CEG Options History — March 2022

In March 2022, CEG traded between $47.83 and $57.31. ATM implied volatility averaged 45.0%, placing in the 67.3% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 9.1% (HV 20d: 54.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.07.

Notable Days

  • 2022-03-22: Highest Volume — 11,237 contracts
  • 2022-03-08: Largest IV drop — 23.8% change
  • 2022-03-07: Highest IV Rank — 100.0%
  • 2022-03-10: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.82$47.83$57.31$47.83$56.42
Max Pain$47.17$45.00$50.00$45.00$50.00
ATM IV45.0%34.2%62.4%50.8%34.2%
Expected Move13.9%10.6%18.7%14.6%10.6%
HV 20d54.1%37.4%66.6%60.5%39.7%
HV 60d40.2%38.3%42.6%38.3%42.6%
IV Rank67.3%46.3%100.0%79.9%46.3%
IV Percentile91.2%80.6%100.0%98.0%80.6%
Term Structure0.3%-10.1%4.3%-10.1%3.0%
VWIV47.5%35.7%65.4%51.1%35.7%
Skew 25d5.6%0.9%11.2%3.5%4.3%
Skew 10d12.8%3.6%21.4%14.0%3.6%
Call IV 25d41.3%32.5%49.4%49.4%32.5%
Put IV 25d46.9%35.0%57.6%52.9%36.8%
Bid-Ask Spread %63.6433.3191.2883.4234.85
Gamma HHI0.520.330.790.640.38
Net GEX1.2M64.0K3.6M64.0K3.6M
Net DEX-18.1M-66.3M-1.1M-1.1M-57.9M
Net VEX-69.4K-173.7K-6.7K-6.7K-173.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.035.140.120.59
Total Volume2,830.52234711,2377981,107
Total OI13,128.1395132,25095132,250

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$47.83$45.0050.8%14.6%60.5%79.9%51.1%3.5%-10.1%64.0K-1.1M-6.7K0.1283.42N/AN/A71286668283
2022-03-02$49.11$45.0049.8%14.3%60.6%78.0%50.7%4.8%-0.1%178.0K-2.9M-11.3K0.7568.04N/AN/A2241671,371290
2022-03-03$49.32$45.0052.5%15.1%60.3%83.2%48.0%1.4%-2.2%185.1K-3.2M-12.2K0.3490.49N/AN/A4991691,466292
2022-03-04$50.60$45.0050.8%14.6%60.3%79.9%44.9%3.5%-0.4%226.1K-4.5M-14.4K0.9585.02N/AN/A1781691,721293
2022-03-07$51.55$45.0062.4%17.9%59.9%100.0%60.9%9.0%-2.1%207.3K-5.2M-14.2K0.1575.00N/AN/A7711141,758299
2022-03-08$52.75$45.0047.5%16.5%59.4%71.8%60.1%9.0%-4.7%202.9K-5.9M-18.1K0.0678.36N/AN/A1,6701081,937319
2022-03-09$51.72$45.0051.5%18.0%60.6%79.3%59.6%10.4%-1.8%478.9K-7.4M-22.0K0.0486.57N/AN/A2,6561023,379340
2022-03-10$51.38$45.0050.4%18.7%60.8%77.2%65.4%8.0%-0.8%582.1K-8.9M-23.8K2.1091.28N/AN/A1,1322,3814,014344
2022-03-11$49.20$45.0051.2%16.8%64.2%78.7%58.6%9.6%-4.6%658.3K-5.9M-42.7K1.9980.04N/AN/A1,2122,4125,0562,624
2022-03-14$51.11$45.0050.7%14.4%64.6%77.8%46.8%8.3%-0.4%1.2M-13.0M-42.2K1.7645.18N/AN/A7231,2736,1712,656
2022-03-15$51.15$45.0050.5%14.4%64.2%77.5%51.9%11.2%-0.3%1.4M-15.5M-46.8K5.0350.06N/AN/A4412,2177,2352,711
2022-03-16$51.30$45.0049.8%14.3%63.9%76.0%44.7%9.3%0.4%864.5K-13.8M-47.3K0.0370.40N/AN/A5,7421887,4184,789
2022-03-17$51.42$45.0045.6%13.5%63.7%68.2%44.5%8.4%0.3%1.2M-20.0M-68.0K0.8553.81N/AN/A22319011,2934,855
2022-03-18$49.99$50.0036.6%12.0%65.8%50.9%47.9%6.0%2.7%2.9M-10.1M-63.7K0.9887.28N/AN/A1,4761,44611,3344,866
2022-03-21$49.22$50.0040.7%12.5%66.6%58.8%43.8%1.8%3.1%457.2K-5.6M-78.9K5.1460.69N/AN/A2831,4559,4114,091
2022-03-22$50.87$50.0040.7%12.9%38.1%58.7%43.8%2.1%4.3%583.3K-9.4M-85.9K0.5138.76N/AN/A7,4223,8159,4774,111
2022-03-23$51.28$50.0038.7%12.3%37.4%55.0%43.3%5.4%4.0%1.0M-13.6M-125.6K1.4956.10N/AN/A47871315,8927,539
2022-03-24$52.31$50.0038.1%12.1%37.5%53.8%41.3%0.9%4.3%1.4M-19.8M-129.9K0.5158.62N/AN/A1,35469016,0987,929
2022-03-25$53.56$50.0035.8%11.2%37.8%49.4%38.9%2.4%3.5%1.7M-28.5M-134.3K0.4437.21N/AN/A1,73375916,2057,963
2022-03-28$56.67$50.0036.0%11.3%40.3%49.8%37.1%2.3%3.3%2.3M-50.2M-123.9K0.0549.35N/AN/A7,08137616,2598,017
2022-03-29$55.84$50.0036.6%11.2%38.8%51.0%38.3%4.1%2.2%2.6M-48.1M-143.9K0.6649.98N/AN/A65743518,6978,158
2022-03-30$57.31$50.0034.5%10.9%38.8%47.0%36.2%2.3%3.7%3.2M-66.3M-165.7K0.0533.31N/AN/A7,66340021,7898,279
2022-03-31$56.42$50.0034.2%10.6%39.7%46.3%35.7%4.3%3.0%3.6M-57.9M-173.7K0.5934.85N/AN/A69741023,9558,295