CEG Options History — October 2011

In October 2011, CEG traded between $36.37 and $39.80. ATM implied volatility averaged 26.0%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.2% (HV 20d: 23.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2011-10-11: Highest Volume — 1,996 contracts
  • 2011-10-27: Largest IV spike — 95.5% change
  • 2011-10-04: Highest IV Rank — 100.0%
  • 2011-10-05: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.02$36.37$39.80$36.67$39.70
Max Pain$39.05$35.00$40.00$35.00$40.00
ATM IV26.0%14.6%61.1%33.6%32.1%
Expected Move7.6%4.2%17.5%9.6%9.2%
HV 20d23.8%19.0%26.5%25.7%19.0%
HV 60d30.2%29.1%30.9%30.1%29.1%
IV Rank32.5%9.3%100.0%55.2%43.4%
IV Percentile46.1%6.0%100.0%87.7%84.9%
Term Structure3.4%-4.1%12.9%-3.4%0.9%
VWIV27.5%12.7%58.4%36.1%19.3%
Skew 25d6.9%-7.7%48.9%5.8%1.7%
Skew 10d15.5%-4.6%73.3%13.3%-4.6%
Call IV 25d22.9%13.9%47.8%33.2%19.0%
Put IV 25d29.7%16.7%72.0%39.0%20.7%
Bid-Ask Spread %129.28108.61152.04117.09139.10
Gamma HHI0.340.170.660.310.17
Net GEX1.5M213.1K3.5M1.6M419.0K
Net DEX-27.1M-42.3M-4.7M-28.4M-12.2M
Net VEX-70.5K-102.4K-54.3K-88.7K-63.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.007.722.320.37
Total Volume262.95201,9961360
Total OI25,322.28612,28531,29828,97313,572

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$36.67$35.0033.6%9.6%25.7%55.2%36.1%5.8%-3.4%1.6M-28.4M-88.7K2.32117.09N/AN/A419516,91312,060
2011-10-04$36.46$35.0055.0%15.8%25.6%100.0%54.7%48.9%4.1%973.7K-22.5M-102.4K0.22145.54N/AN/A671516,92112,082
2011-10-05$36.37$35.0061.1%17.5%25.0%100.0%58.4%2.1%10.6%3.5M-26.2M-73.4K0.96141.09N/AN/A737016,93612,089
2011-10-06$36.80$35.0029.5%8.5%25.5%38.3%23.5%10.8%0.1%2.0M-26.3M-79.4K1.17124.63N/AN/A13415716,96812,164
2011-10-07$37.45$40.0026.7%5.1%25.8%32.9%22.0%18.4%1.2%2.1M-33.0M-82.3K1.39152.04N/AN/A517117,07712,258
2011-10-10$37.79$40.0022.3%8.2%25.9%24.2%29.1%3.5%4.9%2.0M-35.4M-73.2K1.03123.06N/AN/A697117,10112,266
2011-10-11$37.55$40.0024.9%7.4%26.0%29.3%25.0%4.0%-1.6%2.2M-33.9M-70.6K7.72108.61N/AN/A2291,76717,13712,321
2011-10-12$38.17$40.0015.3%7.2%26.5%10.8%23.7%-7.7%5.1%1.7M-38.1M-79.4K2.08123.36N/AN/A5210817,19013,975
2011-10-13$38.31$40.0015.9%4.6%25.6%11.8%19.8%2.4%10.5%1.5M-39.5M-73.1K1.30133.56N/AN/A101317,21014,020
2011-10-14$38.57$40.0020.0%5.7%25.0%19.8%0.0%9.8%3.8%1.5M-41.4M-71.3K0.00117.06N/AN/A6017,22014,033
2011-10-17$38.19$40.0024.2%6.9%25.0%28.1%23.8%6.7%1.3%1.9M-39.2M-68.4K2.50114.03N/AN/A41017,22614,033
2011-10-18$38.04$40.0017.4%5.0%23.3%14.7%0.0%1.5%9.5%2.0M-36.8M-68.7K0.15140.02N/AN/A41617,22414,037
2011-10-19$37.88$40.0022.1%6.3%22.6%23.8%0.0%5.4%3.4%2.3M-37.2M-65.0K0.00118.76N/AN/A17017,24714,037
2011-10-20$38.11$40.0017.9%5.1%20.1%15.8%0.0%4.2%8.9%2.9M-38.2M-64.2K0.01138.73N/AN/A676617,26114,037
2011-10-21$38.61$40.0022.5%6.4%20.6%24.6%21.0%5.1%-0.9%2.1M-42.3M-62.4K0.04117.12N/AN/A51217,16714,037
2011-10-24$38.22$40.0022.7%6.5%20.9%25.0%12.7%5.1%5.2%235.2K-5.6M-58.9K0.42117.96N/AN/A59256,4125,873
2011-10-25$37.76$40.0020.5%5.9%21.0%20.8%20.5%7.2%-0.4%213.1K-4.7M-56.8K1.09129.54N/AN/A33366,4425,873
2011-10-26$38.22$40.0014.6%4.2%21.4%9.3%0.0%-2.0%12.9%225.2K-4.8M-54.3K0.03141.64N/AN/A1,106336,4575,883
2011-10-27$39.65$40.0028.5%8.2%24.8%36.4%23.0%2.0%0.1%470.6K-11.1M-61.3K2.47138.27N/AN/A812007,5035,910
2011-10-28$39.80$40.0019.5%5.6%23.9%18.8%19.3%9.3%-4.1%481.4K-11.7M-62.4K0.37133.77N/AN/A27107,5256,071
2011-10-31$39.70$40.0032.1%9.2%19.0%43.4%0.0%1.7%0.9%419.0K-12.2M-63.4K0.00139.10N/AN/A007,5116,061