CEG Options History — November 2011

In November 2011, CEG traded between $37.92 and $40.85. ATM implied volatility averaged 23.0%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.6% (HV 20d: 22.4%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 8.01.

Notable Days

  • 2011-11-21: Highest Volume — 1,538 contracts
  • 2011-11-17: Largest IV spike — 84.7% change
  • 2011-11-01: Highest IV Rank — 68.9%
  • 2011-11-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.54$37.92$40.85$38.96$40.16
Max Pain$39.62$39.00$40.00$40.00$40.00
ATM IV23.0%16.1%45.2%45.2%21.1%
Expected Move6.8%4.6%13.0%13.0%6.0%
HV 20d22.4%20.2%24.5%20.4%23.6%
HV 60d23.6%21.8%26.8%26.8%23.2%
IV Rank25.7%12.1%68.9%68.9%21.9%
IV Percentile42.7%10.3%96.0%96.0%37.7%
Term Structure2.2%-6.1%14.7%14.7%-2.9%
VWIV17.9%10.7%22.8%21.7%12.3%
Skew 25d6.9%-5.2%18.3%-5.2%9.4%
Skew 10d6.3%-18.9%21.3%3.3%19.9%
Call IV 25d18.6%12.9%27.3%21.0%12.9%
Put IV 25d25.5%15.8%45.6%15.8%22.3%
Bid-Ask Spread %126.82109.62139.38138.02118.86
Gamma HHI0.170.160.200.160.19
Net GEX516.9K306.6K791.5K306.6K791.5K
Net DEX-11.9M-15.3M-8.2M-9.6M-14.5M
Net VEX-57.0K-70.9K-43.7K-70.9K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.010.00138.820.170.00
Total Volume137.28601,5387083
Total OI13,366.1912,03214,18613,57012,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$38.96$40.0045.2%13.0%20.4%68.9%21.7%-5.2%14.7%306.6K-9.6M-70.9K0.17138.02N/AN/A60107,5116,059
2011-11-02$39.62$40.0021.3%6.1%20.8%22.4%0.0%10.7%-1.3%412.4K-12.2M-63.9K2.31139.38N/AN/A641487,5206,059
2011-11-03$39.86$40.0020.5%5.9%20.6%20.8%0.0%12.2%2.6%419.1K-12.3M-66.1K0.66136.69N/AN/A113757,5726,162
2011-11-04$39.21$39.0023.1%6.5%21.2%25.8%20.2%12.9%-3.3%424.7K-10.3M-65.4K0.00119.63N/AN/A2207,6856,227
2011-11-07$40.12$39.0018.3%6.7%22.3%16.5%22.0%6.3%0.2%481.1K-12.5M-64.1K0.00125.58N/AN/A1707,6946,227
2011-11-08$40.57$39.0017.0%6.6%22.2%14.0%0.0%6.7%-4.2%524.4K-14.3M-59.5K0.00117.60N/AN/A0117,7116,227
2011-11-09$40.24$39.0018.4%6.4%22.1%16.8%0.0%3.8%0.8%493.2K-13.7M-61.8K0.00123.19N/AN/A007,7116,238
2011-11-10$40.17$39.0021.2%6.1%22.2%22.2%0.0%11.9%1.0%468.9K-13.5M-61.1K0.48128.96N/AN/A31157,7116,238
2011-11-11$40.85$39.0028.0%8.0%22.7%35.4%10.7%4.6%-3.4%473.7K-15.3M-58.4K1.78126.56N/AN/A23417,7336,231
2011-11-14$40.50$39.0029.8%8.5%22.6%38.9%22.8%18.3%0.2%476.2K-14.7M-59.2K0.60139.04N/AN/A55337,7466,264
2011-11-15$40.16$39.0021.2%6.1%22.8%22.2%15.8%10.7%6.1%505.1K-13.8M-57.4K1.10119.13N/AN/A10117,7556,275
2011-11-16$39.55$40.0017.7%5.1%23.6%15.4%16.9%7.0%3.7%408.4K-11.6M-60.6K4.17124.41N/AN/A12507,7556,286
2011-11-17$39.30$40.0032.7%9.4%23.8%44.7%19.0%5.8%8.3%434.5K-9.3M-58.7K0.56119.69N/AN/A145817,7626,284
2011-11-18$39.65$40.0019.4%5.6%23.5%18.6%17.1%4.6%1.9%534.4K-12.0M-56.3K1.00109.62N/AN/A11117,8446,342
2011-11-21$39.29$40.0030.6%8.8%23.5%40.4%0.0%-3.8%-0.9%522.7K-10.9M-55.6K138.82133.43N/AN/A111,5277,4895,873
2011-11-22$38.53$40.0016.1%4.6%24.2%12.1%0.0%9.5%7.8%655.9K-10.1M-48.1K0.00131.12N/AN/A3507,4894,543
2011-11-23$37.92$40.0018.8%5.4%24.5%17.6%0.0%5.5%5.5%630.2K-8.2M-45.9K0.00121.32N/AN/A2007,5044,543
2011-11-25$37.97$40.0022.2%6.4%20.2%24.1%0.0%-2.9%10.9%545.8K-8.8M-49.0K0.00129.33N/AN/A1307,5184,543
2011-11-28$38.76$40.0017.9%5.1%21.7%15.8%15.5%9.8%4.8%666.9K-11.3M-44.6K0.45128.74N/AN/A66307,5314,543
2011-11-29$38.91$40.0022.4%6.4%21.8%24.6%21.2%6.3%-6.1%680.1K-10.8M-47.3K0.04132.99N/AN/A4727,5824,551
2011-11-30$40.16$40.0021.1%6.0%23.6%21.9%12.3%9.4%-2.9%791.5K-14.5M-43.7K0.00118.86N/AN/A8307,6014,551