CEG Options History — December 2010

In December 2010, CEG traded between $27.68 and $31.35. ATM implied volatility averaged 22.6%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.9% (HV 20d: 21.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-12-29: Highest Volume — 5,576 contracts
  • 2010-12-13: Largest IV spike — 42.6% change
  • 2010-12-14: Highest IV Rank — 75.4%
  • 2010-12-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.31$27.68$31.35$28.72$30.63
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.6%17.0%34.2%26.9%23.3%
Expected Move6.7%5.7%7.7%7.7%6.7%
HV 20d21.7%18.8%25.2%20.1%24.5%
HV 60d21.6%20.5%23.3%21.2%22.2%
IV Rank29.0%6.7%75.4%46.4%31.6%
IV Percentile26.6%0.8%98.4%62.3%27.8%
Term Structure1.9%-2.5%5.4%-2.5%1.8%
VWIV24.8%18.0%33.2%27.8%23.2%
Skew 25d-1.1%-8.7%5.6%-4.0%-8.7%
Skew 10d-0.4%-11.7%11.2%-2.0%-11.7%
Call IV 25d25.1%18.3%32.2%29.4%32.2%
Put IV 25d24.1%16.4%28.4%25.4%23.5%
Bid-Ask Spread %24.0811.0862.8421.4511.08
Gamma HHI0.330.250.430.300.43
Net GEX-156.3K-272.2K-37.7K-227.0K-168.2K
Net DEX3.1M-3.7M8.2M4.8M-1.3M
Net VEX-48.5K-53.2K-39.3K-51.3K-48.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.005.131.460.42
Total Volume708.955925,576182207
Total OI27,035.59124,97530,64426,67530,644

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$28.72$30.0026.9%7.7%20.1%46.4%27.8%-4.0%-2.5%-227.0K4.8M-51.3K1.4621.45N/AN/A7410811,91514,760
2010-12-02$28.92$30.0020.4%5.9%19.9%20.4%20.5%4.8%5.4%-210.0K4.1M-53.2K0.0552.30N/AN/A6163111,96214,840
2010-12-03$28.80$30.0019.9%5.7%19.4%18.1%0.0%1.7%3.9%-163.1K4.3M-52.2K5.1332.56N/AN/A157712,43114,859
2010-12-06$28.39$30.0017.0%7.4%19.8%6.7%25.6%2.6%2.2%-192.9K5.2M-51.5K0.2527.92N/AN/A1854712,43914,910
2010-12-07$28.30$30.0017.3%6.8%19.8%7.5%33.2%-0.2%2.5%-188.3K5.6M-46.7K0.0020.80N/AN/A3,463012,51814,953
2010-12-08$28.08$30.0019.6%7.0%18.8%16.8%25.4%2.3%1.4%-272.2K8.2M-42.3K0.0220.57N/AN/A1,0051911,59714,953
2010-12-09$28.54$30.0020.7%7.1%19.8%21.3%24.7%3.3%1.7%-170.9K6.1M-51.7K0.5726.02N/AN/A1418012,39514,922
2010-12-10$28.37$30.0018.4%7.0%19.7%12.2%30.9%-7.8%1.8%-199.8K6.6M-49.8K0.1621.36N/AN/A3085012,48314,969
2010-12-13$28.09$30.0026.3%5.9%19.3%43.7%18.0%2.4%1.9%-192.4K7.0M-47.6K0.7524.57N/AN/A836212,74215,010
2010-12-14$28.28$30.0034.2%7.1%19.6%75.4%26.9%2.7%1.7%-174.1K6.6M-51.2K0.4913.88N/AN/A723512,76915,014
2010-12-15$27.68$30.0024.5%7.0%20.6%36.5%24.2%1.2%1.6%-216.7K7.9M-50.1K0.4023.21N/AN/A1194712,83615,010
2010-12-16$28.45$30.0024.0%6.9%22.4%34.7%28.2%3.8%1.5%-181.6K6.6M-48.5K0.6124.60N/AN/A593612,92815,043
2010-12-17$28.75$30.0023.2%6.7%21.7%31.6%23.1%-5.6%2.3%-182.5K5.7M-49.3K1.0212.46N/AN/A19319712,92215,052
2010-12-20$28.81$30.0021.6%6.2%21.3%24.9%21.6%-3.2%1.0%-141.7K4.2M-45.2K0.1324.25N/AN/A2503210,32314,652
2010-12-21$29.62$30.0021.1%6.1%23.5%23.1%21.1%0.9%2.7%-134.3K1.9M-47.2K4.0218.97N/AN/A17369510,35214,653
2010-12-22$30.75$30.0022.7%6.5%25.2%29.3%22.7%-4.3%1.6%-87.4K-1.4M-51.7K0.7615.83N/AN/A28421610,43015,026
2010-12-23$31.09$30.0021.1%6.1%24.7%23.1%21.2%-4.2%2.4%-37.7K-2.9M-52.2K1.1522.90N/AN/A14316410,44315,059
2010-12-27$31.35$30.0023.9%6.9%24.8%34.4%24.0%-4.0%1.8%-61.4K-3.7M-39.4K0.5462.84N/AN/A1729310,48314,990
2010-12-28$31.26$30.0023.9%6.8%23.8%34.1%23.8%5.6%1.6%-96.0K-3.1M-47.4K0.0720.33N/AN/A95710,49215,011
2010-12-29$31.23$30.0025.0%7.2%23.5%38.5%32.1%-6.0%-0.1%-73.8K-3.4M-39.3K0.0115.96N/AN/A5,4987810,53215,004
2010-12-30$30.74$30.0022.1%6.3%24.4%27.0%22.9%-7.4%4.0%-66.1K-1.9M-49.9K0.2915.93N/AN/A2868215,45015,007
2010-12-31$30.63$30.0023.3%6.7%24.5%31.6%23.2%-8.7%1.8%-168.2K-1.3M-48.8K0.4211.08N/AN/A1466115,64015,004