CEG Options History — February 2011

In February 2011, CEG traded between $29.95 and $32.70. ATM implied volatility averaged 27.7%, placing in the 46.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.6% (HV 20d: 21.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.29.

Notable Days

  • 2011-02-28: Highest Volume — 15,341 contracts
  • 2011-02-28: Largest IV spike — 50.8% change
  • 2011-02-04: Highest IV Rank — 100.0%
  • 2011-02-28: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.50$29.95$32.70$32.67$31.07
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV27.7%20.2%42.0%32.6%37.6%
Expected Move7.7%5.5%10.8%9.4%10.8%
HV 20d21.1%19.7%22.7%20.3%22.7%
HV 60d22.0%21.2%22.4%21.7%22.4%
IV Rank46.7%18.2%100.0%69.3%83.6%
IV Percentile56.4%6.7%100.0%95.6%98.4%
Term Structure0.0%-5.7%8.6%-3.0%-4.6%
VWIV28.0%24.8%44.8%27.5%44.8%
Skew 25d0.7%-10.9%6.5%2.3%-10.9%
Skew 10d1.5%-16.7%9.0%2.1%-16.7%
Call IV 25d26.5%19.4%47.0%27.4%47.0%
Put IV 25d27.2%25.2%36.1%29.7%36.1%
Bid-Ask Spread %31.1416.9949.0744.9133.68
Gamma HHI0.490.410.630.560.43
Net GEX489.2K299.1K765.8K690.5K443.0K
Net DEX-8.0M-11.2M-3.9M-10.0M-6.8M
Net VEX-42.0K-56.6K-35.8K-56.6K-41.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.000.870.090.02
Total Volume1,130.1586715,3418515,341
Total OI14,224.68413,48915,94513,52813,982

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$32.67$30.0032.6%9.4%20.3%69.3%27.5%2.3%-3.0%690.5K-10.0M-56.6K0.0944.91N/AN/A7879,6213,907
2011-02-02$31.90$30.0024.3%7.0%21.8%36.0%29.5%-1.5%8.6%564.8K-8.7M-42.4K0.1137.74N/AN/A258299,6323,900
2011-02-03$31.83$30.0030.7%8.8%20.9%61.5%33.4%-5.7%-5.7%540.8K-8.8M-43.0K0.0535.92N/AN/A418209,6913,910
2011-02-04$32.67$30.0042.0%10.2%22.6%100.0%26.2%3.9%2.0%689.7K-10.0M-45.1K0.5847.58N/AN/A2801639,6663,914
2011-02-07$32.70$30.0024.6%5.5%19.8%34.6%27.1%3.3%0.4%765.8K-11.2M-46.6K0.6916.99N/AN/A87609,8053,971
2011-02-08$32.66$30.0020.2%5.9%19.7%18.2%0.0%1.5%-0.4%716.3K-11.1M-45.2K0.0123.96N/AN/A896109,8634,012
2011-02-09$32.30$30.0028.1%7.7%20.2%47.7%0.0%0.5%-0.5%611.0K-10.1M-45.1K0.0420.93N/AN/A175710,5774,006
2011-02-10$31.82$30.0026.0%7.4%20.8%39.9%25.6%1.0%-0.5%522.1K-8.9M-41.0K0.2325.95N/AN/A1323010,6964,011
2011-02-11$31.40$30.0026.4%7.6%21.3%41.5%26.6%-0.2%-0.8%479.4K-8.0M-40.1K0.6926.98N/AN/A684710,7144,038
2011-02-14$31.14$30.0025.5%7.3%20.5%38.2%25.6%-2.5%0.7%418.9K-7.2M-37.7K0.3218.55N/AN/A1605110,7064,061
2011-02-15$31.05$30.0026.7%7.7%20.4%42.7%27.5%-3.3%-0.8%374.6K-7.6M-35.8K0.3226.84N/AN/A58718810,8294,105
2011-02-16$30.84$30.0026.0%7.5%20.5%40.1%27.6%-2.2%0.4%372.2K-7.3M-36.7K0.8731.62N/AN/A1139810,9184,234
2011-02-17$31.25$30.0026.3%7.5%21.1%41.0%26.4%6.5%0.7%342.3K-8.0M-36.0K0.0032.76N/AN/A1,147010,7884,263
2011-02-18$31.30$30.0024.8%7.1%21.2%35.4%24.8%5.8%0.7%417.4K-9.8M-39.2K0.1028.18N/AN/A1521511,6824,263
2011-02-22$31.09$30.0027.4%7.9%21.2%45.2%27.4%5.7%-0.4%381.7K-6.0M-37.9K0.7349.07N/AN/A123909,8213,668
2011-02-23$30.66$30.0025.8%7.4%21.6%39.2%25.8%4.3%0.9%357.4K-5.6M-38.8K0.0519.16N/AN/A6439,9013,726
2011-02-24$29.95$30.0025.5%7.3%22.3%38.2%25.5%1.6%1.8%299.1K-3.9M-44.7K0.5738.09N/AN/A151869,9183,729
2011-02-25$30.18$30.0024.9%7.1%21.1%36.0%25.1%3.0%0.4%307.5K-3.9M-45.2K0.0832.76N/AN/A313269,9463,795
2011-02-28$31.07$30.0037.6%10.8%22.7%83.6%44.8%-10.9%-4.6%443.0K-6.8M-41.2K0.0233.68N/AN/A15,05628510,1613,821