CEG Options History — March 2011

In March 2011, CEG traded between $30.19 and $32.45. ATM implied volatility averaged 33.4%, placing in the 67.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 7.8% (HV 20d: 25.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 5.99.

Notable Days

  • 2011-03-25: Highest Volume — 3,658 contracts
  • 2011-03-09: Largest IV spike — 17.2% change
  • 2011-03-16: Highest IV Rank — 89.1%
  • 2011-03-16: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.99$30.19$32.45$30.86$31.13
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV33.4%28.0%39.1%36.2%28.0%
Expected Move9.5%8.0%11.2%10.4%8.0%
HV 20d25.5%19.1%29.7%22.7%26.9%
HV 60d23.2%22.4%24.7%22.4%23.1%
IV Rank67.7%47.6%89.1%78.2%47.6%
IV Percentile89.0%62.3%99.2%98.0%62.3%
Term Structure-3.5%-8.2%-0.8%-3.3%-0.8%
VWIV33.6%28.5%39.0%38.2%28.5%
Skew 25d-4.1%-13.1%10.3%-13.1%-4.9%
Skew 10d-6.1%-19.6%14.1%-19.2%-5.9%
Call IV 25d35.2%19.5%48.1%48.1%33.4%
Put IV 25d31.1%24.9%36.1%35.0%28.5%
Bid-Ask Spread %28.9712.4956.0222.7112.49
Gamma HHI0.430.320.640.450.36
Net GEX432.7K-34.1K905.7K702.3K-34.1K
Net DEX-7.1M-13.7M-1.4M-9.9M-2.6M
Net VEX-48.8K-63.0K-36.8K-55.4K-53.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.02106.590.143.81
Total Volume537.957303,6581,00377
Total OI18,744.21715,06420,36119,21919,053

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$30.86$30.0036.2%10.4%22.7%78.2%38.2%-13.1%-3.3%702.3K-9.9M-55.4K0.1422.71N/AN/A88112215,1894,030
2011-03-02$30.53$30.0036.7%10.5%22.2%80.2%37.0%-12.8%-1.4%624.7K-8.4M-63.0K1.5947.18N/AN/A12119315,4304,139
2011-03-03$30.85$30.0035.6%10.2%21.3%75.9%35.6%-10.5%-2.9%672.3K-9.5M-55.8K0.4619.23N/AN/A2039315,4664,306
2011-03-04$30.39$30.0031.7%9.4%21.8%61.3%32.9%-10.5%-5.0%493.9K-5.9M-46.5K3.1940.55N/AN/A11436415,4554,397
2011-03-07$30.40$30.0033.7%9.2%19.1%68.9%32.0%-7.3%-2.9%412.9K-5.1M-52.6K0.0219.11N/AN/A386715,4384,761
2011-03-08$30.90$30.0032.0%9.2%20.3%62.4%34.9%0.8%-2.9%580.5K-8.9M-59.4K0.5356.02N/AN/A1568215,3424,767
2011-03-09$31.44$30.0037.5%9.4%21.6%83.2%33.9%-0.1%-3.8%630.0K-10.4M-52.5K0.1828.21N/AN/A2895115,3424,810
2011-03-10$31.26$30.0031.3%9.0%21.3%59.7%31.3%-5.6%-2.2%529.0K-8.7M-46.7K3.1131.18N/AN/A288715,3284,846
2011-03-11$32.45$30.0035.1%10.1%24.8%74.2%34.7%-0.9%-5.1%905.7K-13.7M-56.6K0.0827.11N/AN/A2,85622415,3304,838
2011-03-14$32.16$30.0035.1%10.1%24.5%74.3%35.9%0.7%-3.3%756.1K-13.4M-47.7K0.0838.59N/AN/A2372015,4124,949
2011-03-15$30.90$30.0037.3%10.7%28.4%82.3%38.9%-6.0%-6.4%514.0K-8.7M-46.9K0.0223.39N/AN/A262514,9374,962
2011-03-16$30.30$30.0039.1%11.2%29.2%89.1%39.0%-7.0%-8.2%417.3K-6.1M-44.8K3.8439.98N/AN/A197314,8014,962
2011-03-17$30.19$30.0036.9%10.6%29.2%80.9%36.9%-8.3%-5.9%384.7K-5.6M-43.3K4.9427.48N/AN/A5426714,7945,033
2011-03-18$30.66$30.0034.1%9.8%29.3%70.5%34.1%-5.3%-3.4%391.4K-8.0M-41.0K2.3725.47N/AN/A358314,7935,162
2011-03-21$31.04$30.0033.7%9.7%29.7%68.8%33.8%-3.8%-5.3%422.1K-6.5M-40.7K0.7539.99N/AN/A564210,7414,323
2011-03-22$30.86$30.0031.7%9.1%29.7%61.4%31.8%-4.0%-2.0%377.0K-5.9M-38.3K0.4237.23N/AN/A1948210,7864,345
2011-03-23$31.25$30.0030.4%8.7%29.5%56.5%30.5%-3.1%-2.0%387.7K-6.8M-37.2K2.1222.72N/AN/A5812310,7914,397
2011-03-24$31.10$30.0031.3%9.0%28.2%60.0%31.5%-3.8%-1.7%375.5K-6.6M-37.6K0.3313.46N/AN/A511710,8304,503
2011-03-25$31.03$30.0029.6%8.5%28.2%53.5%29.6%-2.4%-1.8%349.1K-6.5M-36.8K106.5933.24N/AN/A343,62410,8334,520
2011-03-28$30.74$30.0032.4%9.3%26.4%64.1%32.6%-3.0%-6.1%17.8K-1.8M-56.2K1.4816.12N/AN/A8412410,8528,086
2011-03-29$30.82$30.0029.5%8.5%26.3%53.0%29.5%7.0%-1.8%19.0K-1.4M-55.4K0.5822.05N/AN/A191110,8828,130
2011-03-30$31.41$30.0029.2%8.4%26.8%51.9%29.2%10.3%-1.6%23.3K-3.7M-53.4K1.2022.84N/AN/A21125410,8958,131
2011-03-31$31.13$30.0028.0%8.0%26.9%47.6%28.5%-4.9%-0.8%-34.1K-2.6M-53.8K3.8112.49N/AN/A166110,7808,273