CEG Options History — November 2010

In November 2010, CEG traded between $28.36 and $30.77. ATM implied volatility averaged 26.0%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 4.4% (HV 20d: 21.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2010-11-02: Highest Volume — 901 contracts
  • 2010-11-30: Largest IV drop — 23.4% change
  • 2010-11-15: Highest IV Rank — 53.9%
  • 2010-11-15: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.42$28.36$30.77$29.42$28.36
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.0%20.4%28.8%28.4%20.4%
Expected Move7.6%5.9%8.3%8.1%5.9%
HV 20d21.6%19.4%24.1%19.4%22.0%
HV 60d22.7%21.5%23.5%22.3%21.6%
IV Rank42.6%20.3%53.9%51.4%20.3%
IV Percentile53.6%9.9%78.6%72.6%9.9%
Term Structure0.5%-1.6%2.5%1.6%1.7%
VWIV29.2%24.0%58.2%28.4%58.2%
Skew 25d-2.2%-10.4%9.4%-1.9%-10.4%
Skew 10d-0.3%-12.2%18.5%-1.3%-2.5%
Call IV 25d26.1%22.3%30.2%25.8%30.1%
Put IV 25d23.8%19.6%33.2%23.9%19.6%
Bid-Ask Spread %23.1511.0638.7529.9530.00
Gamma HHI0.430.290.730.440.32
Net GEX73.0K-226.0K333.7K171.9K-138.5K
Net DEX1.1M-4.6M5.4M-279.7K4.2M
Net VEX-58.6K-74.6K-46.9K-68.5K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.159.061.481.47
Total Volume220.6671490146337
Total OI31,838.04826,41734,58233,52526,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$29.42$30.0028.4%8.1%19.4%51.4%28.4%-1.9%1.6%171.9K-279.7K-68.5K1.4829.95N/AN/A18727619,12714,398
2010-11-02$30.20$30.0027.0%7.7%21.5%46.0%27.0%3.0%0.8%264.4K-2.5M-74.6K0.2119.06N/AN/A74215919,23714,664
2010-11-03$30.51$30.0026.3%7.5%22.0%43.8%0.0%9.4%1.2%333.7K-4.0M-71.1K0.4038.75N/AN/A431719,58014,632
2010-11-04$30.77$30.0024.0%6.9%21.3%34.6%24.0%2.4%2.5%264.4K-4.6M-60.3K3.6611.06N/AN/A4416119,00614,633
2010-11-05$30.72$30.0025.6%7.8%21.1%40.9%27.3%-4.3%-0.0%249.6K-4.2M-58.0K0.3320.23N/AN/A862819,00014,650
2010-11-08$30.58$30.0024.6%7.5%21.0%36.9%26.1%-4.6%1.6%252.8K-4.0M-57.0K0.6428.14N/AN/A1117119,04314,654
2010-11-09$29.95$30.0024.6%7.7%21.8%37.1%28.8%-7.6%1.1%230.1K-1.9M-55.2K0.5431.22N/AN/A522819,05214,668
2010-11-10$29.62$30.0024.0%7.7%21.3%34.6%26.9%-2.1%0.5%164.6K278.2K-62.1K1.9514.60N/AN/A397619,04614,677
2010-11-11$29.38$30.0027.0%7.7%21.2%46.4%26.9%-3.8%0.3%121.3K1.6M-61.5K0.2015.43N/AN/A2434919,06314,726
2010-11-12$28.94$30.0028.3%8.1%21.4%51.9%29.6%-6.7%-0.0%87.1K2.5M-60.5K0.2321.94N/AN/A2094819,24514,760
2010-11-15$28.92$30.0028.8%8.3%21.0%53.9%30.9%-7.2%-0.9%97.2K2.6M-59.0K0.1725.39N/AN/A721219,40414,802
2010-11-16$28.63$30.0028.6%8.2%19.7%53.2%25.9%3.4%-1.6%-8.7K4.1M-56.4K1.6131.61N/AN/A7612219,46514,807
2010-11-17$29.04$30.0027.0%7.7%20.4%46.6%30.9%6.3%0.6%67.8K3.1M-58.9K9.0626.49N/AN/A3128119,49714,843
2010-11-18$29.57$30.0027.2%7.8%21.6%47.4%27.2%0.0%0.1%296.1K1.0M-58.3K3.5820.67N/AN/A7125419,51214,871
2010-11-19$29.17$30.0026.0%7.4%21.7%42.5%26.0%-2.2%0.4%70.0K3.1M-55.4K1.0023.75N/AN/A7719,53215,050
2010-11-22$29.05$30.0024.8%7.1%21.7%38.0%24.8%-2.4%0.4%-105.8K2.7M-52.1K1.3021.52N/AN/A668611,81514,616
2010-11-23$28.42$30.0026.3%7.5%22.6%43.8%35.0%-9.0%-0.5%-215.3K5.4M-56.9K0.2325.45N/AN/A621411,81714,600
2010-11-24$28.96$30.0025.6%7.4%24.1%41.2%27.1%-2.9%1.2%-224.7K4.2M-53.0K0.1516.94N/AN/A891311,83314,602
2010-11-26$29.00$30.0025.2%7.2%24.0%39.4%25.4%-2.1%0.2%-219.8K4.0M-51.7K0.2217.56N/AN/A4129011,86314,607
2010-11-29$28.54$30.0026.7%7.6%23.7%45.2%26.6%-3.9%-0.6%-226.0K5.2M-53.0K1.9116.39N/AN/A5610711,89014,648
2010-11-30$28.36$30.0020.4%5.9%22.0%20.3%58.2%-10.4%1.7%-138.5K4.2M-46.9K1.4730.00N/AN/A152211,91914,745