CEG Options History — July 2022

In July 2022, CEG traded between $53.75 and $66.08. ATM implied volatility averaged 56.0%, placing in the 87.5% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 8.3% (HV 20d: 47.7%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2022-07-28: Highest Volume — 15,683 contracts
  • 2022-07-11: Largest IV spike — 21.0% change
  • 2022-07-06: Highest IV Rank — 98.6%
  • 2022-07-29: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.44$53.75$66.08$57.56$66.08
Max Pain$55.50$55.00$60.00$60.00$60.00
ATM IV56.0%48.1%61.7%52.2%60.7%
Expected Move15.8%14.7%17.4%15.0%17.4%
HV 20d47.7%36.8%64.6%52.2%64.6%
HV 60d52.1%49.6%58.1%53.8%58.1%
IV Rank87.5%71.8%98.6%79.9%96.7%
IV Percentile93.4%79.4%99.6%90.5%98.4%
Term Structure-3.0%-5.8%2.0%2.0%-5.8%
VWIV56.2%41.7%61.9%41.7%61.9%
Skew 25d8.9%2.8%11.6%5.6%5.1%
Skew 10d17.9%7.4%26.2%9.0%11.5%
Call IV 25d53.1%50.0%60.3%52.9%60.3%
Put IV 25d62.1%57.7%65.4%58.5%65.4%
Bid-Ask Spread %51.6627.0367.0153.6767.01
Gamma HHI0.200.180.240.190.19
Net GEX531.4K-43.9K1.3M433.4K967.5K
Net DEX-5.5M-40.5M8.0M2.1M-40.5M
Net VEX-199.9K-322.5K-137.9K-150.4K-322.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.052.991.402.99
Total Volume3,827.563415,68381010,175
Total OI29,38023,72337,87423,72337,874

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$57.56$60.0052.2%15.0%52.2%79.9%41.7%5.6%2.0%433.4K2.1M-150.4K1.4053.67N/AN/A33747313,9119,812
2022-07-05$54.74$55.0060.2%16.5%53.3%95.8%60.4%9.6%-4.7%139.8K8.0M-137.9K0.8049.53N/AN/A3,5132,80613,9309,828
2022-07-06$57.08$55.0061.7%16.7%55.8%98.6%58.9%10.4%-5.2%553.8K-297.1K-168.7K0.7951.28N/AN/A2,2311,75416,9759,535
2022-07-07$59.26$55.0052.8%15.3%57.8%81.0%56.4%8.7%-2.7%1.0M-9.8M-199.7K0.7041.62N/AN/A2,7411,90818,9519,655
2022-07-08$59.57$55.0048.1%14.8%57.2%71.8%53.9%9.1%-1.1%1.1M-10.6M-208.1K1.3450.77N/AN/A1,2701,69619,7829,857
2022-07-11$59.87$55.0058.2%14.7%55.3%91.8%55.2%7.4%-0.3%1.3M-14.9M-227.6K1.4557.24N/AN/A1,4542,10821,92610,001
2022-07-12$59.04$55.0059.2%15.1%54.6%93.8%53.0%9.3%-2.0%1.0M-10.4M-228.9K1.0052.53N/AN/A1,6041,60822,14310,282
2022-07-13$59.77$55.0052.3%15.0%45.9%80.1%56.3%9.3%-1.9%1.2M-12.9M-231.7K1.7254.22N/AN/A9821,69322,65810,286
2022-07-14$57.87$55.0052.0%14.9%46.9%79.5%52.1%9.5%-2.7%707.6K-5.4M-217.9K1.1456.69N/AN/A1,1791,34122,50710,271
2022-07-15$55.72$55.0056.1%16.1%41.1%87.6%54.0%8.5%-3.0%124.6K507.2K-197.6K0.3356.05N/AN/A1,79159122,99710,255
2022-07-18$54.67$55.0057.5%16.5%41.3%90.3%58.2%9.0%-3.5%219.9K1.4M-186.5K0.4150.76N/AN/A44918518,0569,605
2022-07-19$55.15$55.0057.4%16.5%41.5%90.2%61.5%11.4%-4.0%277.0K278.5K-190.5K0.8527.03N/AN/A58649918,4129,644
2022-07-20$54.03$55.0057.5%16.5%37.4%90.4%59.9%9.1%-3.9%158.6K3.4M-179.7K0.4451.64N/AN/A52723418,5069,860
2022-07-21$53.97$55.0056.8%16.3%37.3%89.0%59.0%11.4%-3.9%121.4K4.2M-176.2K0.3848.79N/AN/A53420518,6319,951
2022-07-22$53.75$55.0055.0%15.8%37.0%85.4%60.7%11.2%-3.2%106.4K4.4M-176.1K2.7437.49N/AN/A4281,17318,7699,953
2022-07-25$54.87$55.0056.2%16.1%36.9%87.9%58.2%9.0%-4.1%67.3K3.2M-176.9K0.4952.10N/AN/A4,4212,18118,78210,779
2022-07-26$55.47$55.0054.8%15.7%37.3%85.0%52.3%10.8%-3.6%-43.9K-144.0K-201.8K0.0557.99N/AN/A3,45817715,60011,517
2022-07-27$55.71$55.0055.4%15.9%36.8%86.2%50.0%11.6%-3.0%71.4K2.5M-185.1K0.0762.81N/AN/A2,39516016,49511,539
2022-07-28$64.62$55.0056.6%16.2%64.4%88.6%59.9%2.8%-4.1%1.1M-34.3M-234.5K0.7853.89N/AN/A8,8336,85016,51611,549
2022-07-29$66.08$60.0060.7%17.4%64.6%96.7%61.9%5.1%-5.8%967.5K-40.5M-322.5K2.9967.01N/AN/A2,5487,62721,04316,831