CEG Options History — March 2010

In March 2010, CEG traded between $35.11 and $36.79. ATM implied volatility averaged 23.4%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.4% (HV 20d: 20.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.96.

Notable Days

  • 2010-03-12: Highest Volume — 585 contracts
  • 2010-03-10: Largest IV spike — 19.9% change
  • 2010-03-12: Highest IV Rank — 10.6%
  • 2010-03-12: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.98$35.11$36.79$35.35$35.11
Max Pain$34.13$30.00$35.00$30.00$35.00
ATM IV23.4%21.2%26.1%22.6%21.9%
Expected Move6.8%6.1%7.5%6.5%6.3%
HV 20d20.9%15.7%33.2%33.2%17.5%
HV 60d26.2%25.9%27.3%27.3%25.9%
IV Rank7.3%3.6%10.6%5.1%6.7%
IV Percentile20.3%9.5%29.0%14.3%15.1%
Term Structure1.5%-0.7%3.3%1.8%2.5%
VWIV23.1%12.5%28.0%22.9%18.1%
Skew 25d3.7%-6.3%20.0%9.0%20.0%
Skew 10d8.5%-9.2%33.5%14.9%33.5%
Call IV 25d22.9%16.5%29.6%20.8%21.1%
Put IV 25d26.6%21.1%41.2%29.8%41.2%
Bid-Ask Spread %15.376.6831.559.379.50
Gamma HHI0.400.310.480.400.45
Net GEX238.9K196.7K289.9K218.1K230.7K
Net DEX-13.3M-15.4M-11.0M-12.1M-11.0M
Net VEX-98.9K-105.7K-94.5K-103.9K-96.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.0035.931.891.28
Total Volume166.217558527789
Total OI24,031.08723,40624,81424,46823,659

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$35.35$30.0022.6%6.5%33.2%5.1%0.0%9.0%1.8%218.1K-12.1M-103.9K1.899.37N/AN/A961818,87015,598
2010-03-02$35.32$30.0022.9%6.6%28.6%5.4%0.0%9.2%1.5%210.7K-11.9M-105.7K0.008.02N/AN/A1708,93915,779
2010-03-03$35.47$30.0022.9%6.6%28.6%5.5%22.9%10.8%1.1%218.6K-12.1M-104.5K0.096.68N/AN/A108108,95115,779
2010-03-04$35.94$30.0022.5%6.5%28.9%5.0%22.5%5.1%1.6%213.6K-13.0M-105.7K0.3410.79N/AN/A149508,98315,787
2010-03-05$36.65$35.0024.0%6.8%23.4%6.6%23.9%4.5%1.7%265.6K-15.4M-103.7K2.1126.50N/AN/A551169,02715,787
2010-03-08$36.63$35.0023.0%7.2%21.2%5.6%24.8%3.4%1.1%219.2K-14.3M-102.0K0.0824.64N/AN/A120108,45715,885
2010-03-09$36.20$35.0021.2%7.3%21.9%3.6%26.4%4.9%0.1%196.7K-13.4M-100.2K35.9328.46N/AN/A145038,46415,877
2010-03-10$36.79$35.0025.4%7.4%22.1%8.2%25.7%3.9%0.3%240.1K-14.5M-100.4K1.2425.06N/AN/A41518,46415,598
2010-03-11$36.60$35.0025.9%7.4%22.4%8.7%24.9%5.0%0.3%236.0K-14.3M-99.6K0.0119.77N/AN/A15428,48415,625
2010-03-12$35.89$35.0026.1%7.5%23.2%10.6%28.0%5.7%-0.7%219.2K-13.2M-99.0K8.9231.55N/AN/A595268,55315,626
2010-03-15$35.84$35.0025.6%7.3%21.7%10.2%23.1%4.2%0.0%257.5K-12.7M-98.3K1.4824.27N/AN/A48718,55715,378
2010-03-16$36.39$35.0025.0%7.2%18.0%9.3%24.0%0.5%1.0%232.4K-13.9M-98.5K0.9518.41N/AN/A37358,60315,442
2010-03-17$36.38$35.0023.3%6.7%18.0%8.0%22.2%0.7%2.4%253.0K-14.1M-95.8K0.0011.87N/AN/A5908,63315,417
2010-03-18$36.15$35.0024.2%6.9%18.4%9.3%12.5%7.5%1.4%244.7K-13.8M-97.4K15.307.68N/AN/A274138,68515,417
2010-03-19$35.91$35.0023.7%6.8%17.5%8.9%23.7%-2.0%1.4%234.7K-13.3M-97.4K0.1519.60N/AN/A91148,70715,287
2010-03-22$36.30$35.0023.2%6.7%16.5%8.2%23.3%-0.9%2.6%270.2K-13.9M-95.5K16.7012.94N/AN/A101678,72314,683
2010-03-23$36.23$35.0022.8%6.5%16.6%7.5%22.8%0.9%1.7%289.9K-14.1M-95.5K1.339.76N/AN/A52698,72314,697
2010-03-24$36.29$35.0021.4%6.1%15.7%5.6%25.3%-2.7%3.3%278.0K-14.3M-94.5K0.008.88N/AN/A508,75314,753
2010-03-25$35.67$35.0022.5%6.5%17.0%7.5%22.5%5.8%2.2%259.8K-12.6M-94.7K0.7010.88N/AN/A43308,75414,753
2010-03-26$35.50$35.0021.8%6.2%17.1%6.3%21.7%-6.3%3.0%246.0K-12.5M-95.9K0.067.94N/AN/A3128,73614,716
2010-03-29$35.44$35.0023.8%6.8%16.9%9.6%24.2%-5.7%1.2%210.7K-11.9M-95.6K0.448.79N/AN/A143638,76314,716
2010-03-30$35.56$35.0021.8%6.3%16.9%6.4%18.1%2.3%2.3%248.2K-12.5M-95.7K2.1012.27N/AN/A20428,84814,779
2010-03-31$35.11$35.0021.9%6.3%17.5%6.7%0.0%20.0%2.5%230.7K-11.0M-96.3K1.289.50N/AN/A39508,86114,798