CEG Options History — July 2011

In July 2011, CEG traded between $38.12 and $39.59. ATM implied volatility averaged 15.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.3% (HV 20d: 15.5%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2011-07-28: Highest Volume — 2,535 contracts
  • 2011-07-14: Largest IV spike — 43.4% change
  • 2011-07-25: Highest IV Rank — 27.7%
  • 2011-07-25: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.83$38.12$39.59$38.60$38.83
Max Pain$37.45$35.00$38.00$35.00$38.00
ATM IV15.2%9.8%18.7%12.2%16.6%
Expected Move4.8%3.5%5.4%3.5%4.7%
HV 20d15.5%13.9%17.8%13.9%15.7%
HV 60d18.6%14.3%20.6%20.6%14.5%
IV Rank15.4%0.0%27.7%0.0%21.0%
IV Percentile8.1%0.0%23.0%0.0%11.9%
Term Structure1.6%-2.0%5.7%5.7%2.7%
VWIV17.0%14.2%20.8%14.2%20.8%
Skew 25d4.1%1.8%8.5%4.4%5.3%
Skew 10d9.7%5.6%15.7%11.9%11.0%
Call IV 25d14.7%10.6%16.3%10.6%16.3%
Put IV 25d18.8%15.0%21.7%15.0%21.7%
Bid-Ask Spread %68.6445.4591.0465.0277.25
Gamma HHI0.290.230.350.270.23
Net GEX1.0M823.0K1.4M1.1M1.4M
Net DEX-36.2M-41.8M-28.0M-40.5M-37.0M
Net VEX-103.6K-119.1K-94.9K-109.7K-119.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.012.880.431.15
Total Volume351.85472,53520156
Total OI30,783.723,34037,88037,36726,987

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$38.60$35.0012.2%3.5%13.9%0.0%14.2%4.4%5.7%1.1M-40.5M-109.7K0.4365.02N/AN/A1416015,87021,497
2011-07-05$38.12$37.0014.7%4.8%14.9%8.2%0.0%3.8%1.8%1.2M-38.4M-112.2K0.5271.42N/AN/A613215,80921,539
2011-07-06$38.17$37.0014.1%4.9%14.8%6.3%15.6%4.5%2.3%1.2M-38.3M-112.9K0.1967.51N/AN/A2645015,82521,561
2011-07-07$38.93$37.0013.9%4.9%16.0%5.7%16.7%4.7%2.0%1.0M-41.5M-104.8K0.0446.68N/AN/A137515,80421,611
2011-07-08$38.82$37.009.8%4.9%16.2%0.0%0.0%4.8%1.3%1.1M-41.8M-108.6K0.6456.19N/AN/A1036615,91121,611
2011-07-11$38.29$37.0013.9%5.1%17.2%12.6%17.8%4.4%1.4%1.2M-39.4M-108.7K0.0749.99N/AN/A2121515,90921,653
2011-07-12$38.73$37.0014.0%5.1%17.5%13.1%16.3%3.4%1.2%1.0M-41.4M-102.9K1.6974.09N/AN/A457615,76521,667
2011-07-13$38.51$37.0010.8%4.5%17.8%2.9%17.2%1.8%1.8%1.1M-40.7M-103.7K0.6445.45N/AN/A1408915,80021,695
2011-07-14$38.60$37.0015.4%4.4%15.5%17.4%15.8%2.9%2.4%1.0M-41.4M-103.4K0.1372.18N/AN/A6658815,88121,706
2011-07-15$38.75$38.0015.9%4.6%15.3%18.9%20.8%4.4%2.0%1.1M-41.8M-105.2K0.1691.04N/AN/A1923016,14521,735
2011-07-18$38.50$38.0017.2%4.9%15.7%22.9%15.9%2.9%1.2%889.8K-28.0M-102.8K0.8153.77N/AN/A746012,46010,880
2011-07-19$38.77$38.0016.8%4.8%15.4%21.8%16.9%4.3%0.5%873.7K-28.8M-100.2K1.0666.36N/AN/A343612,52710,928
2011-07-20$38.99$38.0017.1%4.9%15.4%22.6%16.9%3.2%0.1%873.7K-30.5M-97.1K2.8887.61N/AN/A164612,52010,922
2011-07-21$39.29$38.0016.5%4.7%15.0%20.8%16.0%3.8%0.9%864.9K-31.6M-95.8K0.1387.29N/AN/A2903812,53610,958
2011-07-22$38.94$38.0016.2%4.7%15.1%19.9%16.0%3.0%2.6%891.3K-30.7M-97.8K0.3863.39N/AN/A341312,69110,992
2011-07-25$39.42$38.0018.7%5.4%14.5%27.7%17.3%8.5%-2.0%823.0K-32.3M-94.9K0.1875.39N/AN/A4277912,67011,005
2011-07-26$39.35$38.0017.1%4.9%14.5%22.5%16.8%3.4%-0.1%887.5K-32.0M-96.1K0.0777.20N/AN/A4533212,75511,072
2011-07-27$39.59$38.0016.1%4.6%14.5%19.4%17.8%5.0%2.4%903.7K-34.3M-97.1K0.5067.80N/AN/A22811513,19311,090
2011-07-28$39.40$38.0017.4%5.0%14.6%23.6%0.0%4.1%0.9%966.0K-33.8M-98.3K0.0177.13N/AN/A2,5003513,36411,130
2011-07-29$38.83$38.0016.6%4.7%15.7%21.0%20.8%5.3%2.7%1.4M-37.0M-119.1K1.1577.25N/AN/A263015,85911,128