CEG Options History — January 2010

In January 2010, CEG traded between $32.28 and $35.29. ATM implied volatility averaged 21.3%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.0% (HV 20d: 20.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.30.

Notable Days

  • 2010-01-11: Highest Volume — 2,653 contracts
  • 2010-01-29: Largest IV spike — 50.3% change
  • 2010-01-29: Highest IV Rank — 10.3%
  • 2010-01-29: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.99$32.28$35.29$34.89$32.28
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.3%17.9%27.3%20.6%27.3%
Expected Move6.5%5.1%7.8%7.2%7.8%
HV 20d20.4%15.6%24.8%20.1%24.4%
HV 60d23.2%22.5%24.3%22.5%23.1%
IV Rank3.3%0.0%10.3%2.3%10.3%
IV Percentile8.1%0.0%21.4%4.8%21.4%
Term Structure2.7%0.2%4.4%1.1%0.2%
VWIV22.8%14.5%25.7%25.7%25.4%
Skew 25d3.9%-4.1%10.4%3.4%-2.3%
Skew 10d6.9%-2.9%16.3%5.5%0.7%
Call IV 25d21.5%18.7%26.3%25.1%26.3%
Put IV 25d25.4%17.0%29.1%28.5%24.0%
Bid-Ask Spread %20.878.7736.6623.3534.62
Gamma HHI0.620.350.880.810.37
Net GEX816.9K29.7K2.3M1.3M29.7K
Net DEX-10.3M-15.5M-4.3M-15.5M-4.3M
Net VEX-118.7K-128.8K-107.4K-128.2K-108.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0116.200.511.00
Total Volume501322,6536532
Total OI28,130.42122,04433,28132,98123,660

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$34.89$35.0020.6%7.2%20.1%2.3%25.7%3.4%1.1%1.3M-15.5M-128.2K0.5123.35N/AN/A432213,60219,379
2010-01-05$34.62$35.0022.0%7.2%19.7%3.8%0.0%9.4%1.5%1.2M-14.7M-128.8K0.3815.02N/AN/A562113,61519,281
2010-01-06$34.82$35.0021.4%7.1%19.7%3.2%25.1%10.4%1.3%1.3M-15.3M-125.5K0.1615.30N/AN/A2343713,58419,286
2010-01-07$34.33$35.0021.8%7.0%18.8%3.7%0.0%7.8%1.9%1.2M-13.0M-111.5K1.5215.45N/AN/A23034913,69119,308
2010-01-08$34.04$35.0018.4%7.3%19.1%0.0%25.4%7.2%1.0%1.0M-11.0M-122.7K16.2019.99N/AN/A1524313,76519,374
2010-01-11$34.71$35.0020.6%7.0%20.1%2.4%24.4%7.9%2.0%1.8M-13.8M-124.0K0.0121.92N/AN/A2,6341913,77019,511
2010-01-12$34.44$35.0023.2%6.8%17.8%5.2%23.7%0.8%3.2%1.2M-12.3M-124.1K2.4120.15N/AN/A31475713,25619,360
2010-01-13$34.80$35.0022.8%6.8%15.7%4.8%23.6%9.1%2.9%1.7M-14.6M-125.1K0.0120.95N/AN/A361413,37619,263
2010-01-14$34.73$35.0023.3%6.7%15.6%5.3%23.3%-0.8%3.1%2.3M-14.1M-122.0K2.088.77N/AN/A10822513,70819,256
2010-01-15$34.45$35.0022.3%6.4%15.7%4.2%22.3%0.3%3.7%1.3M-10.6M-123.4K0.3211.44N/AN/A57318313,80419,450
2010-01-19$35.29$35.0022.7%6.5%18.0%4.7%22.7%9.8%2.9%216.0K-10.5M-122.7K0.2511.94N/AN/A109278,23313,811
2010-01-20$34.73$35.0021.6%6.2%18.8%3.5%21.6%6.5%4.4%213.6K-9.8M-122.7K0.449.05N/AN/A94418,31013,826
2010-01-21$33.61$35.0021.8%6.3%21.7%3.7%21.9%-4.1%4.3%198.6K-8.2M-110.2K1.019.81N/AN/A1621648,39013,855
2010-01-22$32.54$35.0017.9%5.1%24.1%0.0%23.3%-2.6%4.0%90.5K-5.2M-120.3K1.6531.31N/AN/A3075058,42913,873
2010-01-25$33.24$35.0018.2%5.2%24.8%0.4%18.0%2.4%3.9%161.1K-7.4M-110.6K6.8325.30N/AN/A634308,60914,096
2010-01-26$32.95$35.0018.4%5.3%24.2%0.5%14.5%2.5%2.4%118.8K-6.5M-109.0K1.0629.90N/AN/A1601708,63314,415
2010-01-27$32.66$35.0022.7%6.5%24.3%5.2%23.8%6.3%4.2%81.2K-5.1M-107.4K6.2836.66N/AN/A251578,74314,558
2010-01-28$32.67$35.0018.2%5.2%24.3%0.3%0.0%0.4%3.8%70.0K-4.9M-108.9K1.6535.57N/AN/A2434028,74514,653
2010-01-29$32.28$35.0027.3%7.8%24.4%10.3%25.4%-2.3%0.2%29.7K-4.3M-108.5K1.0034.62N/AN/A16168,85114,809