.2K-5.8M-199.0K100.0012.03N/AN/A110017,63423,764
2009-11-30$31.82$30.0027.5%7.9%22.9%9.8%27.3%-1.4%1.2%87.0K-5.0M-202.7K0.2512.12N/AN/A20517,63523,864