CEG Options History — March 2012

Name: CEG Options Analytics - March 2012
Creator: Options Analysis Suite

In March 2012, CEG traded between $35.66 and $37.23. ATM implied volatility averaged 19.1%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 9.3% (HV 20d: 9.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 8 of 8 trading days. Term structure was in contango for 1 of 8 days. Put/call ratio averaged 2.91.

Notable Days

2012-03-12: Highest Volume — 479 contracts
2012-03-09: Largest IV spike — 133.3% change
2012-03-09: Highest IV Rank — 43.8%
2012-03-06: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.14	$35.66	$37.23	$36.15	$37.23
Max Pain	$35.50	$35.00	$37.00	$37.00	$35.00
ATM IV	19.1%	11.8%	32.3%	19.8%	13.9%
Expected Move	4.8%	2.9%	6.6%	5.7%	2.9%
HV 20d	9.9%	8.8%	14.6%	8.9%	14.6%
HV 60d	16.2%	15.7%	16.7%	16.5%	16.7%
IV Rank	18.1%	3.9%	43.8%	19.4%	7.9%
IV Percentile	33.6%	0.8%	84.1%	42.9%	4.4%
Term Structure	-1.3%	-4.4%	5.4%	-1.4%	5.4%
VWIV	15.1%	12.5%	16.7%	16.7%	15.0%
Skew 25d	11.7%	-2.3%	25.9%	1.1%	-2.3%
Skew 10d	10.9%	2.2%	35.7%	3.1%	7.0%
Call IV 25d	15.0%	12.2%	17.5%	17.5%	16.1%
Put IV 25d	26.7%	13.8%	38.1%	18.6%	13.8%
Bid-Ask Spread %	131.30	118.08	147.35	147.35	118.08
Gamma HHI	0.29	0.19	0.40	0.21	0.37
Net GEX	152.2K	104.5K	233.8K	163.9K	163.6K
Net DEX	-192.5K	-2.0M	900.8K	-335.7K	-2.0M
Net VEX	-17.4K	-18.4K	-16.3K	-16.3K	-18.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	0.32	9.00	1.98	0.32
Total Volume	169.5	100	479	122	479
Total OI	4,253.75	3,931	4,520	3,931	4,520

Daily Data (8 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-03-01	$36.15	$37.00	19.8%	5.7%	8.9%	19.4%	0.0%	1.1%	-1.4%	163.9K	-335.7K	-16.3K	1.98	147.35	N/A	N/A	41	81	2,715	1,216
2012-03-02	$36.06	$37.00	21.6%	6.2%	9.0%	23.0%	0.0%	25.9%	-4.4%	140.0K	-597.3K	-18.4K	9.00	141.59	N/A	N/A	10	90	2,756	1,296
2012-03-05	$36.19	$35.00	21.0%	4.7%	9.0%	21.7%	16.7%	10.3%	-2.8%	163.1K	-305.3K	-16.7K	0.98	124.62	N/A	N/A	51	50	2,756	1,386
2012-03-06	$35.95	$35.00	18.8%	6.6%	9.2%	17.4%	0.0%	19.0%	-1.5%	115.8K	190.7K	-17.5K	1.47	133.36	N/A	N/A	70	103	2,786	1,436
2012-03-07	$35.74	$35.00	11.8%	4.1%	9.0%	3.9%	12.5%	23.9%	-1.5%	104.5K	574.3K	-17.5K	3.50	130.14	N/A	N/A	30	105	2,786	1,513
2012-03-08	$35.66	$35.00	13.9%	4.3%	8.8%	7.9%	16.3%	14.5%	-0.5%	132.7K	900.8K	-17.4K	5.52	134.51	N/A	N/A	21	116	2,795	1,609
2012-03-09	$36.15	$35.00	32.3%	3.9%	10.2%	43.8%	15.2%	1.6%	-3.3%	233.8K	23.6K	-17.7K	0.54	120.73	N/A	N/A	71	38	2,806	1,654
2012-03-12	$37.23	$35.00	13.9%	2.9%	14.6%	7.9%	15.0%	-2.3%	5.4%	163.6K	-2.0M	-18.0K	0.32	118.08	N/A	N/A	362	117	2,862	1,658