CEG Options History — June 2011

In June 2011, CEG traded between $36.17 and $37.96. ATM implied volatility averaged 16.4%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.6% (HV 20d: 11.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.16.

Notable Days

  • 2011-06-07: Highest Volume — 25,874 contracts
  • 2011-06-24: Largest IV drop — 10.5% change
  • 2011-06-15: Highest IV Rank — 19.0%
  • 2011-06-15: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.94$36.17$37.96$36.91$37.96
Max Pain$34.32$30.00$35.00$35.00$35.00
ATM IV16.4%12.6%19.2%16.8%12.6%
Expected Move4.8%3.6%5.5%4.8%3.6%
HV 20d11.8%8.0%15.9%15.9%12.9%
HV 60d21.4%20.2%24.3%24.3%20.5%
IV Rank9.4%0.0%19.0%10.5%0.0%
IV Percentile5.0%0.0%13.9%2.8%0.0%
Term Structure1.9%0.5%3.6%0.8%3.3%
VWIV17.8%13.2%29.1%17.2%13.5%
Skew 25d2.6%0.1%4.0%1.3%1.9%
Skew 10d6.9%2.3%10.4%4.9%6.4%
Call IV 25d16.3%13.2%18.3%17.6%13.2%
Put IV 25d19.0%14.4%21.8%18.9%15.1%
Bid-Ask Spread %36.2017.35100.7477.7317.35
Gamma HHI0.430.270.490.470.28
Net GEX1.2M1.1M1.3M1.3M1.2M
Net DEX-31.6M-59.3M-23.1M-59.3M-36.8M
Net VEX-134.4K-151.1K-117.4K-145.4K-120.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.004.510.861.92
Total Volume1,384.8182725,874160105
Total OI38,841.13635,44247,65947,65937,310

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$36.91$35.0016.8%4.8%15.9%10.5%17.2%1.3%0.8%1.3M-59.3M-145.4K0.8677.73N/AN/A867423,78323,876
2011-06-02$36.77$35.0016.3%4.7%15.5%8.7%16.8%1.7%1.3%1.3M-35.5M-149.7K0.2873.42N/AN/A952717,73223,887
2011-06-03$36.71$30.0016.6%4.9%14.3%9.5%18.2%4.0%2.1%1.2M-34.4M-151.1K0.10100.74N/AN/A1021017,67923,881
2011-06-06$36.72$30.0016.3%5.2%14.0%8.4%19.1%2.5%1.5%1.3M-35.5M-143.2K0.5155.62N/AN/A1356917,60623,891
2011-06-07$36.66$30.0017.6%5.3%13.7%13.2%29.1%3.6%0.5%1.3M-36.4M-140.8K0.0062.45N/AN/A25,8037117,70423,938
2011-06-08$36.66$35.0016.7%5.2%9.2%9.9%18.5%2.4%1.7%1.2M-26.9M-138.4K2.0058.03N/AN/A91815,04123,987
2011-06-09$36.69$35.0017.2%4.9%9.1%11.7%21.1%3.6%2.1%1.2M-27.0M-137.8K2.1121.96N/AN/A357415,04623,999
2011-06-10$36.77$35.0017.5%5.0%8.3%12.7%17.7%3.6%2.2%1.1M-27.7M-136.8K0.7723.90N/AN/A786015,06024,032
2011-06-13$36.83$35.0018.6%5.3%8.1%16.6%19.2%2.3%1.4%1.2M-27.9M-135.7K2.6022.30N/AN/A5313815,11924,086
2011-06-14$36.94$35.0018.0%5.2%8.0%14.6%17.4%3.2%1.8%1.2M-28.4M-136.7K4.5120.87N/AN/A6529315,12524,220
2011-06-15$36.17$35.0019.2%5.5%10.7%19.0%21.4%3.5%1.3%1.1M-23.1M-139.2K3.0027.18N/AN/A3410215,10724,276
2011-06-16$36.52$35.0018.2%5.2%11.1%15.4%19.4%3.8%1.9%1.1M-25.6M-139.2K1.5328.07N/AN/A385815,09124,367
2011-06-17$36.69$35.0017.3%5.0%11.2%12.0%18.7%3.7%3.0%1.1M-27.0M-133.0K0.1222.67N/AN/A1201415,12024,417
2011-06-20$37.11$35.0017.1%4.9%11.4%11.2%16.7%3.0%0.8%1.1M-29.6M-126.3K1.1521.96N/AN/A27531614,61620,826
2011-06-21$37.03$35.0015.8%4.5%11.3%6.9%17.8%2.8%2.1%1.2M-29.3M-130.4K1.4127.31N/AN/A689614,76821,054
2011-06-22$36.76$35.0015.7%4.5%11.5%6.5%19.7%2.1%1.9%1.2M-27.4M-133.8K0.7623.13N/AN/A1189014,79321,116
2011-06-23$36.48$35.0017.1%4.9%11.1%11.3%13.9%2.3%1.5%1.2M-25.4M-133.7K0.5024.10N/AN/A1226114,82121,141
2011-06-24$37.14$35.0015.3%4.4%12.9%5.0%14.3%2.1%2.3%1.1M-30.5M-125.1K0.3022.09N/AN/A3309814,85121,198
2011-06-27$37.46$35.0014.8%4.3%13.2%3.4%15.4%2.7%2.7%1.2M-32.5M-122.5K0.8223.01N/AN/A12610315,17021,283
2011-06-28$37.70$35.0013.7%3.9%13.2%0.0%14.0%1.6%2.4%1.1M-34.3M-118.5K0.2424.26N/AN/A3388215,23621,383
2011-06-29$37.93$35.0013.3%3.8%13.0%0.0%13.2%0.1%3.6%1.1M-35.9M-117.4K0.1318.34N/AN/A4245315,46421,405
2011-06-30$37.96$35.0012.6%3.6%12.9%0.0%13.5%1.9%3.3%1.2M-36.8M-120.9K1.9217.35N/AN/A366915,85721,453