CEG Options History — April 2011

In April 2011, CEG traded between $31.12 and $36.42. ATM implied volatility averaged 29.8%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.8% (HV 20d: 22.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2011-04-28: Highest Volume — 13,767 contracts
  • 2011-04-28: Largest IV drop — 35.3% change
  • 2011-04-11: Highest IV Rank — 85.1%
  • 2011-04-27: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.09$31.12$36.42$31.32$36.42
Max Pain$31.00$30.00$35.00$30.00$35.00
ATM IV29.8%21.6%38.0%26.7%25.2%
Expected Move8.2%6.2%9.6%7.7%7.2%
HV 20d22.0%16.7%28.7%26.3%28.1%
HV 60d23.3%22.0%26.5%22.9%26.0%
IV Rank54.2%23.5%85.1%42.7%36.8%
IV Percentile67.6%7.5%98.8%47.2%25.4%
Term Structure-2.7%-14.0%-0.2%-0.4%-14.0%
VWIV28.5%21.7%33.5%26.6%22.9%
Skew 25d0.4%-4.2%6.4%5.0%1.3%
Skew 10d1.6%-10.1%10.0%8.6%2.4%
Call IV 25d27.7%20.2%30.9%21.8%20.2%
Put IV 25d28.1%21.6%35.0%26.8%21.6%
Bid-Ask Spread %38.1712.6491.4512.6491.45
Gamma HHI0.510.360.880.360.88
Net GEX561.6K-103.3K1.6M-34.3K1.2M
Net DEX-19.3M-53.8M-2.6M-3.2M-53.8M
Net VEX-82.8K-133.1K-45.6K-52.6K-127.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0016.371.590.12
Total Volume2,625.75813,767832,021
Total OI26,876.519,12444,82319,12444,823

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$31.32$30.0026.7%7.7%26.3%42.7%26.6%5.0%-0.4%-34.3K-3.2M-52.6K1.5912.64N/AN/A325110,7948,330
2011-04-04$31.12$30.0030.1%7.7%26.4%55.5%28.1%-2.5%-0.4%-45.8K-2.6M-51.6K0.0029.08N/AN/A58010,7868,369
2011-04-05$31.28$30.0026.9%7.5%25.9%43.2%0.0%-1.6%-0.2%-49.2K-3.5M-49.8K0.3030.31N/AN/A1053210,7788,369
2011-04-06$31.66$30.0030.1%7.7%25.5%55.2%27.1%-1.1%-0.6%-48.0K-4.5M-48.9K0.2429.35N/AN/A1613910,7558,377
2011-04-07$32.61$30.0035.1%9.3%27.4%74.1%30.3%-0.2%-3.1%-103.3K-7.4M-45.6K0.0134.43N/AN/A2,3992810,7918,368
2011-04-08$33.09$30.0033.4%8.3%24.5%67.6%28.3%1.7%-1.6%868.1K-11.5M-63.8K0.0237.96N/AN/A5751412,6788,378
2011-04-11$33.18$30.0038.0%8.6%24.3%85.1%28.8%3.4%-2.6%960.5K-12.6M-64.7K0.1239.94N/AN/A1,78621313,1688,364
2011-04-12$32.92$30.0028.7%8.8%19.1%50.1%30.5%-0.2%-3.5%252.0K-12.9M-64.2K0.9333.71N/AN/A1,8171,68214,5928,447
2011-04-13$33.03$30.0033.5%8.5%17.1%68.3%29.5%0.5%-2.5%433.4K-17.3M-74.2K0.0034.94N/AN/A118016,22010,047
2011-04-14$33.12$30.0030.1%8.6%16.9%55.3%30.0%-0.7%-3.3%902.8K-17.6M-76.6K1.1834.47N/AN/A4,7945,67316,25010,047
2011-04-15$33.56$30.0028.5%8.2%16.7%49.2%28.5%2.6%-1.5%1.6M-40.6M-133.1K0.2431.07N/AN/A2145224,77619,087
2011-04-18$32.88$30.0028.6%8.2%18.6%49.9%28.7%-0.2%-1.8%578.8K-19.4M-105.6K0.3844.42N/AN/A1234713,50013,681
2011-04-19$32.99$30.0028.3%8.1%18.3%48.4%28.3%0.6%-1.0%544.7K-19.2M-108.8K16.3744.13N/AN/A1702,78313,55013,699
2011-04-20$33.29$30.0028.6%8.2%18.1%49.7%28.6%-0.8%-2.6%663.7K-22.6M-97.6K0.2048.11N/AN/A3847713,57012,534
2011-04-21$33.10$30.0027.4%7.8%18.2%45.0%27.6%-0.2%-1.3%703.4K-22.3M-93.6K1.1227.32N/AN/A1,0681,19113,60712,512
2011-04-25$32.65$30.0030.6%8.8%19.1%57.2%30.5%-1.6%-3.6%682.6K-22.0M-102.1K3.5540.67N/AN/A3651,29614,61313,545
2011-04-26$32.93$35.0030.9%8.9%18.6%58.5%31.1%-0.6%-3.9%619.7K-20.6M-101.6K1.7641.34N/AN/A1,7303,04314,88514,705
2011-04-27$34.30$35.0033.5%9.6%22.8%68.0%33.5%6.4%-4.2%637.8K-27.0M-122.7K2.5542.44N/AN/A1,2973,30916,48017,710
2011-04-28$36.26$35.0021.6%6.2%28.7%23.5%21.7%-4.2%-1.7%914.5K-46.0M-71.8K1.1535.65N/AN/A6,3957,37217,31519,030
2011-04-29$36.42$35.0025.2%7.2%28.1%36.8%22.9%1.3%-14.0%1.2M-53.8M-127.0K0.1291.45N/AN/A1,80421721,59923,224