CEG Options History — July 2010

In July 2010, CEG traded between $31.21 and $34.91. ATM implied volatility averaged 25.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.8% (HV 20d: 29.4%). 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 14 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2010-07-20: Highest Volume — 1,629 contracts
  • 2010-07-14: Largest IV spike — 77.5% change
  • 2010-07-16: Highest IV Rank — 57.1%
  • 2010-07-06: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.07$31.21$34.91$31.67$31.60
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.6%18.3%33.4%33.4%25.3%
Expected Move7.9%5.7%9.8%9.6%7.3%
HV 20d29.4%24.3%36.9%27.7%36.3%
HV 60d33.9%32.4%35.0%33.4%34.4%
IV Rank36.3%9.2%57.1%56.7%39.4%
IV Percentile42.9%2.4%87.3%87.3%43.7%
Term Structure1.8%-3.1%20.0%3.1%20.0%
VWIV28.5%24.3%34.3%25.8%28.1%
Skew 25d5.6%-7.5%10.0%10.0%9.1%
Skew 10d8.4%-3.0%15.4%15.4%8.8%
Call IV 25d25.6%19.1%32.3%23.7%19.1%
Put IV 25d31.2%17.7%36.5%33.7%28.2%
Bid-Ask Spread %25.0812.7557.5218.7527.45
Gamma HHI0.490.350.690.360.38
Net GEX308.4K118.3K581.6K144.4K145.8K
Net DEX-6.5M-13.1M-2.1M-3.1M-2.4M
Net VEX-106.1K-120.4K-88.2K-119.4K-96.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.0014.331.690.28
Total Volume371.238191,629258554
Total OI23,344.57122,41124,06223,43323,295

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$31.67$35.0033.4%9.6%27.7%56.7%25.8%10.0%3.1%144.4K-3.1M-119.4K1.6918.75N/AN/A9616210,21013,223
2010-07-02$31.21$35.0030.0%8.6%24.5%46.1%30.4%6.0%4.0%118.3K-2.2M-116.3K1.5518.08N/AN/A9815210,29313,332
2010-07-06$31.48$35.0028.3%9.8%24.3%40.7%34.3%4.2%-0.2%126.8K-2.1M-114.3K0.1732.86N/AN/A601010,36013,413
2010-07-07$32.56$35.0025.2%8.3%28.0%30.9%32.0%0.3%-1.0%191.6K-3.7M-118.1K0.1343.84N/AN/A1351810,40713,413
2010-07-08$32.94$35.0018.5%8.5%28.4%10.0%30.2%4.5%-0.6%253.0K-5.3M-102.5K0.0313.49N/AN/A125410,42513,419
2010-07-09$33.51$35.0025.3%8.4%28.3%31.1%31.1%8.5%-0.4%302.7K-7.9M-101.1K14.3322.21N/AN/A34310,44613,423
2010-07-12$33.68$35.0020.1%8.5%28.3%14.9%31.7%8.8%-0.1%260.4K-6.8M-118.8K0.5012.75N/AN/A281410,44913,456
2010-07-13$33.82$35.0018.3%8.0%28.0%9.2%27.8%8.2%1.8%299.4K-7.5M-114.6K0.0240.68N/AN/A102210,45113,461
2010-07-14$33.80$35.0032.5%8.2%26.9%53.8%28.7%8.0%1.0%293.1K-7.6M-103.8K0.1419.67N/AN/A1532210,44313,461
2010-07-15$33.52$35.0028.6%8.2%26.9%41.7%33.0%8.2%0.9%272.7K-6.6M-115.0K0.3518.06N/AN/A782710,58413,478
2010-07-16$32.59$35.0029.8%8.5%27.9%57.1%29.7%3.5%-0.1%255.0K-4.8M-114.1K0.5715.55N/AN/A74542510,63313,417
2010-07-19$32.91$35.0025.8%7.4%28.4%41.3%26.5%6.5%0.8%281.7K-6.2M-120.4K0.2117.44N/AN/A3888110,07912,332
2010-07-20$33.65$35.0024.2%6.9%30.1%34.9%24.3%7.0%3.0%461.5K-8.4M-102.1K0.0631.57N/AN/A1,5319810,29312,387
2010-07-21$32.89$35.0019.9%5.7%27.9%18.0%29.6%5.7%1.8%385.8K-6.8M-102.7K0.7319.55N/AN/A15411210,50812,396
2010-07-22$34.10$35.0025.1%7.2%31.2%38.5%25.1%8.9%1.6%440.6K-9.4M-104.8K0.5125.67N/AN/A34317510,23812,403
2010-07-23$34.15$35.0024.8%7.1%30.9%37.4%24.8%7.4%1.5%522.7K-10.7M-90.9K0.0025.24N/AN/A41010,30712,478
2010-07-26$34.46$35.0025.8%7.4%31.1%41.1%25.8%9.1%0.5%551.2K-11.3M-88.2K0.2729.61N/AN/A15410,29012,478
2010-07-27$34.91$35.0025.6%7.3%31.3%40.5%25.6%2.2%0.8%581.6K-13.1M-89.2K0.9118.79N/AN/A13912610,29112,481
2010-07-28$33.28$35.0024.4%7.0%34.0%35.9%24.6%-7.5%1.5%444.1K-7.9M-94.8K0.9717.99N/AN/A34633510,32812,510
2010-07-29$31.75$35.0026.3%7.5%36.9%43.3%28.1%-0.5%-3.1%142.9K-2.7M-101.3K0.6757.52N/AN/A50934310,22212,723
2010-07-30$31.60$35.0025.3%7.3%36.3%39.4%0.0%9.1%20.0%145.8K-2.4M-96.0K0.2827.45N/AN/A43212210,41312,882