CEG Options History — May 2011

In May 2011, CEG traded between $35.66 and $37.39. ATM implied volatility averaged 17.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 9.6% (HV 20d: 26.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-05-02: Highest Volume — 8,395 contracts
  • 2011-05-12: Largest IV spike — 23.3% change
  • 2011-05-16: Highest IV Rank — 21.8%
  • 2011-05-16: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.76$35.66$37.39$36.20$37.18
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV17.2%13.9%20.0%19.6%17.4%
Expected Move5.2%4.1%5.7%5.6%5.0%
HV 20d26.8%15.9%29.9%28.5%15.9%
HV 60d25.5%24.2%26.1%26.0%24.2%
IV Rank11.2%0.0%21.8%15.7%12.6%
IV Percentile3.9%0.0%8.7%3.2%4.4%
Term Structure0.1%-2.0%4.1%-0.7%0.7%
VWIV17.8%14.2%20.1%16.5%19.8%
Skew 25d1.9%-2.2%3.9%0.8%2.1%
Skew 10d6.5%-3.7%13.3%-3.7%7.7%
Call IV 25d17.5%14.3%18.8%17.6%16.6%
Put IV 25d19.5%15.5%20.9%18.5%18.7%
Bid-Ask Spread %64.1845.0294.8883.1267.13
Gamma HHI0.560.440.840.840.46
Net GEX1.2M912.5K1.4M1.2M1.3M
Net DEX-59.0M-65.2M-47.7M-54.0M-60.7M
Net VEX-157.8K-183.6K-124.5K-124.5K-146.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.750.793.43
Total Volume770.857238,3958,395164
Total OI50,121.52445,18252,29445,18247,679

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$36.20$35.0019.6%5.6%28.5%15.7%16.5%0.8%-0.7%1.2M-54.0M-124.5K0.7983.12N/AN/A4,6893,70621,83423,348
2011-05-03$36.57$35.0017.1%4.9%28.1%6.4%15.5%3.0%-0.4%954.7K-57.9M-158.5K0.4282.07N/AN/A86236323,32127,226
2011-05-04$36.22$35.0014.2%4.1%28.7%0.0%14.2%-2.2%4.1%912.5K-54.8M-170.2K0.2194.88N/AN/A2084323,75427,091
2011-05-05$35.66$35.0016.2%4.6%29.8%7.2%17.3%1.2%-1.5%971.8K-47.7M-183.6K1.3166.92N/AN/A26234223,85827,110
2011-05-06$35.99$35.0014.1%5.3%28.5%0.0%18.6%1.8%-0.4%1.0M-51.4M-183.6K0.5349.47N/AN/A26814224,04727,303
2011-05-09$35.71$35.0014.3%5.1%28.6%0.5%19.1%1.0%1.1%968.2K-49.8M-179.3K0.7388.83N/AN/A15511324,16727,324
2011-05-10$36.74$35.0014.2%5.4%29.9%0.2%18.7%1.4%0.1%1.3M-61.3M-151.4K0.2572.28N/AN/A74518824,18327,343
2011-05-11$36.67$35.0013.9%5.1%29.6%0.0%18.5%3.9%-0.1%1.2M-59.7M-159.2K0.0651.55N/AN/A5503524,24127,272
2011-05-12$37.07$35.0017.1%4.9%29.7%11.5%17.2%2.7%1.2%1.3M-63.1M-150.1K0.0953.15N/AN/A2111924,65127,303
2011-05-13$36.89$35.0017.8%5.1%29.9%14.0%16.3%2.6%-0.3%1.2M-63.2M-152.8K0.0577.71N/AN/A6182824,61427,288
2011-05-16$37.07$35.0020.0%5.7%29.8%21.8%20.1%2.7%-2.0%1.2M-64.4M-157.1K0.3062.70N/AN/A3019124,96927,288
2011-05-17$37.21$35.0018.5%5.3%28.2%16.4%18.2%3.4%0.9%1.2M-64.6M-153.7K0.1053.44N/AN/A1351324,85727,364
2011-05-18$36.91$35.0018.1%5.2%28.7%14.8%18.0%1.1%1.0%1.3M-62.2M-160.8K0.3653.65N/AN/A1174224,92427,370
2011-05-19$37.04$35.0018.2%5.2%28.6%15.3%0.0%2.8%-0.2%1.4M-62.9M-155.4K4.7562.40N/AN/A41924,75927,206
2011-05-20$37.39$35.0019.0%5.5%28.4%18.3%18.4%1.3%-0.7%1.2M-65.2M-153.4K0.2245.02N/AN/A2956424,76327,206
2011-05-23$37.21$35.0019.8%5.7%27.7%21.1%19.5%2.1%-0.9%1.2M-59.4M-152.7K0.1961.94N/AN/A3967523,18623,769
2011-05-24$37.37$35.0018.2%5.2%27.7%15.3%17.6%3.1%0.1%1.2M-60.7M-153.1K0.0157.22N/AN/A558623,41523,844
2011-05-25$36.94$35.0018.3%5.2%25.2%15.6%18.0%1.7%0.1%1.3M-58.6M-157.2K0.4055.73N/AN/A1014023,60023,839
2011-05-26$36.89$35.0017.8%5.1%16.1%14.1%17.8%2.2%0.2%1.3M-57.9M-158.4K0.3750.74N/AN/A1415223,70123,865
2011-05-27$36.99$35.0017.7%5.1%16.1%13.7%17.7%2.0%0.6%1.3M-58.8M-152.0K0.0057.83N/AN/A27023,75923,911
2011-05-31$37.18$35.0017.4%5.0%15.9%12.6%19.8%2.1%0.7%1.3M-60.7M-146.7K3.4367.13N/AN/A3712723,76823,911