CEG Options History — February 2010

In February 2010, CEG traded between $31.90 and $35.07. ATM implied volatility averaged 25.5%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 9.0% (HV 20d: 34.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 5.28.

Notable Days

  • 2010-02-05: Highest Volume — 762 contracts
  • 2010-02-12: Largest IV spike — 36.1% change
  • 2010-02-12: Highest IV Rank — 15.2%
  • 2010-02-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.56$31.90$35.07$33.93$35.07
Max Pain$31.32$30.00$35.00$35.00$30.00
ATM IV25.5%21.6%31.9%23.5%22.9%
Expected Move7.6%6.2%9.1%6.8%6.6%
HV 20d34.5%30.8%38.7%30.9%33.7%
HV 60d26.9%24.6%28.1%25.2%27.6%
IV Rank8.3%4.1%15.2%6.2%5.4%
IV Percentile23.0%11.1%44.8%18.3%17.1%
Term Structure0.1%-3.5%3.4%3.0%1.5%
VWIV26.6%18.8%32.5%18.8%22.9%
Skew 25d0.8%-9.4%7.7%-3.4%0.7%
Skew 10d2.0%-2.8%12.3%-2.8%1.4%
Call IV 25d25.3%20.9%29.1%23.4%20.9%
Put IV 25d26.1%18.1%32.5%20.0%21.6%
Bid-Ask Spread %16.657.2527.2312.338.17
Gamma HHI0.390.350.540.430.39
Net GEX94.5K-107.4K409.7K177.1K197.6K
Net DEX-6.8M-11.4M-2.0M-7.5M-11.4M
Net VEX-110.9K-124.4K-104.2K-113.1K-104.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.280.0041.000.100.28
Total Volume179.158076245059
Total OI24,567.84223,67825,22723,67824,445

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$33.93$35.0023.5%6.8%30.9%6.2%18.8%-3.4%3.0%177.1K-7.5M-113.1K0.1012.33N/AN/A409418,85114,827
2010-02-02$34.05$35.0022.8%6.5%30.8%5.3%22.8%-1.4%3.4%211.4K-8.4M-110.8K3.6115.02N/AN/A18659,14514,848
2010-02-03$34.25$35.0022.6%6.5%30.8%5.1%0.0%-0.1%3.2%236.0K-9.2M-114.2K3.3313.06N/AN/A9309,14214,829
2010-02-04$32.75$35.0021.6%6.2%34.5%4.1%25.6%-9.4%0.6%102.6K-5.9M-110.7K19.7027.23N/AN/A234539,14214,859
2010-02-05$32.04$35.0027.1%8.7%34.9%10.0%30.3%0.4%-2.2%-34.5K-2.5M-106.5K13.6522.28N/AN/A527109,13515,234
2010-02-08$31.90$30.0030.9%9.1%34.8%14.1%0.0%3.4%-1.2%-107.4K-2.0M-123.7K0.6718.06N/AN/A15109,18715,663
2010-02-09$32.28$30.0025.6%9.1%34.3%8.4%32.5%3.2%-1.5%-80.1K-3.0M-124.4K41.0017.72N/AN/A31239,20215,670
2010-02-10$32.26$30.0023.0%9.1%34.3%5.6%31.3%2.4%-2.1%-66.5K-3.2M-110.1K0.0021.13N/AN/A0169,20415,779
2010-02-11$33.01$30.0023.4%6.7%35.2%6.0%30.9%2.9%0.1%-22.2K-4.1M-123.5K3.5320.55N/AN/A15539,20415,781
2010-02-12$32.39$30.0031.9%9.1%35.7%15.2%0.0%3.6%-3.5%-65.6K-3.6M-108.2K0.0023.71N/AN/A909,21915,760
2010-02-16$33.69$30.0028.8%8.2%38.7%11.8%31.0%3.2%-2.2%114.7K-6.8M-108.5K1.6622.97N/AN/A641069,21715,760
2010-02-17$33.69$30.0028.4%8.1%37.6%11.4%0.0%4.0%-1.1%125.1K-7.2M-109.2K0.0021.89N/AN/A009,25615,766
2010-02-18$33.87$30.0027.0%7.7%37.3%9.9%27.0%7.2%0.0%141.5K-7.4M-107.5K1.6918.84N/AN/A1342269,25615,766
2010-02-19$34.58$30.0026.5%7.6%36.1%9.3%27.0%7.7%0.4%409.7K-9.1M-108.1K0.0819.74N/AN/A249209,26715,960
2010-02-22$34.05$30.0025.2%7.2%34.5%8.0%25.3%-5.8%0.5%79.8K-8.5M-106.0K0.1910.36N/AN/A212418,73015,556
2010-02-23$34.15$30.0025.5%7.3%33.7%8.3%25.5%-3.7%0.2%89.5K-8.7M-108.5K0.177.92N/AN/A5398,79215,576
2010-02-24$34.75$30.0023.4%6.7%34.0%6.0%23.4%-0.1%1.2%127.9K-10.1M-105.0K0.177.25N/AN/A59108,79215,576
2010-02-25$35.00$30.0024.1%6.9%33.7%6.8%24.1%0.3%0.5%159.5K-10.8M-105.2K0.018.02N/AN/A10718,80715,586
2010-02-26$35.07$30.0022.9%6.6%33.7%5.4%22.9%0.7%1.5%197.6K-11.4M-104.2K0.288.17N/AN/A46138,86015,585