CEG Options History — September 2011

In September 2011, CEG traded between $37.73 and $39.66. ATM implied volatility averaged 34.0%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 7.6% (HV 20d: 26.4%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-09-01: Highest Volume — 5,180 contracts
  • 2011-09-02: Largest IV spike — 103.5% change
  • 2011-09-26: Highest IV Rank — 100.0%
  • 2011-09-26: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.37$37.73$39.66$38.47$38.06
Max Pain$35.43$35.00$42.00$37.00$35.00
ATM IV34.0%22.8%53.0%22.8%48.2%
Expected Move9.0%6.5%15.2%6.5%13.8%
HV 20d26.4%21.0%39.6%39.4%22.2%
HV 60d28.5%27.9%29.4%28.0%29.2%
IV Rank57.5%31.3%100.0%31.3%88.9%
IV Percentile73.1%36.5%100.0%36.5%98.0%
Term Structure-3.1%-30.9%5.7%-4.8%-10.2%
VWIV26.0%16.6%33.7%33.7%23.4%
Skew 25d2.7%-13.4%22.5%-13.4%22.5%
Skew 10d3.9%-14.7%27.8%-5.7%2.4%
Call IV 25d27.8%22.1%35.9%31.8%31.6%
Put IV 25d30.5%18.3%54.1%18.3%54.1%
Bid-Ask Spread %126.5896.04151.31151.31142.06
Gamma HHI0.280.230.320.270.27
Net GEX1.4M1.0M1.7M1.3M1.2M
Net DEX-32.4M-46.1M-20.7M-36.0M-34.6M
Net VEX-95.8K-118.6K-72.3K-104.9K-100.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.160.960.00
Total Volume418.476115,1805,18040
Total OI30,755.23827,85333,63227,85328,953

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$38.47$37.0022.8%6.5%39.4%31.3%33.7%-13.4%-4.8%1.3M-36.0M-104.9K0.96151.31N/AN/A2,6392,54115,97111,882
2011-09-02$38.20$42.0046.5%13.3%39.6%88.2%0.0%9.7%-7.6%1.0M-25.5M-118.6K0.23139.09N/AN/A26618,55514,423
2011-09-06$37.94$35.0050.5%11.0%33.0%98.1%27.2%-1.0%-9.9%1.1M-20.7M-109.5K0.28129.37N/AN/A1434018,58114,423
2011-09-07$38.44$35.0029.5%6.7%30.5%47.4%22.9%13.3%1.4%1.5M-27.0M-97.4K0.18123.06N/AN/A2274118,67714,383
2011-09-08$38.52$35.0050.1%7.7%28.9%97.0%24.2%14.5%4.1%1.7M-28.4M-102.7K0.20131.67N/AN/A1523018,60814,384
2011-09-09$37.88$35.0034.0%7.8%27.8%58.3%26.9%2.6%-1.1%1.3M-23.2M-106.2K1.26120.34N/AN/A10613418,70814,405
2011-09-12$38.11$35.0033.7%8.1%27.1%57.6%32.5%-7.2%-1.6%1.5M-24.7M-100.5K0.75115.30N/AN/A13810318,75014,480
2011-09-13$38.02$35.0027.7%7.7%22.7%43.0%27.0%0.8%0.6%1.4M-24.8M-100.9K0.29118.47N/AN/A872518,84514,580
2011-09-14$37.73$35.0024.6%7.8%22.8%35.5%28.0%3.7%-0.5%1.5M-24.5M-100.0K0.32119.51N/AN/A2196918,88714,589
2011-09-15$38.50$35.0027.8%8.0%23.7%43.3%23.4%-11.5%1.5%1.5M-30.2M-85.5K0.44129.04N/AN/A2249918,90014,655
2011-09-16$39.12$35.0022.8%6.5%23.5%31.3%22.8%2.9%2.8%1.3M-33.9M-86.5K0.3596.04N/AN/A1063718,96314,669
2011-09-19$38.73$35.0023.1%6.6%23.8%32.0%24.0%2.0%2.1%1.5M-41.4M-83.2K4.16117.36N/AN/A3112916,28511,664
2011-09-20$39.66$35.0025.2%7.2%24.8%37.0%25.5%-0.7%2.6%1.5M-46.1M-72.3K0.88119.46N/AN/A23220316,28411,784
2011-09-21$38.99$35.0024.9%7.1%25.7%36.2%16.6%4.8%-4.7%1.3M-44.0M-81.7K2.80122.38N/AN/A5114316,47911,908
2011-09-22$37.85$35.0049.2%14.1%26.4%94.9%31.1%8.3%-30.9%1.1M-30.9M-105.9K0.07138.85N/AN/A102716,52411,985
2011-09-23$37.95$35.0028.4%8.1%24.7%44.7%26.5%5.4%2.5%1.6M-35.0M-94.4K0.22111.44N/AN/A1393116,56511,987
2011-09-26$38.15$35.0053.0%15.2%24.4%100.0%23.4%5.9%-14.5%1.1M-32.9M-101.0K0.62133.45N/AN/A1469016,64312,000
2011-09-27$38.49$35.0037.6%10.8%21.0%64.4%0.0%-11.2%5.7%1.3M-37.3M-94.2K0.00142.06N/AN/A11016,73312,034
2011-09-28$38.21$35.0025.8%7.4%21.1%37.1%0.0%0.7%-0.8%1.6M-39.7M-82.0K0.00125.61N/AN/A111016,74812,064
2011-09-29$38.67$35.0027.7%7.9%21.4%41.5%0.0%4.5%-1.1%1.5M-40.4M-84.2K0.43132.25N/AN/A913916,83812,064
2011-09-30$38.06$35.0048.2%13.8%22.2%88.9%0.0%22.5%-10.2%1.2M-34.6M-100.1K0.00142.06N/AN/A40016,89312,060