CEG Options History — September 2022 In September 2022, CEG traded between $81.05 and $89.36. ATM implied volatility averaged 42.7%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 7.7% (HV 20d: 35.0%). Max pain ranged from $70.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.92.
Notable Days 2022-09-23 : Highest Volume — 7,080 contracts2022-09-12 : Largest IV spike — 15.0% change2022-09-06 : Highest IV Rank — 61.1%2022-09-29 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $85.22 $81.05 $89.36 $82.31 $83.81 Max Pain $81.43 $70.00 $85.00 $70.00 $85.00 ATM IV 42.7% 35.3% 46.8% 43.3% 44.8% Expected Move 12.3% 11.4% 13.3% 12.4% 12.9% HV 20d 35.0% 30.6% 48.5% 48.5% 33.0% HV 60d 50.2% 47.6% 55.5% 55.5% 47.6% IV Rank 53.9% 40.9% 61.1% 54.9% 57.6% IV Percentile 60.0% 44.4% 68.7% 62.3% 64.3% Term Structure 4.7% 0.8% 6.3% 0.8% 5.6% VWIV 44.0% 39.6% 49.1% 39.6% 45.9% Skew 25d 6.3% 4.1% 7.3% 7.1% 6.6% Skew 10d 13.1% -0.7% 28.9% 12.9% 8.5% Call IV 25d 40.8% 38.0% 45.3% 39.0% 43.1% Put IV 25d 47.1% 44.2% 51.5% 46.1% 49.6% Bid-Ask Spread % 58.01 36.10 71.10 63.57 52.41 Gamma HHI 0.27 0.14 0.46 0.41 0.14 Net GEX 2.9M 620.9K 5.6M 4.4M 675.6K Net DEX -130.6M -208.7M -58.5M -136.3M -63.5M Net VEX -411.9K -477.6K -383.0K -477.6K -383.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.92 0.04 4.60 0.49 2.41 Total Volume 2,745.095 259 7,080 976 2,899 Total OI 60,198.381 33,593 86,232 79,276 35,133
Daily Data (21 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 2022-09-01 $82.31 $70.00 43.3% 12.4% 48.5% 54.9% 39.6% 7.1% 0.8% 4.4M -136.3M -477.6K 0.49 63.57 N/A N/A 655 321 31,943 47,333 2022-09-02 $81.05 $70.00 42.4% 12.2% 35.6% 53.3% 41.2% 7.3% 2.2% 4.7M -126.8M -476.6K 0.58 54.74 N/A N/A 164 95 32,410 47,409 2022-09-06 $82.36 $80.00 46.8% 13.2% 35.4% 61.1% 46.9% 7.0% 2.7% 4.4M -133.0M -458.5K 4.60 57.50 N/A N/A 881 4,052 32,462 47,464 2022-09-07 $83.22 $80.00 41.8% 12.5% 35.5% 52.2% 44.9% 5.6% 3.9% 5.2M -149.2M -443.7K 3.26 51.26 N/A N/A 1,070 3,490 32,776 48,493 2022-09-08 $85.84 $80.00 39.9% 12.2% 36.7% 48.9% 41.6% 6.0% 4.6% 5.2M -173.2M -424.3K 0.04 60.75 N/A N/A 1,898 85 33,077 48,581 2022-09-09 $87.58 $80.00 35.3% 11.4% 36.2% 40.9% 40.0% 5.9% 5.4% 5.5M -200.2M -402.2K 0.49 63.87 N/A N/A 921 450 33,904 48,603 2022-09-12 $88.08 $80.00 40.6% 11.4% 35.1% 50.2% 40.9% 6.2% 5.9% 5.6M -208.7M -390.3K 4.53 61.08 N/A N/A 415 1,881 34,455 48,835 2022-09-13 $85.96 $80.00 45.6% 12.1% 36.5% 58.8% 44.4% 7.0% 5.3% 4.4M -181.1M -412.3K 2.97 63.11 N/A N/A 757 2,249 34,663 50,412 2022-09-14 $87.60 $80.00 41.3% 11.8% 36.9% 51.5% 41.0% 6.8% 6.0% 4.9M -204.5M -395.7K 0.81 70.70 N/A N/A 514 418 34,716 50,592 2022-09-15 $85.03 $80.00 41.9% 12.0% 34.8% 52.4% 40.2% 5.7% 6.2% 4.0M -179.3M -398.7K 0.91 69.01 N/A N/A 269 244 34,950 50,969 2022-09-16 $85.69 $80.00 42.5% 12.2% 30.6% 53.6% 44.2% 4.1% 5.8% 758.0K -186.3M -400.9K 4.60 67.62 N/A N/A 807 3,709 35,028 51,204 2022-09-19 $89.36 $85.00 40.7% 11.7% 33.3% 50.4% 47.9% 6.4% 5.4% 1.6M -122.1M -386.9K 3.32 56.11 N/A N/A 571 1,895 20,641 12,952 2022-09-20 $88.74 $85.00 42.4% 12.1% 32.6% 53.3% 42.7% 6.3% 4.2% 1.5M -118.4M -397.4K 0.14 56.93 N/A N/A 1,071 152 21,048 14,643 2022-09-21 $87.61 $85.00 40.3% 11.6% 33.2% 49.7% 45.4% 5.3% 5.3% 1.5M -113.3M -395.6K 2.11 71.10 N/A N/A 514 1,084 20,957 14,701 2022-09-22 $86.18 $85.00 42.4% 12.2% 34.0% 53.4% 42.8% 5.3% 6.3% 1.4M -103.5M -406.7K 0.66 58.25 N/A N/A 880 581 21,041 15,749 2022-09-23 $83.50 $85.00 42.8% 12.3% 34.6% 54.1% 43.6% 6.8% 5.1% 1.3M -87.7M -433.5K 0.14 42.50 N/A N/A 6,218 862 21,707 16,129 2022-09-26 $83.21 $85.00 45.2% 13.0% 33.3% 58.2% 49.1% 6.6% 4.3% 666.6K -60.4M -396.3K 0.68 59.50 N/A N/A 3,873 2,650 17,849 16,746 2022-09-27 $83.98 $85.00 45.5% 13.1% 33.4% 58.8% 47.7% 6.7% 4.4% 656.9K -64.4M -389.9K 2.90 63.06 N/A N/A 832 2,412 17,883 16,752 2022-09-28 $85.37 $85.00 45.3% 13.0% 32.9% 58.4% 46.6% 7.1% 4.4% 786.6K -71.8M -383.0K 2.32 36.10 N/A N/A 868 2,011 17,909 16,968 2022-09-29 $83.17 $85.00 46.5% 13.3% 32.9% 60.4% 48.5% 6.3% 4.5% 620.9K -58.5M -395.5K 2.40 39.05 N/A N/A 861 2,068 17,955 17,124 2022-09-30 $83.81 $85.00 44.8% 12.9% 33.0% 57.6% 45.9% 6.6% 5.6% 675.6K -63.5M -383.6K 2.41 52.41 N/A N/A 850 2,049 17,977 17,156
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