CEG Options History — February 2012

In February 2012, CEG traded between $36.11 and $36.84. ATM implied volatility averaged 24.1%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 12.4% (HV 20d: 11.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 2.08.

Notable Days

  • 2012-02-22: Highest Volume — 285 contracts
  • 2012-02-17: Largest IV spike — 95.0% change
  • 2012-02-24: Highest IV Rank — 62.1%
  • 2012-02-24: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.40$36.11$36.84$36.38$36.26
Max Pain$37.10$37.00$38.00$38.00$37.00
ATM IV24.1%14.5%41.7%14.9%15.2%
Expected Move7.6%4.2%12.0%4.3%4.4%
HV 20d11.7%8.9%14.2%14.2%8.9%
HV 60d19.1%16.9%20.7%20.7%16.9%
IV Rank27.8%9.1%62.1%10.0%10.6%
IV Percentile47.4%7.5%95.2%9.1%10.7%
Term Structure-11.7%-45.5%16.0%12.4%0.6%
VWIV17.6%9.2%30.4%19.4%14.2%
Skew 25d9.4%-4.0%28.4%-4.0%15.7%
Skew 10d11.1%2.8%27.6%2.8%25.0%
Call IV 25d14.8%8.9%20.5%19.9%15.4%
Put IV 25d24.2%15.9%42.7%15.9%31.0%
Bid-Ask Spread %139.16125.16148.46136.32148.04
Gamma HHI0.240.200.340.210.29
Net GEX76.2K-71.5K228.7K47.6K172.5K
Net DEX-913.1K-1.3M-435.8K-1.2M-629.3K
Net VEX-13.8K-16.3K-10.2K-16.3K-14.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.008.000.006.67
Total Volume54.350285092
Total OI3,607.83,2933,8393,5643,839

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$36.38$38.0014.9%4.3%14.2%10.0%0.0%-4.0%12.4%47.6K-1.2M-16.3K0.00136.32N/AN/A002,4311,133
2012-02-02$36.30$38.0016.9%4.8%13.2%13.7%0.0%-0.3%16.0%-4.0K-695.6K-15.4K0.00138.72N/AN/A602,4311,133
2012-02-03$36.35$37.0015.4%9.8%13.2%10.9%19.4%20.2%-21.5%56.8K-722.4K-14.7K0.53142.70N/AN/A75402,4251,133
2012-02-06$36.46$37.0017.7%9.1%13.3%15.4%0.0%6.8%-17.5%39.5K-811.1K-15.7K0.00134.66N/AN/A002,4651,170
2012-02-07$36.68$37.0014.6%7.6%13.3%9.3%0.0%9.5%-0.9%38.3K-811.8K-14.1K0.83134.19N/AN/A652,4651,170
2012-02-08$36.84$37.0015.7%5.1%13.3%11.5%17.5%4.8%1.3%39.8K-1.2M-14.2K0.00125.16N/AN/A102,4711,175
2012-02-09$36.62$37.0025.3%7.2%12.4%30.1%17.9%3.4%-1.3%70.6K-1.1M-15.6K0.00137.22N/AN/A702,4721,175
2012-02-10$36.46$37.0030.1%8.6%12.3%39.5%0.0%13.9%-15.4%4.0K-663.4K-14.2K0.00148.46N/AN/A002,4781,175
2012-02-13$36.34$37.0036.3%10.4%11.3%51.6%0.0%7.0%-16.1%-8.9K-770.2K-15.1K0.00132.41N/AN/A002,4781,175
2012-02-14$36.18$37.0037.0%10.6%11.4%52.9%0.0%8.0%-15.1%-42.4K-435.8K-14.0K1.50137.10N/AN/A232,4781,175
2012-02-15$36.24$37.0035.8%10.3%11.3%50.7%30.4%2.6%-20.7%21.1K-535.1K-13.1K8.00144.16N/AN/A182,4761,175
2012-02-16$36.67$37.0014.9%4.3%12.1%10.0%14.8%28.4%-2.7%30.8K-1.1M-12.3K0.83135.75N/AN/A24202,4761,175
2012-02-17$36.40$37.0029.1%8.4%12.3%37.6%17.1%12.1%-29.8%-71.5K-1.3M-13.0K4.00129.99N/AN/A10402,5001,175
2012-02-21$36.11$37.0034.9%10.0%12.2%48.9%9.2%15.6%-45.5%199.9K-944.8K-10.2K2.30134.84N/AN/A30692,459834
2012-02-22$36.41$37.0022.0%6.3%11.8%23.7%0.0%10.8%-9.5%193.8K-1.0M-10.9K1.48140.44N/AN/A1151702,489883
2012-02-23$36.23$37.0030.7%8.8%9.6%40.6%0.0%12.1%-24.7%186.5K-1.1M-13.1K0.00141.75N/AN/A0312,563969
2012-02-24$36.49$37.0041.7%12.0%10.0%62.1%0.0%12.0%-44.1%228.7K-1.3M-12.5K0.00147.92N/AN/A9102,5631,000
2012-02-27$36.36$37.0014.5%4.2%9.0%9.1%14.2%6.4%1.9%161.9K-1.0M-12.8K1.01147.39N/AN/A70712,6241,000
2012-02-28$36.20$37.0018.9%5.4%8.9%17.7%0.0%3.7%-2.2%159.4K-1.0M-15.0K4.00145.93N/AN/A20802,6831,065
2012-02-29$36.26$37.0015.2%4.4%8.9%10.6%0.0%15.7%0.6%172.5K-629.3K-14.1K6.67148.04N/AN/A12802,7031,136