CEG Options History — May 2010

In May 2010, CEG traded between $32.86 and $36.54. ATM implied volatility averaged 30.5%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 7.4% (HV 20d: 38.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-05-03: Highest Volume — 316 contracts
  • 2010-05-20: Largest IV spike — 22.2% change
  • 2010-05-20: Highest IV Rank — 62.0%
  • 2010-05-20: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.11$32.86$36.54$36.42$35.38
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.5%25.6%37.8%27.2%30.9%
Expected Move8.7%7.7%10.8%7.8%8.8%
HV 20d38.0%33.4%44.0%34.5%38.4%
HV 60d28.3%26.4%31.2%26.7%31.1%
IV Rank39.2%23.7%62.0%27.4%42.7%
IV Percentile62.0%40.5%86.9%44.0%65.1%
Term Structure-0.1%-2.0%1.7%-2.0%0.8%
VWIV31.0%27.0%42.3%27.2%28.4%
Skew 25d6.0%-0.6%15.4%9.8%2.4%
Skew 10d8.8%-3.3%24.4%12.6%2.4%
Call IV 25d25.8%17.5%35.1%17.5%23.7%
Put IV 25d31.9%23.8%42.5%27.2%26.0%
Bid-Ask Spread %41.1410.5470.1410.5412.11
Gamma HHI0.350.290.420.390.30
Net GEX261.3K109.3K379.1K379.1K214.3K
Net DEX-10.6M-14.6M-4.5M-13.9M-10.4M
Net VEX-107.7K-132.6K-94.0K-94.0K-120.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.390.420.90
Total Volume143.9563316316247
Total OI22,939.1520,95723,78023,08621,246

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$36.42$35.0027.2%7.8%34.5%27.4%27.2%9.8%-2.0%379.1K-13.9M-94.0K0.4210.54N/AN/A2229410,95712,129
2010-05-04$36.00$35.0027.8%8.0%33.4%29.0%27.5%7.2%-1.1%359.9K-13.3M-95.6K2.3911.12N/AN/A286711,15512,173
2010-05-05$35.46$35.0027.8%8.0%33.5%29.0%27.8%5.5%0.1%339.2K-12.6M-94.6K0.6916.80N/AN/A725011,16412,184
2010-05-06$34.63$35.0027.0%7.7%34.1%26.9%27.0%-0.2%1.0%271.3K-10.4M-99.2K0.6036.32N/AN/A1016111,20212,226
2010-05-07$34.48$35.0032.2%8.6%33.5%39.1%34.5%9.8%0.4%210.7K-9.4M-117.8K0.7257.95N/AN/A1218711,24612,275
2010-05-10$36.10$35.0029.6%8.1%37.3%33.1%27.4%-0.6%-0.3%339.8K-13.8M-96.3K0.0061.45N/AN/A63011,27912,325
2010-05-11$35.70$35.0031.6%8.6%37.4%37.7%0.0%5.3%-0.3%333.4K-13.0M-96.4K0.0554.61N/AN/A146711,32212,325
2010-05-12$36.48$35.0025.6%8.3%38.1%23.7%29.1%7.6%-0.1%357.4K-14.6M-97.6K0.0952.90N/AN/A1651511,44812,332
2010-05-13$36.45$35.0028.5%8.2%38.1%30.5%0.0%1.8%-0.3%345.3K-14.5M-96.6K0.3240.50N/AN/A1404511,25712,345
2010-05-14$36.46$35.0031.5%9.0%35.5%44.5%31.5%15.4%0.4%336.9K-14.2M-96.8K0.4346.51N/AN/A883811,24112,353
2010-05-17$36.54$35.0032.0%9.2%35.5%46.0%0.0%1.3%-0.3%339.7K-14.5M-95.6K0.5260.45N/AN/A603111,25412,357
2010-05-18$35.34$35.0031.5%9.0%37.2%44.6%31.5%1.4%-0.3%298.8K-12.0M-94.2K0.8970.14N/AN/A443911,27612,357
2010-05-19$34.68$35.0030.9%8.9%37.3%43.0%30.9%11.3%1.7%258.0K-9.9M-106.1K1.2243.76N/AN/A506111,30812,352
2010-05-20$32.86$35.0037.8%10.8%41.3%62.0%42.3%7.3%-1.1%109.3K-4.5M-132.6K2.0644.50N/AN/A479711,28212,379
2010-05-21$33.35$35.0032.4%9.3%41.9%47.0%32.0%9.6%1.5%114.4K-4.6M-129.3K0.6143.36N/AN/A674111,28312,394
2010-05-24$33.62$35.0032.8%9.4%42.2%48.2%32.9%11.7%-0.6%132.5K-6.6M-119.9K0.5646.52N/AN/A147828,75312,204
2010-05-25$33.10$35.0029.1%8.3%42.1%37.9%34.6%5.2%-0.3%128.9K-5.2M-117.1K2.0049.73N/AN/A33668,84712,242
2010-05-26$34.19$35.0032.4%9.3%44.0%46.9%0.0%9.2%-0.7%154.5K-6.2M-132.1K0.2850.57N/AN/A72208,87212,251
2010-05-27$34.97$35.0031.6%9.1%43.7%44.7%31.8%-0.2%0.7%202.9K-8.8M-122.6K0.2713.02N/AN/A51148,92712,261
2010-05-28$35.38$35.0030.9%8.8%38.4%42.7%28.4%2.4%0.8%214.3K-10.4M-120.1K0.9012.11N/AN/A1301178,97412,272