CEG Options History — April 2010

In April 2010, CEG traded between $35.35 and $38.47. ATM implied volatility averaged 22.0%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.2% (HV 20d: 24.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2010-04-19: Highest Volume — 1,100 contracts
  • 2010-04-06: Largest IV drop — 27.5% change
  • 2010-04-28: Highest IV Rank — 27.8%
  • 2010-04-28: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.21$35.35$38.47$36.05$35.35
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV22.0%15.4%27.4%22.4%24.5%
Expected Move6.8%5.7%7.8%6.4%7.0%
HV 20d24.2%19.4%34.0%19.4%34.0%
HV 60d26.6%24.1%28.0%26.4%27.7%
IV Rank14.4%0.0%27.8%9.5%21.2%
IV Percentile21.0%0.0%44.0%16.3%37.3%
Term Structure1.3%-2.1%9.8%2.0%0.6%
VWIV22.4%17.1%27.3%22.2%24.5%
Skew 25d3.5%0.3%9.0%4.6%4.8%
Skew 10d6.3%-0.0%31.9%31.9%6.5%
Call IV 25d21.2%18.2%23.2%19.1%18.8%
Put IV 25d24.7%23.4%27.8%23.7%23.6%
Bid-Ask Spread %18.599.7230.5316.0014.52
Gamma HHI0.420.370.490.450.49
Net GEX395.7K272.2K585.5K272.2K360.6K
Net DEX-16.3M-19.8M-12.0M-13.7M-12.0M
Net VEX-92.6K-96.3K-86.3K-96.3K-91.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.003.560.000.40
Total Volume312.762531,10060610
Total OI23,109.23820,58724,29823,72623,006

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$36.05$35.0022.4%6.4%19.4%9.5%22.2%4.6%2.0%272.2K-13.7M-96.3K0.0016.00N/AN/A6008,89014,836
2010-04-05$36.97$35.0021.2%7.3%20.2%7.7%25.3%1.5%0.9%287.0K-15.9M-93.5K0.0318.41N/AN/A24378,88914,836
2010-04-06$37.90$35.0015.4%6.4%22.0%0.0%22.2%3.0%0.2%339.9K-18.5M-94.1K0.1016.04N/AN/A528549,07514,835
2010-04-07$37.40$35.0019.1%7.0%22.1%8.2%23.8%1.8%1.1%329.0K-17.6M-92.4K0.1311.92N/AN/A274359,01114,834
2010-04-08$36.90$35.0016.5%7.2%22.0%2.5%21.5%4.2%1.0%321.9K-16.9M-92.9K3.5618.12N/AN/A25899,01114,834
2010-04-09$37.38$35.0019.5%6.7%22.4%9.1%21.3%1.6%1.9%334.3K-17.3M-92.3K1.8319.29N/AN/A54999,07814,945
2010-04-12$38.02$35.0017.5%6.4%21.7%4.6%22.4%3.4%0.4%360.5K-18.9M-91.8K0.1716.68N/AN/A63119,08614,948
2010-04-13$37.96$35.0021.0%6.4%21.7%12.4%22.5%1.8%0.2%355.3K-18.8M-91.4K0.0716.10N/AN/A8369,14715,008
2010-04-14$38.39$35.0022.6%6.4%21.4%15.7%22.2%3.6%0.5%402.2K-19.6M-91.4K0.1915.80N/AN/A104209,18315,011
2010-04-15$38.47$35.0022.0%6.3%21.4%14.7%20.0%3.3%0.2%423.6K-19.8M-92.2K0.0019.67N/AN/A16909,23615,031
2010-04-16$36.98$35.0023.8%6.8%26.0%18.9%22.1%2.6%2.9%348.0K-17.2M-92.7K0.0319.00N/AN/A675179,26715,031
2010-04-19$36.75$35.0023.5%6.7%26.0%18.0%21.9%1.9%2.7%369.2K-14.1M-90.8K0.2318.90N/AN/A8952058,73111,856
2010-04-20$37.09$35.0024.0%6.9%25.9%19.3%23.0%0.3%1.6%413.8K-15.0M-92.5K0.0312.31N/AN/A382109,57111,893
2010-04-21$37.47$35.0024.6%7.1%26.1%21.5%20.9%3.0%1.1%499.3K-15.9M-94.8K0.8119.79N/AN/A1251019,93711,903
2010-04-22$37.32$35.0019.9%5.7%26.2%10.6%21.1%5.0%9.8%518.7K-15.8M-94.9K0.0026.35N/AN/A302010,02711,943
2010-04-23$37.35$35.0024.2%6.9%25.2%20.6%0.0%2.3%1.0%487.9K-15.4M-93.5K1.0330.53N/AN/A394010,27911,943
2010-04-26$37.11$35.0024.3%7.0%25.3%20.6%24.4%2.0%2.5%467.5K-15.6M-92.6K0.6025.62N/AN/A653910,31611,973
2010-04-27$36.43$35.0026.1%7.5%26.3%24.9%23.2%7.7%-0.5%401.0K-14.4M-86.3K0.1018.01N/AN/A5335510,33211,995
2010-04-28$36.60$35.0027.4%7.8%26.3%27.8%27.3%9.0%-0.6%431.6K-14.4M-92.7K0.339.72N/AN/A401310,72412,049
2010-04-29$37.56$35.0022.0%6.3%27.1%15.5%17.1%5.9%-2.1%585.5K-16.6M-95.0K0.1127.63N/AN/A4485010,74212,052
2010-04-30$35.35$35.0024.5%7.0%34.0%21.2%24.5%4.8%0.6%360.6K-12.0M-91.1K0.4014.52N/AN/A43517510,90812,098