CEG Options History — June 2010

In June 2010, CEG traded between $32.25 and $36.81. ATM implied volatility averaged 30.4%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 3.9% (HV 20d: 34.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.31.

Notable Days

  • 2010-06-24: Highest Volume — 1,174 contracts
  • 2010-06-30: Largest IV spike — 38.2% change
  • 2010-06-30: Highest IV Rank — 78.3%
  • 2010-06-30: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.15$32.25$36.81$34.66$32.25
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.4%25.7%40.3%32.9%40.3%
Expected Move8.8%7.4%11.6%9.4%11.6%
HV 20d34.3%27.9%41.0%37.4%27.9%
HV 60d32.9%31.1%33.8%31.1%33.3%
IV Rank45.2%32.4%78.3%48.3%78.3%
IV Percentile63.1%41.7%99.2%77.8%99.2%
Term Structure0.2%-16.1%4.0%0.8%-16.1%
VWIV28.8%19.4%37.3%31.3%31.8%
Skew 25d3.7%-3.1%14.3%-3.1%-2.6%
Skew 10d6.5%-5.3%25.3%-0.2%5.9%
Call IV 25d26.1%17.4%34.1%28.1%34.1%
Put IV 25d29.8%22.3%38.1%25.0%31.5%
Bid-Ask Spread %19.577.4733.069.5133.06
Gamma HHI0.370.300.510.300.38
Net GEX270.4K189.3K342.5K197.4K189.4K
Net DEX-11.3M-15.4M-4.5M-9.2M-4.5M
Net VEX-104.7K-124.2K-91.1K-123.9K-122.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.0032.070.241.39
Total Volume192.95541,174102122
Total OI21,905.27321,37223,33421,37223,334

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$34.66$35.0032.9%9.4%37.4%48.3%0.0%-3.1%0.8%197.4K-9.2M-123.9K0.249.51N/AN/A82209,05512,317
2010-06-02$35.73$35.0032.7%9.4%39.0%47.9%0.0%4.6%-0.0%311.2K-12.4M-92.7K1.0012.79N/AN/A229,07312,312
2010-06-03$36.07$35.0031.3%9.0%38.7%44.0%31.3%7.7%0.6%323.2K-13.2M-92.9K0.2516.85N/AN/A44119,07412,310
2010-06-04$34.57$35.0033.9%9.8%40.8%51.1%29.9%4.9%-1.9%211.3K-9.1M-112.6K0.1625.87N/AN/A63109,09612,310
2010-06-07$34.94$35.0033.3%9.6%41.0%49.5%30.6%6.0%-1.0%272.7K-10.4M-103.7K0.2724.33N/AN/A2269,10812,320
2010-06-08$34.74$35.0032.2%9.7%37.3%46.6%33.7%14.3%-0.5%189.3K-9.0M-124.2K0.1313.05N/AN/A78109,12312,324
2010-06-09$34.76$35.0031.6%9.5%37.2%50.1%33.0%12.0%-0.2%217.4K-9.9M-109.3K0.0532.06N/AN/A2019,15412,324
2010-06-10$35.42$35.0031.6%9.1%37.0%50.2%0.0%3.0%0.2%304.4K-12.6M-92.2K3.2121.14N/AN/A672159,17212,325
2010-06-11$35.59$35.0031.4%9.0%37.0%49.6%19.4%4.0%0.7%261.7K-11.8M-108.5K0.0530.26N/AN/A8049,23212,503
2010-06-14$35.96$35.0030.3%8.7%37.3%46.2%30.3%-1.4%1.2%333.0K-14.2M-92.4K0.1523.43N/AN/A65109,31012,502
2010-06-15$36.62$35.0030.3%8.7%37.8%46.2%0.0%0.7%1.7%335.3K-15.0M-99.4K0.0025.96N/AN/A5409,34712,507
2010-06-16$36.62$35.0030.1%8.6%35.7%45.7%30.1%1.0%1.4%283.4K-14.2M-108.0K0.1516.50N/AN/A74119,35812,507
2010-06-17$36.81$35.0027.6%7.9%34.9%37.9%23.9%4.2%3.2%324.1K-15.4M-92.0K0.0426.00N/AN/A11159,40512,518
2010-06-18$36.64$35.0028.3%8.1%27.9%40.5%28.2%12.2%1.2%342.5K-15.3M-91.1K1.1718.23N/AN/A1992329,43112,513
2010-06-21$36.36$35.0027.5%7.9%28.1%38.1%27.2%9.2%-0.4%315.0K-14.3M-91.6K6.5716.48N/AN/A543559,01812,461
2010-06-22$34.95$35.0027.4%7.8%32.0%37.6%24.8%1.7%1.4%207.6K-10.5M-103.2K1.087.47N/AN/A2352539,02612,638
2010-06-23$34.73$35.0026.8%7.7%31.5%35.9%26.8%0.7%2.4%230.7K-10.0M-103.1K0.5014.13N/AN/A849,13412,746
2010-06-24$34.33$35.0027.9%8.0%29.8%39.2%27.9%-1.5%1.9%231.4K-9.8M-102.1K0.1216.08N/AN/A1,0511239,13712,746
2010-06-25$34.31$35.0025.7%7.4%28.6%32.4%25.7%-1.6%4.0%272.3K-9.5M-123.5K0.5013.30N/AN/A221110,16312,867
2010-06-28$34.16$35.0026.6%7.6%28.2%35.2%26.6%-1.7%3.5%341.6K-10.8M-107.1K1.7113.25N/AN/A172910,17912,878
2010-06-29$33.09$35.0029.2%8.4%29.5%43.4%37.3%7.2%1.0%253.0K-7.1M-107.8K32.0720.76N/AN/A1444910,19012,869
2010-06-30$32.25$35.0040.3%11.6%27.9%78.3%31.8%-2.6%-16.1%189.4K-4.5M-122.2K1.3933.06N/AN/A517110,18213,152