CEG Options History — June 2022

In June 2022, CEG traded between $54.33 and $66.52. ATM implied volatility averaged 49.2%, placing in the 74.7% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 8.1% (HV 20d: 57.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2022-06-01: Highest Volume — 4,744 contracts
  • 2022-06-13: Largest IV spike — 22.2% change
  • 2022-06-23: Highest IV Rank — 94.1%
  • 2022-06-23: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.22$54.33$66.52$63.65$57.20
Max Pain$58.81$55.00$60.00$55.00$60.00
ATM IV49.2%39.0%59.3%41.3%58.9%
Expected Move14.1%11.2%17.0%11.8%16.9%
HV 20d57.2%50.7%63.5%58.2%52.1%
HV 60d52.5%48.9%55.3%50.1%53.8%
IV Rank74.7%55.5%94.1%59.8%93.0%
IV Percentile87.5%73.0%98.8%77.4%98.4%
Term Structure0.5%-2.9%4.3%-1.7%0.3%
VWIV48.3%39.8%61.7%43.1%47.5%
Skew 25d6.0%0.9%11.9%5.2%6.7%
Skew 10d13.2%1.1%35.7%9.9%10.6%
Call IV 25d47.5%36.0%59.1%40.6%56.0%
Put IV 25d53.5%42.7%67.3%45.8%62.7%
Bid-Ask Spread %63.2952.9176.9371.1456.05
Gamma HHI0.210.180.290.220.18
Net GEX745.1K-264.8K1.7M1.2M399.7K
Net DEX-9.0M-30.9M11.0M-21.9M2.7M
Net VEX-170.6K-189.4K-151.9K-169.5K-151.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.197.496.960.76
Total Volume2,349.2388984,7444,7441,074
Total OI23,47020,22226,54420,35723,711

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$63.65$55.0041.3%11.8%58.2%59.8%43.1%5.2%-1.7%1.2M-21.9M-169.5K6.9671.14N/AN/A5964,14812,7497,608
2022-06-02$63.56$55.0039.0%11.5%55.9%55.5%41.2%8.3%2.7%1.1M-17.2M-188.6K7.4952.91N/AN/A5514,12912,7609,738
2022-06-03$65.14$55.0040.1%11.2%54.7%57.6%39.9%5.6%2.7%1.3M-25.0M-189.4K2.2961.89N/AN/A9702,22512,8719,716
2022-06-06$66.04$55.0042.4%11.3%54.8%61.9%41.7%4.5%3.5%1.5M-29.6M-186.0K1.7361.25N/AN/A1,2702,20113,2439,731
2022-06-07$66.52$55.0040.4%11.6%50.7%58.3%43.2%5.8%3.4%1.7M-30.9M-186.5K0.3159.31N/AN/A93028913,5469,726
2022-06-08$64.57$60.0039.4%11.3%52.3%56.3%39.8%7.0%4.3%1.5M-21.5M-177.3K0.9764.59N/AN/A66464713,6029,739
2022-06-09$61.76$60.0042.0%12.1%55.3%61.3%43.8%11.9%1.8%927.1K-11.7M-178.2K0.8776.93N/AN/A81370413,67010,094
2022-06-10$60.04$60.0042.8%12.3%50.8%62.7%43.6%5.8%3.8%488.0K-4.1M-173.1K0.4667.05N/AN/A1,43666213,43510,413
2022-06-13$55.40$60.0052.3%15.0%58.9%80.7%48.8%8.2%-1.2%-127.5K8.1M-158.1K0.4468.29N/AN/A1,70275314,31610,408
2022-06-14$54.33$60.0052.6%15.1%58.2%81.3%47.7%4.6%0.4%-264.8K11.0M-153.6K0.4471.46N/AN/A1,76877215,10510,452
2022-06-15$58.48$60.0049.7%14.2%61.6%75.9%50.0%7.1%-1.9%609.3K-3.2M-166.9K0.2063.63N/AN/A2,72653415,90410,424
2022-06-16$57.69$60.0047.3%13.5%60.5%71.2%47.3%7.4%3.0%273.5K-43.9K-162.0K0.1960.35N/AN/A2,56148515,62110,424
2022-06-17$57.53$60.0048.6%13.9%60.5%73.9%48.6%2.4%0.2%359.2K-1.4M-161.5K0.6470.22N/AN/A82853016,10210,442
2022-06-21$60.36$60.0054.4%15.6%62.8%84.6%54.8%0.9%-1.5%556.0K-8.4M-168.1K0.2558.98N/AN/A1,80145611,1039,119
2022-06-22$59.50$60.0056.3%16.1%63.1%88.2%56.0%3.5%-2.6%720.4K-9.8M-173.7K0.7057.80N/AN/A64945312,3099,141
2022-06-23$58.41$60.0059.3%17.0%63.5%94.1%61.7%8.2%-2.7%588.9K-6.5M-174.1K0.2862.87N/AN/A3,28392812,1879,148
2022-06-24$59.69$60.0056.9%16.3%62.6%89.1%55.7%5.8%-1.6%871.2K-10.4M-179.0K0.9867.98N/AN/A45344514,4309,327
2022-06-27$59.34$60.0056.3%16.1%58.2%88.0%54.6%7.5%-2.9%889.5K-8.7M-171.8K0.4255.29N/AN/A1,63769414,4479,359
2022-06-28$58.19$60.0054.6%15.6%55.0%84.6%56.7%5.3%-1.2%575.9K-1.2M-158.5K1.3064.21N/AN/A55171813,7529,610
2022-06-29$57.20$60.0057.8%16.6%52.5%90.9%48.6%5.3%1.3%474.3K1.4M-155.2K1.0256.87N/AN/A64165713,7499,639
2022-06-30$57.20$60.0058.9%16.9%52.1%93.0%47.5%6.7%0.3%399.7K2.7M-151.9K0.7656.05N/AN/A61146313,8819,830