CEG Options History — October 2010

In October 2010, CEG traded between $30.24 and $32.93. ATM implied volatility averaged 27.3%, placing in the 47.2% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 6.1% (HV 20d: 21.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.39.

Notable Days

  • 2010-10-25: Highest Volume — 8,546 contracts
  • 2010-10-12: Largest IV spike — 38.9% change
  • 2010-10-13: Highest IV Rank — 89.2%
  • 2010-10-27: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.85$30.24$32.93$32.42$30.24
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV27.3%20.3%37.9%25.1%24.5%
Expected Move7.9%6.9%8.9%7.2%7.0%
HV 20d21.2%19.0%23.9%19.5%21.1%
HV 60d25.3%21.8%27.8%26.7%21.8%
IV Rank47.2%19.3%89.2%38.7%36.2%
IV Percentile58.7%9.9%98.8%45.2%40.1%
Term Structure1.2%-1.2%9.0%9.0%3.1%
VWIV28.3%23.5%34.3%27.0%24.6%
Skew 25d0.4%-8.0%10.6%10.6%-8.0%
Skew 10d-0.1%-13.8%13.6%13.6%-11.9%
Call IV 25d27.8%17.6%37.5%17.6%31.7%
Put IV 25d28.2%23.7%31.6%28.3%23.7%
Bid-Ask Spread %23.9614.1734.2522.4628.94
Gamma HHI0.590.420.770.570.51
Net GEX288.5K132.0K508.3K288.8K272.5K
Net DEX-6.2M-9.1M-3.2M-6.6M-3.2M
Net VEX-64.1K-77.1K-56.6K-64.6K-72.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.0025.000.020.98
Total Volume961.81268,546123400
Total OI25,483.66722,03833,46423,65133,464

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$32.42$30.0025.1%7.2%19.5%38.7%0.0%10.6%9.0%288.8K-6.6M-64.6K0.0222.46N/AN/A121210,32313,328
2010-10-04$31.25$30.0028.2%8.8%23.9%50.9%27.0%0.9%0.7%149.6K-3.6M-69.3K4.6230.90N/AN/A4721710,26913,330
2010-10-05$31.56$30.0027.2%8.6%22.3%47.0%0.0%0.9%-0.6%152.9K-3.8M-73.3K12.3316.61N/AN/A4555510,29413,445
2010-10-06$31.46$30.0022.6%8.3%22.3%28.5%28.9%-0.4%-0.3%132.0K-3.6M-71.8K0.0614.50N/AN/A2,15613410,29913,736
2010-10-07$31.97$30.0020.3%8.4%22.6%19.3%0.0%0.8%0.1%221.4K-5.1M-70.8K0.5014.17N/AN/A1055210,38313,809
2010-10-08$32.15$30.0021.9%8.4%22.5%25.7%27.5%3.4%-0.5%208.4K-5.2M-71.1K0.5517.54N/AN/A603310,08113,854
2010-10-11$32.30$30.0025.8%8.1%22.5%41.1%27.3%1.2%1.8%252.6K-6.4M-57.6K0.1018.58N/AN/A1,07111110,08213,873
2010-10-12$32.44$30.0035.8%8.0%22.2%80.7%0.0%2.9%2.2%306.3K-6.9M-61.4K25.0023.41N/AN/A12510,53613,957
2010-10-13$32.73$30.0037.9%6.9%21.9%89.2%24.4%3.0%1.1%280.6K-6.8M-58.2K0.0227.24N/AN/A50110,03613,979
2010-10-14$32.80$30.0026.0%7.4%19.3%42.0%26.7%1.7%-0.4%283.7K-6.9M-57.2K0.0026.20N/AN/A210110,02013,978
2010-10-15$32.74$30.0026.8%7.7%19.4%45.3%30.4%2.9%-1.2%280.2K-7.0M-56.6K1.1430.21N/AN/A51659010,00813,977
2010-10-18$32.93$30.0024.3%7.0%19.0%35.5%30.8%5.1%1.1%318.2K-7.5M-59.0K0.7122.66N/AN/A1931389,01813,020
2010-10-19$32.05$30.0028.9%8.3%21.8%53.5%28.8%1.8%1.6%242.1K-6.4M-57.0K0.1823.94N/AN/A1,0971969,15813,140
2010-10-20$32.28$30.0027.9%8.0%20.3%49.6%23.5%4.0%1.1%343.6K-9.1M-62.1K0.9324.55N/AN/A706510,17813,248
2010-10-21$31.77$30.0027.4%7.8%21.1%47.5%26.6%1.7%2.6%322.7K-8.0M-57.9K0.3234.25N/AN/A591910,24413,313
2010-10-22$31.38$30.0025.1%7.2%21.3%38.5%25.1%-0.4%3.3%298.0K-6.8M-56.8K1.2516.48N/AN/A54467810,27813,310
2010-10-25$31.24$30.0029.0%8.3%21.3%53.9%34.3%-4.9%-0.5%313.1K-7.0M-60.2K0.0422.33N/AN/A8,19635010,71313,713
2010-10-26$31.21$30.0029.8%8.6%20.4%57.3%31.6%-2.9%-0.3%490.8K-7.0M-65.1K0.4232.92N/AN/A75531918,45813,937
2010-10-27$31.13$30.0030.9%8.9%20.4%61.4%33.6%-8.0%-0.3%508.3K-7.2M-67.2K0.5530.89N/AN/A36219819,00014,104
2010-10-28$30.84$30.0028.1%8.1%20.4%50.4%29.3%-7.4%1.1%392.7K-5.9M-77.1K0.5524.43N/AN/A29516119,11214,152
2010-10-29$30.24$30.0024.5%7.0%21.1%36.2%24.6%-8.0%3.1%272.5K-3.2M-72.4K0.9828.94N/AN/A20219819,19314,271