CEG Options History — November 2022

In November 2022, CEG traded between $87.47 and $97.21. ATM implied volatility averaged 40.8%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 4.3% (HV 20d: 45.1%). Max pain ranged from $70.00 to $95.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.67.

Notable Days

  • 2022-11-17: Highest Volume — 8,799 contracts
  • 2022-11-09: Largest IV drop — 15.5% change
  • 2022-11-07: Highest IV Rank — 79.3%
  • 2022-11-01: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.57$87.47$97.21$95.45$96.62
Max Pain$88.57$70.00$95.00$70.00$95.00
ATM IV40.8%31.1%57.3%53.0%33.9%
Expected Move11.2%8.9%15.2%15.2%9.7%
HV 20d45.1%33.6%50.5%35.9%49.7%
HV 60d38.5%34.7%40.3%34.9%40.2%
IV Rank50.5%33.7%79.3%71.8%38.5%
IV Percentile44.1%22.2%91.3%84.1%24.6%
Term Structure-0.7%-8.2%2.2%-8.2%0.6%
VWIV41.4%32.4%53.7%53.6%33.9%
Skew 25d6.5%3.9%10.6%9.7%5.2%
Skew 10d13.6%7.9%21.6%21.6%11.0%
Call IV 25d36.9%28.8%49.5%49.5%31.0%
Put IV 25d43.3%33.3%59.5%59.2%36.2%
Bid-Ask Spread %61.3241.5184.2253.8884.22
Gamma HHI0.220.130.360.130.18
Net GEX478.8K-846.8K2.2M1.1M23.1K
Net DEX-67.9M-121.2M-16.6M-110.6M-36.6M
Net VEX-278.1K-308.1K-243.6K-289.8K-274.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.196.151.110.19
Total Volume2,929.476688,7991,948600
Total OI33,024.38126,83740,79132,15229,836

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$95.45$70.0053.0%15.2%35.9%71.8%53.6%9.7%-8.2%1.1M-110.6M-289.8K1.1153.88N/AN/A9241,02417,02715,125
2022-11-02$93.25$70.0052.0%14.9%36.9%70.1%53.7%10.6%-7.8%1.1M-103.4M-288.4K1.0768.83N/AN/A87793617,14515,172
2022-11-03$94.55$85.0052.4%12.6%35.8%70.8%44.2%6.3%-1.5%1.1M-108.5M-287.4K0.6848.20N/AN/A1,35492617,22415,190
2022-11-04$94.48$85.0051.7%12.6%33.6%69.6%46.2%7.7%-2.2%1.2M-111.6M-263.0K1.0246.40N/AN/A1,3021,32717,25815,180
2022-11-07$93.41$85.0057.3%12.8%34.0%79.3%47.1%7.6%-2.6%1.1M-108.6M-261.1K1.1257.30N/AN/A1,4481,62417,28215,254
2022-11-08$87.47$90.0049.0%12.4%40.9%64.8%42.0%7.3%-0.9%1.1M-80.7M-281.8K1.6759.19N/AN/A2,9864,99317,84315,940
2022-11-09$87.58$90.0041.4%11.9%40.7%51.6%49.9%6.1%-0.9%-397.9K-73.7M-285.7K1.9059.12N/AN/A1,0792,05018,89119,509
2022-11-10$95.34$90.0038.2%10.9%49.9%46.0%38.8%6.9%0.3%1.4M-121.2M-263.6K0.6066.72N/AN/A2,3791,41618,74819,857
2022-11-11$92.08$90.0039.7%11.4%50.1%48.7%46.1%5.8%-0.2%998.4K-102.9M-278.4K1.5566.74N/AN/A8781,36519,44219,937
2022-11-14$94.41$90.0038.1%10.9%48.0%45.9%41.3%6.5%-0.1%2.2M-73.1M-245.4K1.0166.01N/AN/A1,2491,26714,11819,940
2022-11-15$93.50$90.0038.2%11.0%48.2%46.1%45.9%7.1%-0.9%2.0M-68.9M-254.9K0.9668.30N/AN/A1,3731,32214,70519,936
2022-11-16$91.73$90.0038.8%11.1%48.7%47.1%38.5%5.3%-0.8%962.5K-57.8M-253.4K1.3069.00N/AN/A1,0301,34314,71219,995
2022-11-17$89.97$90.0039.5%11.3%49.1%48.3%41.5%6.7%0.7%-636.2K-50.8M-243.6K6.1564.58N/AN/A1,2307,56914,75420,034
2022-11-18$93.15$90.0036.3%10.4%49.6%42.6%38.9%7.3%0.0%-846.8K-49.9M-308.1K1.5659.13N/AN/A1,8982,96614,86225,929
2022-11-21$93.36$90.0035.3%10.1%49.6%41.0%36.5%7.6%1.1%-797.3K-16.6M-301.7K1.0856.00N/AN/A1,2241,3207,99118,846
2022-11-22$96.24$90.0032.7%9.4%50.5%36.4%36.1%4.6%2.0%-164.3K-30.2M-282.7K3.2675.42N/AN/A1,2123,9488,41718,908
2022-11-23$96.24$95.0031.3%9.0%50.5%33.9%32.4%5.0%2.2%-258.1K-31.9M-304.8K1.3453.31N/AN/A9391,2549,12920,452
2022-11-25$97.21$95.0031.1%8.9%48.2%33.7%33.0%3.9%2.1%-35.7K-37.0M-283.3K4.2347.99N/AN/A13559,04220,495
2022-11-28$94.73$95.0033.1%9.5%49.0%37.1%34.7%4.3%1.9%-534.1K-26.9M-297.9K2.5641.51N/AN/A1584049,09220,496
2022-11-29$94.19$95.0033.7%9.7%48.9%38.2%34.3%4.6%0.3%-591.9K-26.3M-289.5K0.7275.78N/AN/A1491089,12920,670
2022-11-30$96.62$95.0033.9%9.7%49.7%38.5%33.9%5.2%0.6%23.1K-36.6M-274.8K0.1984.22N/AN/A504969,15820,678