CEG Options History — January 2012

In January 2012, CEG traded between $35.91 and $38.39. ATM implied volatility averaged 21.8%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.7% (HV 20d: 20.2%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.93.

Notable Days

  • 2012-01-25: Highest Volume — 319 contracts
  • 2012-01-27: Largest IV spike — 58.2% change
  • 2012-01-12: Highest IV Rank — 49.4%
  • 2012-01-11: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$35.91$38.39$38.39$36.43
Max Pain$38.70$38.00$39.00$38.00$38.00
ATM IV21.8%15.8%35.2%29.2%17.9%
Expected Move7.0%4.8%11.8%8.4%5.1%
HV 20d20.2%15.4%23.9%23.7%17.8%
HV 60d22.1%20.8%22.7%22.7%20.8%
IV Rank23.4%11.6%49.4%37.8%15.7%
IV Percentile41.6%11.5%90.1%74.2%27.0%
Term Structure-0.8%-32.2%14.7%0.2%14.0%
VWIV21.2%16.1%35.1%16.1%17.4%
Skew 25d8.5%-5.6%26.7%6.4%0.3%
Skew 10d7.4%0.9%19.4%3.8%5.8%
Call IV 25d16.8%11.7%21.9%15.2%17.1%
Put IV 25d25.3%15.6%44.8%21.6%17.4%
Bid-Ask Spread %125.95104.13149.41123.90123.97
Gamma HHI0.280.120.550.230.20
Net GEX329.8K-423.2K1.1M997.9K36.9K
Net DEX-1.1M-7.7M2.3M-7.7M-863.3K
Net VEX-17.8K-30.4K-9.9K-30.4K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0010.001.270.48
Total Volume84.20319250
Total OI8,519.82,41611,54011,4863,564

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$38.39$38.0029.2%8.4%23.7%37.8%16.1%6.4%0.2%997.9K-7.7M-30.4K1.27123.90N/AN/A11146,8914,595
2012-01-04$37.74$38.0016.8%4.8%23.9%13.6%35.1%-5.6%10.5%1.0M-6.0M-27.6K0.39122.39N/AN/A41166,8814,578
2012-01-05$37.71$38.0019.1%5.5%23.8%18.1%17.5%13.9%7.0%995.5K-3.8M-26.5K2.50121.75N/AN/A4106,9164,588
2012-01-06$37.57$39.0016.4%8.6%23.8%12.8%0.0%11.2%-2.5%804.1K-3.8M-27.8K0.00138.59N/AN/A0206,9164,598
2012-01-09$37.79$39.0015.8%6.6%22.9%11.6%0.0%9.6%-1.3%1.0M-3.1M-22.5K0.00134.65N/AN/A0116,9164,598
2012-01-10$37.52$39.0016.2%7.6%22.5%12.5%0.0%11.2%13.1%1.1M-3.8M-22.9K2.07134.58N/AN/A27566,9114,609
2012-01-11$36.97$39.0022.4%11.8%22.5%24.6%0.0%-4.9%-32.2%613.5K-1.8M-22.4K0.00149.41N/AN/A076,9234,579
2012-01-12$36.72$39.0035.2%10.1%21.8%49.4%0.0%26.7%-19.7%460.8K-248.9K-18.6K0.00148.49N/AN/A0106,9234,581
2012-01-13$36.23$39.0030.0%8.6%22.1%39.4%0.0%10.6%-4.2%91.7K2.0M-13.4K0.00143.53N/AN/A046,9234,590
2012-01-17$36.10$39.0024.6%7.1%20.3%28.8%22.8%8.8%-1.4%-38.3K2.1M-13.5K10.00107.14N/AN/A4406,9234,583
2012-01-18$36.20$39.0022.6%6.5%19.7%25.0%0.0%14.2%7.1%-262.3K2.3M-12.8K0.25122.64N/AN/A2466,9274,613
2012-01-19$36.15$39.0022.0%6.3%19.0%23.8%0.0%15.8%-5.8%-333.9K2.2M-11.4K0.00133.36N/AN/A206,9244,608
2012-01-20$35.99$39.0022.4%6.4%18.7%24.5%20.7%9.4%-0.6%-423.2K1.8M-14.9K5.00114.05N/AN/A14706,9264,608
2012-01-23$36.32$39.0018.9%5.4%15.4%17.6%0.0%9.7%3.8%41.2K431.8K-9.9K2.81104.13N/AN/A21591,637779
2012-01-24$35.91$39.0023.8%6.8%15.6%27.3%21.8%9.0%-2.5%35.6K497.0K-10.0K0.20116.08N/AN/A252501,651806
2012-01-25$36.62$39.0018.9%5.4%17.5%17.8%20.9%12.4%-0.6%74.8K-208.2K-12.1K0.17120.10N/AN/A272471,901839
2012-01-26$36.60$39.0018.2%5.2%17.3%16.3%17.8%6.1%14.7%104.5K-762.5K-13.5K0.00130.40N/AN/A30102,141873
2012-01-27$36.15$38.0028.7%8.2%17.5%36.9%22.1%4.7%-13.9%124.9K-960.5K-15.2K0.48118.32N/AN/A21102,410863
2012-01-30$36.37$38.0017.2%4.9%17.6%14.4%17.4%1.1%-0.9%118.8K-985.1K-14.4K0.00111.53N/AN/A02602,431873
2012-01-31$36.43$38.0017.9%5.1%17.8%15.7%0.0%0.3%14.0%36.9K-863.3K-16.0K0.00123.97N/AN/A002,4311,133