CEG Options History — September 2010

In September 2010, CEG traded between $30.36 and $32.56. ATM implied volatility averaged 27.5%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.8% (HV 20d: 24.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2010-09-08: Highest Volume — 4,136 contracts
  • 2010-09-30: Largest IV spike — 46.6% change
  • 2010-09-30: Highest IV Rank — 67.4%
  • 2010-09-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.36$30.36$32.56$30.57$32.24
Max Pain$30.71$30.00$35.00$30.00$30.00
ATM IV27.5%22.1%32.4%25.9%32.4%
Expected Move8.0%6.3%9.3%7.4%9.3%
HV 20d24.7%19.9%26.6%25.3%19.9%
HV 60d28.5%26.8%29.2%28.9%26.8%
IV Rank48.0%26.6%67.4%41.7%67.4%
IV Percentile62.5%21.4%92.1%52.0%92.1%
Term Structure1.2%-3.3%4.1%4.1%-3.3%
VWIV27.4%19.2%33.0%25.9%33.0%
Skew 25d2.4%-5.8%17.1%17.1%9.7%
Skew 10d2.8%-10.4%29.8%29.8%15.1%
Call IV 25d25.3%17.0%30.9%22.6%20.2%
Put IV 25d27.7%23.1%39.8%39.8%29.9%
Bid-Ask Spread %23.3511.2991.2991.2925.62
Gamma HHI0.530.410.670.600.56
Net GEX225.3K138.3K348.5K217.0K274.0K
Net DEX-4.4M-6.9M-1.4M-2.4M-6.3M
Net VEX-71.9K-89.4K-60.4K-60.4K-64.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.007.660.320.01
Total Volume368.952254,136144117
Total OI23,336.52422,72523,86923,08023,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$30.57$30.0025.9%7.4%25.3%41.7%25.9%17.1%4.1%217.0K-2.4M-60.4K0.3291.29N/AN/A1093510,20912,871
2010-09-02$30.98$30.0027.1%7.8%24.7%46.5%0.0%10.6%0.9%218.9K-2.8M-73.3K0.5120.49N/AN/A512610,26312,890
2010-09-03$31.11$35.0023.4%8.0%23.8%32.0%21.9%7.1%2.0%250.2K-4.1M-62.7K0.0411.29N/AN/A78310,21212,888
2010-09-07$30.36$35.0026.9%7.8%25.5%45.7%19.2%2.5%2.6%138.3K-1.4M-78.9K0.1015.62N/AN/A2262310,24612,888
2010-09-08$30.39$35.0025.4%8.6%25.4%39.8%30.9%-5.8%0.1%166.0K-2.4M-81.4K0.0315.90N/AN/A4,00812810,32712,877
2010-09-09$30.77$30.0029.1%8.4%24.0%54.4%30.0%-4.9%1.2%186.5K-2.9M-80.8K0.0011.76N/AN/A548010,93112,938
2010-09-10$31.06$30.0028.0%8.0%24.0%49.8%28.0%-3.1%2.3%170.5K-3.0M-89.4K1.4914.05N/AN/A7210710,79812,853
2010-09-13$31.24$30.0029.6%8.5%24.0%56.3%29.9%-2.0%0.6%218.5K-4.9M-80.5K4.0017.35N/AN/A176810,82112,893
2010-09-14$30.99$30.0029.1%8.4%24.3%54.4%29.1%-4.3%0.9%199.5K-4.1M-80.0K0.4617.25N/AN/A241110,81212,904
2010-09-15$31.44$30.0028.9%8.3%24.6%53.7%28.9%-1.3%0.5%204.8K-5.0M-77.2K0.1418.95N/AN/A22310,81212,915
2010-09-16$30.65$30.0028.1%8.1%26.6%50.4%28.1%-4.9%0.9%201.5K-3.3M-74.3K0.1927.51N/AN/A1412710,81812,912
2010-09-17$30.81$30.0028.7%8.2%25.5%52.8%28.7%-3.9%0.7%167.7K-3.7M-76.7K0.0625.26N/AN/A85510,88312,925
2010-09-20$31.23$30.0028.1%8.1%25.3%50.6%28.2%7.6%0.8%178.0K-3.5M-74.4K4.9813.09N/AN/A5929410,10112,624
2010-09-21$31.27$30.0025.9%7.4%25.3%41.4%24.2%7.2%3.4%191.0K-4.0M-68.5K0.6116.88N/AN/A442710,11712,755
2010-09-22$32.00$30.0027.0%7.7%26.1%46.0%23.8%8.9%3.2%250.9K-5.6M-65.6K0.5816.01N/AN/A20411910,13812,760
2010-09-23$32.04$30.0029.3%8.4%26.1%55.0%29.8%-1.3%0.9%271.5K-6.1M-63.2K0.7022.24N/AN/A574010,21312,797
2010-09-24$32.28$30.0027.1%7.8%26.0%46.5%29.0%2.1%3.9%293.0K-6.7M-64.3K5.4425.65N/AN/A5228310,22912,797
2010-09-27$32.08$30.0029.3%8.4%25.4%55.2%28.1%-2.6%-1.3%262.2K-6.2M-63.0K0.6125.96N/AN/A382310,27213,065
2010-09-28$32.56$30.0025.9%7.4%23.6%41.5%25.0%8.2%0.5%348.5K-6.9M-65.8K0.0828.02N/AN/A1551210,28713,070
2010-09-29$32.52$30.0022.1%6.3%23.7%26.6%26.8%3.3%0.0%322.3K-6.8M-64.1K7.6630.07N/AN/A4736010,27713,077
2010-09-30$32.24$30.0032.4%9.3%19.9%67.4%33.0%9.7%-3.3%274.0K-6.3M-64.4K0.0125.62N/AN/A116110,27413,328