CEG Options History — January 2011

In January 2011, CEG traded between $30.81 and $32.98. ATM implied volatility averaged 25.8%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.6% (HV 20d: 22.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.23.

Notable Days

  • 2011-01-14: Highest Volume — 4,186 contracts
  • 2011-01-13: Largest IV spike — 54.6% change
  • 2011-01-20: Highest IV Rank — 65.0%
  • 2011-01-20: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.87$30.81$32.98$30.85$32.25
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.8%15.4%31.6%23.3%22.3%
Expected Move7.8%6.4%9.1%6.7%6.4%
HV 20d22.2%17.3%26.0%24.4%20.0%
HV 60d22.5%21.6%23.3%21.9%21.6%
IV Rank41.7%0.1%65.0%31.6%27.9%
IV Percentile52.7%0.4%90.9%27.8%14.7%
Term Structure-0.4%-22.0%10.0%1.5%10.0%
VWIV26.5%20.0%31.6%23.3%20.0%
Skew 25d1.6%-5.5%6.0%5.7%0.3%
Skew 10d3.3%-1.0%12.5%12.1%-0.0%
Call IV 25d25.5%19.0%29.6%19.0%26.2%
Put IV 25d27.1%24.1%31.1%24.6%26.5%
Bid-Ask Spread %29.4511.7853.0211.7839.06
Gamma HHI0.460.370.600.430.54
Net GEX209.8K-150.2K634.3K-150.2K634.3K
Net DEX-7.9M-14.0M-2.1M-2.1M-9.8M
Net VEX-41.2K-47.5K-32.7K-47.5K-46.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.0011.130.050.02
Total Volume598.9254,186176242
Total OI26,105.410,53335,08430,71613,523

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$30.85$30.0023.3%6.7%24.4%31.6%23.3%5.7%1.5%-150.2K-2.1M-47.5K0.0511.78N/AN/A168815,67815,038
2011-01-04$31.32$30.0026.0%7.5%23.8%42.6%26.1%6.0%-0.5%-62.6K-3.4M-47.0K0.8116.40N/AN/A34828215,75715,043
2011-01-05$30.81$30.0023.9%6.8%24.8%34.1%23.9%3.9%2.4%-132.1K-2.5M-38.9K11.1317.26N/AN/A2325616,04315,147
2011-01-06$31.01$30.0024.7%7.1%24.4%37.5%24.8%3.4%1.5%-130.6K-2.5M-47.2K3.0812.57N/AN/A11635716,05715,145
2011-01-07$32.01$30.0022.5%7.6%26.0%28.4%24.9%1.8%1.1%94.7K-5.5M-38.7K0.0721.37N/AN/A7595616,14015,400
2011-01-10$31.95$30.0024.8%8.0%25.8%37.8%26.7%1.7%0.2%63.1K-5.8M-38.9K0.0516.93N/AN/A3151516,41715,444
2011-01-11$31.89$30.0015.4%7.6%25.2%0.1%26.5%0.2%0.0%95.4K-7.2M-33.3K0.0024.16N/AN/A42016,43715,452
2011-01-12$31.72$30.0017.7%7.6%25.6%9.2%26.6%0.6%0.1%63.8K-6.9M-32.7K1.2038.40N/AN/A9811816,42415,452
2011-01-13$31.53$30.0027.3%7.8%23.9%47.9%0.0%1.0%-0.2%-39.8K-5.1M-35.9K0.0220.42N/AN/A293716,40615,441
2011-01-14$32.05$30.0029.1%8.3%23.0%55.0%28.3%2.7%-0.1%105.7K-7.1M-34.0K0.0134.67N/AN/A4,1464016,41015,448
2011-01-18$32.17$30.0028.9%8.3%22.9%54.3%28.7%1.3%-0.1%380.2K-14.0M-45.3K0.0019.33N/AN/A171019,59615,488
2011-01-19$32.06$30.0029.5%8.5%23.1%56.8%29.0%1.0%-0.9%408.9K-13.6M-43.6K0.1924.18N/AN/A1472819,54215,488
2011-01-20$32.16$30.0031.6%9.1%21.5%65.0%31.6%3.8%-3.4%416.1K-13.8M-43.0K0.6539.33N/AN/A805219,53115,465
2011-01-21$32.07$30.0027.2%7.8%17.7%47.4%27.3%0.0%1.1%397.0K-13.7M-42.6K4.2429.98N/AN/A4217819,52115,515
2011-01-24$32.14$30.0028.6%8.2%17.4%53.0%28.7%-0.2%0.9%392.5K-8.7M-41.4K0.8539.93N/AN/A87746,8033,730
2011-01-25$32.00$30.0028.4%8.2%17.3%52.5%0.0%2.9%-0.8%385.4K-8.5M-41.7K0.6753.02N/AN/A15106,8743,783
2011-01-26$32.34$30.0024.9%7.2%17.6%38.4%26.2%2.7%4.4%388.7K-9.0M-40.6K0.1336.78N/AN/A230296,8473,783
2011-01-27$32.98$30.0027.7%7.9%18.6%49.3%27.6%-0.9%-2.8%460.7K-9.9M-43.8K1.4043.71N/AN/A1091537,0443,800
2011-01-28$32.16$30.0031.5%9.0%20.1%64.6%0.0%-5.5%-22.0%425.7K-8.7M-41.8K0.0449.65N/AN/A2,7841007,0923,904
2011-01-31$32.25$30.0022.3%6.4%20.0%27.9%20.0%0.3%10.0%634.3K-9.8M-46.1K0.0239.06N/AN/A23759,6213,902