CEG Options History — December 2009

In December 2009, CEG traded between $32.52 and $36.31. ATM implied volatility averaged 21.5%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 2.0% (HV 20d: 23.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.42.

Notable Days

  • 2009-12-07: Highest Volume — 4,741 contracts
  • 2009-12-03: Largest IV spike — 26.1% change
  • 2009-12-10: Highest IV Rank — 7.1%
  • 2009-12-07: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.59$32.52$36.31$32.52$35.17
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV21.5%18.5%24.9%21.5%19.1%
Expected Move6.3%5.3%7.2%6.2%5.5%
HV 20d23.5%20.3%26.2%21.9%20.3%
HV 60d24.8%22.5%25.8%25.0%22.5%
IV Rank3.3%0.0%7.1%3.2%0.6%
IV Percentile3.7%0.0%7.1%2.8%1.2%
Term Structure3.7%-0.9%5.8%-0.9%5.2%
VWIV24.9%19.0%59.2%22.8%19.1%
Skew 25d2.7%-8.4%9.5%-3.3%0.5%
Skew 10d4.5%-5.5%15.3%1.2%0.7%
Call IV 25d20.4%15.3%28.7%28.7%18.6%
Put IV 25d23.0%16.8%29.9%25.4%19.1%
Bid-Ask Spread %5.432.6618.8118.812.78
Gamma HHI0.720.430.940.430.81
Net GEX1.2M246.9K5.2M246.9K1.2M
Net DEX-16.7M-21.9M-6.9M-7.7M-17.3M
Net VEX-148.6K-202.8K-114.1K-202.8K-129.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0034.240.000.76
Total Volume973.514,741151
Total OI35,987.27332,74841,97141,51332,931

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$32.52$30.0021.5%6.2%21.9%3.2%0.0%-3.3%-0.9%246.9K-7.7M-202.8K0.0018.81N/AN/A1017,65023,863
2009-12-02$33.51$30.0018.5%5.3%23.9%0.0%22.8%-8.4%2.2%654.8K-16.1M-156.7K0.4110.96N/AN/A44618517,64023,863
2009-12-03$34.00$30.0023.3%6.7%24.2%5.3%23.5%-2.9%1.5%771.6K-19.1M-158.5K0.317.99N/AN/A3029417,78123,944
2009-12-04$33.56$30.0020.7%6.7%23.0%2.5%27.0%4.0%5.0%683.2K-16.6M-158.9K5.547.31N/AN/A4692,59817,97223,999
2009-12-07$33.72$30.0020.1%7.2%22.0%1.8%59.2%6.3%3.2%927.1K-19.2M-153.4K0.024.02N/AN/A4,6519018,23322,193
2009-12-08$33.02$30.0024.1%7.2%23.3%6.2%26.1%3.0%2.9%579.7K-9.2M-184.8K0.645.24N/AN/A754815,92722,253
2009-12-09$33.02$30.0021.6%6.8%23.2%3.5%28.9%3.9%4.3%568.5K-10.0M-182.6K1.576.24N/AN/A1,6602,60215,98521,529
2009-12-10$33.25$30.0024.9%7.1%23.2%7.1%25.0%4.1%2.6%525.6K-6.9M-176.3K0.274.39N/AN/A1,22833014,53519,722
2009-12-11$34.21$30.0023.8%6.8%24.9%5.9%23.8%7.3%4.0%1.0M-12.1M-183.6K0.178.00N/AN/A1,43124915,04920,022
2009-12-14$35.09$30.0023.7%6.8%26.1%5.8%27.8%9.5%4.1%1.5M-19.0M-141.7K1.023.47N/AN/A24625214,80920,254
2009-12-15$34.97$30.0023.0%6.6%26.2%4.9%22.6%1.3%4.3%1.6M-19.0M-139.4K0.193.67N/AN/A1182314,79920,433
2009-12-16$34.76$30.0022.9%6.6%25.9%4.8%22.9%3.1%3.9%1.7M-17.4M-134.8K0.203.48N/AN/A541114,72020,357
2009-12-17$34.83$30.0022.8%6.5%24.5%4.7%22.8%0.9%4.5%2.0M-16.6M-160.1K0.753.97N/AN/A25719414,73120,362
2009-12-18$35.05$30.0021.6%6.2%23.9%3.4%21.6%1.6%5.8%5.2M-19.9M-133.9K0.333.79N/AN/A31510514,64420,509
2009-12-21$35.31$30.0020.3%5.8%23.9%2.0%20.3%3.9%4.0%977.8K-18.1M-131.9K34.243.51N/AN/A2999313,36619,691
2009-12-22$35.37$30.0019.9%5.7%23.6%1.6%19.9%4.0%4.1%988.3K-18.3M-118.7K1.812.66N/AN/A21539013,39320,047
2009-12-23$35.92$30.0020.3%5.8%23.8%2.0%20.3%5.0%3.9%923.2K-20.6M-133.1K2.043.40N/AN/A37376113,56319,723
2009-12-24$36.31$30.0020.1%5.8%23.3%1.8%20.1%4.0%3.9%888.9K-21.9M-129.6K0.004.28N/AN/A34013,37719,457
2009-12-28$36.02$30.0021.7%6.2%22.1%3.6%21.7%5.4%2.7%880.1K-21.2M-128.9K2.903.70N/AN/A5114813,39819,457
2009-12-29$35.70$30.0019.8%5.7%22.2%1.4%29.4%3.4%5.3%1.1M-20.7M-114.1K0.013.62N/AN/A149113,39719,351
2009-12-30$35.70$30.0019.0%5.5%21.4%0.6%19.0%1.9%5.4%1.2M-20.3M-115.7K0.094.28N/AN/A1731513,44919,342
2009-12-31$35.17$30.0019.1%5.5%20.3%0.6%19.1%0.5%5.2%1.2M-17.3M-129.7K0.762.78N/AN/A292213,57419,357