CEG Options History — August 2011

In August 2011, CEG traded between $34.38 and $38.91. ATM implied volatility averaged 27.1%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 8.1% (HV 20d: 35.2%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 4.16.

Notable Days

  • 2011-08-08: Highest Volume — 905 contracts
  • 2011-08-08: Largest IV spike — 94.9% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-26: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.97$34.38$38.91$38.91$38.49
Max Pain$37.61$37.00$39.00$38.00$37.00
ATM IV27.1%19.2%51.3%19.3%25.3%
Expected Move7.2%5.5%10.9%5.5%7.3%
HV 20d35.2%14.6%44.7%14.6%43.5%
HV 60d23.4%14.1%28.0%14.1%28.0%
IV Rank43.7%26.6%100.0%29.4%37.3%
IV Percentile53.6%25.8%100.0%25.8%50.0%
Term Structure2.5%-3.0%23.9%-1.1%3.7%
VWIV25.4%17.9%39.9%17.9%31.9%
Skew 25d9.0%-5.7%32.4%5.5%-1.6%
Skew 10d12.9%-6.8%26.3%14.8%2.0%
Call IV 25d20.7%14.2%30.4%17.8%20.3%
Put IV 25d29.8%18.6%46.6%23.3%18.6%
Bid-Ask Spread %104.2964.83154.6480.43147.33
Gamma HHI0.270.240.310.240.27
Net GEX1.2M717.6K1.7M1.3M1.4M
Net DEX-24.6M-37.0M-10.0M-36.4M-37.0M
Net VEX-118.9K-132.3K-98.3K-120.7K-98.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.160.0028.3620.920.30
Total Volume220.95739905855365
Total OI27,841.60927,01728,64427,01727,683

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$38.91$38.0019.3%5.5%14.6%29.4%17.9%5.5%-1.1%1.3M-36.4M-120.7K20.9280.43N/AN/A3981615,87511,142
2011-08-02$37.85$38.0020.1%5.8%17.2%31.9%31.1%7.9%4.3%1.4M-31.8M-122.0K28.3670.64N/AN/A1131215,88911,495
2011-08-03$38.21$38.0019.2%5.5%17.5%29.3%19.6%6.0%-1.8%1.3M-30.9M-125.9K0.8590.28N/AN/A595015,89011,792
2011-08-04$36.38$38.0020.2%5.8%23.3%32.3%17.9%8.8%23.9%1.2M-24.3M-126.6K0.1999.86N/AN/A881715,89611,832
2011-08-05$36.40$39.0024.5%6.7%23.4%45.7%23.6%5.8%1.4%1.0M-19.3M-132.3K3.7464.83N/AN/A6122815,87911,822
2011-08-08$34.38$39.0047.8%8.1%30.1%100.0%27.2%6.6%14.7%717.6K-10.0M-126.3K3.2575.55N/AN/A21369215,89911,888
2011-08-09$35.80$38.0051.3%7.6%33.8%100.0%24.7%16.3%1.5%739.3K-14.3M-127.5K6.79136.45N/AN/A149515,98612,257
2011-08-10$35.00$38.0032.9%8.2%34.4%55.7%24.5%7.9%-2.3%825.3K-13.1M-130.6K0.2973.99N/AN/A702015,98112,237
2011-08-11$36.17$38.0026.3%7.5%36.9%39.7%0.0%9.3%-2.9%922.3K-16.4M-129.9K13.0086.04N/AN/A56516,04612,238
2011-08-12$35.65$38.0026.7%7.7%37.0%40.6%21.7%6.5%-0.3%983.0K-17.4M-125.4K0.8296.26N/AN/A221816,04112,246
2011-08-15$37.23$38.0025.1%7.2%40.6%36.9%22.9%13.1%0.7%1.2M-22.8M-121.5K0.8885.64N/AN/A484216,03812,245
2011-08-16$37.08$38.0023.3%6.7%40.5%32.4%22.3%5.9%2.6%1.2M-23.7M-121.9K0.4295.25N/AN/A2169116,08312,275
2011-08-17$37.40$37.0022.7%6.5%40.6%30.9%22.4%6.1%1.8%1.2M-27.6M-116.3K0.0485.71N/AN/A3611516,26812,313
2011-08-18$36.90$37.0023.6%6.8%40.6%33.1%27.0%32.4%-0.1%1.0M-21.3M-124.4K0.03126.52N/AN/A236616,38612,258
2011-08-19$36.74$37.0024.5%7.0%40.5%35.4%24.7%4.8%0.1%1.2M-24.3M-117.6K12.2390.36N/AN/A1315916,30412,260
2011-08-22$36.56$37.0020.9%6.0%40.1%26.6%19.1%6.9%-2.1%1.3M-24.2M-112.1K0.00104.37N/AN/A40015,58211,743
2011-08-23$37.02$37.0025.7%7.4%40.6%38.2%0.0%5.4%-3.0%1.3M-23.4M-114.2K0.72119.24N/AN/A654715,60011,743
2011-08-24$38.04$37.0024.6%7.1%41.9%35.7%29.0%15.6%1.9%1.5M-31.4M-101.2K0.27108.24N/AN/A371015,66511,756
2011-08-25$37.10$37.0025.7%7.4%42.6%38.1%24.7%10.7%0.7%1.3M-28.9M-110.6K0.86120.08N/AN/A211815,68111,746
2011-08-26$36.76$37.0038.0%10.9%42.5%67.9%39.9%8.4%4.3%994.8K-23.3M-116.7K1.00139.97N/AN/A212115,68011,746
2011-08-29$38.12$37.0029.5%8.4%44.7%47.3%25.3%25.2%12.0%1.2M-31.3M-111.5K0.44154.64N/AN/A572515,68711,766
2011-08-30$38.21$37.0026.9%7.7%43.6%41.0%36.3%-5.7%-1.8%1.7M-32.0M-100.4K0.24147.05N/AN/A2205315,72711,791
2011-08-31$38.49$37.0025.3%7.3%43.5%37.3%31.9%-1.6%3.7%1.4M-37.0M-98.3K0.30147.33N/AN/A2818415,86011,823