CEG Options History — December 2011

In December 2011, CEG traded between $38.28 and $40.02. ATM implied volatility averaged 22.7%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.8% (HV 20d: 23.4%). 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 11 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2011-12-07: Highest Volume — 6,284 contracts
  • 2011-12-02: Largest IV drop — 49.9% change
  • 2011-12-01: Highest IV Rank — 90.6%
  • 2011-12-01: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.40$38.28$40.02$40.02$39.67
Max Pain$37.76$35.00$40.00$40.00$38.00
ATM IV22.7%12.1%56.3%56.3%13.0%
Expected Move6.8%3.5%16.1%16.1%3.7%
HV 20d23.4%21.4%25.9%23.0%21.5%
HV 60d22.9%21.6%23.6%23.1%21.7%
IV Rank25.0%4.5%90.6%90.6%6.2%
IV Percentile38.7%0.8%99.6%99.6%2.0%
Term Structure-0.3%-36.5%14.7%-36.5%3.5%
VWIV22.4%13.2%33.0%30.5%15.5%
Skew 25d13.7%-4.3%33.7%15.9%5.3%
Skew 10d11.3%-0.1%32.3%15.8%7.6%
Call IV 25d18.7%10.6%27.5%15.5%12.7%
Put IV 25d32.4%15.7%48.1%31.4%18.0%
Bid-Ask Spread %122.92101.58144.52144.52107.91
Gamma HHI0.190.160.250.160.23
Net GEX822.9K492.6K1.3M540.1K1.3M
Net DEX-10.9M-14.1M-6.5M-13.7M-12.3M
Net VEX-39.9K-52.9K-26.5K-52.9K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0010.500.000.00
Total Volume371.1906,284420
Total OI11,541.14311,16412,28012,22811,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$40.02$40.0056.3%16.1%23.0%90.6%0.0%15.9%-36.5%540.1K-13.7M-52.9K0.00144.52N/AN/A4207,6774,551
2011-12-02$39.31$40.0028.2%8.1%23.8%35.8%0.0%-4.3%3.0%554.0K-12.6M-49.6K0.56141.23N/AN/A18107,7194,551
2011-12-05$39.74$35.0034.5%6.3%23.3%48.1%0.0%7.6%-3.0%659.7K-12.9M-45.5K0.00123.26N/AN/A3207,7194,561
2011-12-06$39.87$35.0035.8%5.2%21.8%50.5%30.5%16.2%-0.7%634.8K-14.0M-48.9K0.07117.90N/AN/A7557,7064,561
2011-12-07$39.74$35.0019.5%4.8%21.4%18.9%20.2%19.8%-1.9%677.6K-13.1M-45.9K0.00118.58N/AN/A6,28407,6764,556
2011-12-08$38.91$38.0023.2%10.4%22.5%26.1%0.0%22.5%-4.5%492.6K-8.3M-48.3K0.00126.38N/AN/A006,6774,556
2011-12-09$39.36$38.0019.9%10.5%22.9%19.7%0.0%18.1%-10.4%648.6K-8.5M-42.7K0.00127.80N/AN/A006,6774,534
2011-12-12$38.78$38.0028.3%9.8%22.4%36.1%0.0%10.9%-2.8%606.8K-7.3M-42.9K1.00128.29N/AN/A20206,6774,534
2011-12-13$39.26$38.0018.8%7.3%22.9%17.5%26.9%16.0%-5.7%731.0K-9.1M-41.6K0.38127.55N/AN/A29116,6864,491
2011-12-14$38.96$38.0018.0%8.7%22.9%16.0%26.8%19.7%1.5%636.0K-8.4M-42.4K0.00128.07N/AN/A106,7054,459
2011-12-15$39.73$38.0025.4%7.3%23.4%30.5%0.0%12.1%4.1%671.9K-10.0M-40.3K10.50126.04N/AN/A2216,7064,459
2011-12-16$38.96$38.0025.4%7.3%24.4%30.4%21.5%17.0%5.5%711.1K-8.7M-40.4K2.03126.53N/AN/A901836,7084,460
2011-12-19$38.28$38.0023.8%6.8%24.8%27.3%23.0%33.7%-3.3%736.5K-6.5M-38.3K0.80119.96N/AN/A35286,6924,562
2011-12-20$38.50$38.0019.7%5.6%24.8%19.3%19.3%23.7%-0.8%865.6K-7.1M-37.1K0.00113.12N/AN/A44306,7044,590
2011-12-21$39.60$38.0015.5%4.4%25.9%11.1%33.0%24.0%14.7%688.9K-10.0M-39.8K0.62126.68N/AN/A107666,7804,557
2011-12-22$39.50$38.0016.4%4.7%25.1%12.7%16.7%6.7%5.4%1.3M-11.9M-33.9K0.29122.39N/AN/A726,8854,593
2011-12-23$39.71$38.0013.3%3.8%25.1%6.8%13.2%6.7%7.1%1.1M-12.8M-33.8K0.00120.99N/AN/A036,8824,595
2011-12-27$39.88$38.0013.7%3.9%24.2%7.6%0.0%5.5%13.0%1.3M-14.0M-26.5K0.00124.18N/AN/A006,8824,595
2011-12-28$39.70$38.0012.1%3.5%24.3%4.5%0.0%5.0%5.1%1.2M-12.8M-31.4K0.00101.58N/AN/A02516,8824,595
2011-12-29$39.89$38.0014.9%4.3%21.5%9.8%15.5%6.3%1.1%1.2M-14.1M-28.1K0.00108.27N/AN/A1006,8824,595
2011-12-30$39.67$38.0013.0%3.7%21.5%6.2%0.0%5.3%3.5%1.3M-12.3M-28.6K0.00107.91N/AN/A006,8924,595