CEG Options History — August 2010

In August 2010, CEG traded between $28.85 and $31.63. ATM implied volatility averaged 26.2%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.1% (HV 20d: 29.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.75.

Notable Days

  • 2010-08-16: Highest Volume — 394 contracts
  • 2010-08-05: Largest IV spike — 11.2% change
  • 2010-08-12: Highest IV Rank — 54.4%
  • 2010-08-12: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.79$28.85$31.63$31.63$29.33
Max Pain$33.41$30.00$35.00$35.00$30.00
ATM IV26.2%24.0%29.1%24.0%24.2%
Expected Move7.5%6.9%8.3%6.9%6.9%
HV 20d29.3%16.3%36.2%35.9%20.2%
HV 60d30.9%27.5%34.2%34.1%27.5%
IV Rank43.0%34.1%54.4%34.1%35.0%
IV Percentile49.9%36.1%67.1%36.1%38.9%
Term Structure2.6%-0.2%11.6%9.5%3.6%
VWIV27.1%24.3%31.1%28.9%24.3%
Skew 25d1.1%-4.8%9.6%9.6%-0.8%
Skew 10d2.0%-4.0%12.5%9.6%-2.3%
Call IV 25d23.3%18.9%25.9%18.9%24.7%
Put IV 25d24.5%20.7%32.7%28.4%23.9%
Bid-Ask Spread %19.009.3157.8923.1624.46
Gamma HHI0.340.280.400.400.38
Net GEX-16.5K-116.0K148.8K148.8K37.7K
Net DEX1.9M-2.0M4.4M-2.0M1.8M
Net VEX-89.1K-102.7K-81.4K-87.0K-83.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0335.5712.600.30
Total Volume145.6361239413635
Total OI23,795.522,74424,58123,68223,069

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$31.63$35.0024.0%6.9%35.9%34.1%28.9%9.6%9.5%148.8K-2.0M-87.0K12.6023.16N/AN/A1012610,72012,962
2010-08-03$31.15$35.0024.3%7.0%36.2%35.2%27.6%8.6%11.6%117.3K-1.4M-87.3K1.7029.41N/AN/A6711410,72113,065
2010-08-04$31.44$35.0025.2%7.2%34.1%38.8%27.6%7.1%7.0%63.7K-728.3K-102.7K2.4522.66N/AN/A225410,72713,177
2010-08-05$30.77$35.0028.0%8.0%34.4%50.0%28.1%6.0%0.2%17.6K590.6K-98.1K35.5714.41N/AN/A724910,72613,184
2010-08-06$30.25$35.0027.8%8.3%33.9%49.2%25.8%2.4%0.1%-30.5K1.9M-95.2K0.2157.89N/AN/A1302710,72913,369
2010-08-09$30.16$35.0027.3%7.8%33.7%47.1%27.2%1.9%0.3%-46.5K1.9M-94.4K0.609.31N/AN/A1428510,75913,373
2010-08-10$30.00$35.0027.6%7.7%33.5%48.3%31.1%1.5%0.7%-68.3K2.4M-91.9K1.3311.64N/AN/A456010,83213,439
2010-08-11$29.30$35.0027.3%7.8%34.0%47.1%28.8%8.8%0.9%-93.8K3.7M-88.2K0.1325.30N/AN/A1832410,80713,396
2010-08-12$29.59$35.0029.1%8.3%34.5%54.4%30.5%8.3%-0.2%-83.6K3.1M-91.2K0.1125.85N/AN/A61710,83513,340
2010-08-13$29.66$35.0026.1%7.5%33.6%42.6%26.1%-0.1%3.2%-88.9K2.6M-91.9K0.1016.55N/AN/A2072110,85613,336
2010-08-16$29.58$35.0027.8%8.0%33.2%49.1%27.8%-1.3%0.6%-95.4K2.9M-90.4K1.0013.05N/AN/A19719710,94813,324
2010-08-17$29.61$35.0027.2%7.8%31.7%47.0%27.2%-1.9%0.9%-109.8K2.7M-90.2K0.0311.31N/AN/A73211,11013,471
2010-08-18$29.75$35.0027.2%7.8%31.3%46.8%27.2%-0.9%1.0%-116.0K2.5M-90.3K0.209.95N/AN/A10211,08813,471
2010-08-19$29.20$35.0027.4%7.9%27.6%47.6%27.4%-3.4%0.9%-89.8K4.4M-85.8K0.3011.36N/AN/A331011,09513,471
2010-08-20$28.90$35.0026.0%7.4%27.3%42.0%26.0%-4.8%1.7%-82.5K4.1M-86.4K0.0611.65N/AN/A2881611,09313,473
2010-08-23$28.93$30.0025.7%7.4%26.8%40.9%25.5%-4.6%1.6%-1.3K2.4M-82.1K0.4713.42N/AN/A1366410,01012,734
2010-08-24$28.85$30.0024.9%7.2%25.7%37.9%24.7%-3.1%2.8%-2.3K2.8M-89.5K0.0821.15N/AN/A26210,10912,793
2010-08-25$29.12$30.0024.6%7.1%22.1%36.6%24.7%-3.4%3.2%22.7K1.9M-85.5K1.0817.51N/AN/A394210,12012,792
2010-08-26$29.13$30.0025.8%7.4%16.3%41.2%25.9%-3.2%2.5%41.4K1.2M-82.9K0.3315.98N/AN/A762510,14712,825
2010-08-27$29.81$30.0024.5%7.0%19.0%36.0%0.0%0.1%3.3%58.6K996.5K-85.2K1.7614.41N/AN/A8414810,16912,803
2010-08-30$29.12$30.0025.4%7.3%20.2%39.8%25.7%-2.2%2.6%38.3K1.5M-81.4K0.0717.61N/AN/A54410,17412,859
2010-08-31$29.33$30.0024.2%6.9%20.2%35.0%24.3%-0.8%3.6%37.7K1.8M-83.6K0.3024.46N/AN/A27810,20612,863